OMXS.L vs. VGEU.DE
Compare and contrast key facts about iShares OMX Stockholm Capped UCITS ETF (OMXS.L) and Vanguard FTSE Developed Europe UCITS ETF Distributing (VGEU.DE).
OMXS.L and VGEU.DE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. OMXS.L is a passively managed fund by iShares that tracks the performance of the MSCI Sweden NR SEK. It was launched on Dec 14, 2016. VGEU.DE is a passively managed fund by Vanguard that tracks the performance of the FTSE Developed Europe. It was launched on May 21, 2013. Both OMXS.L and VGEU.DE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: OMXS.L or VGEU.DE.
Key characteristics
| OMXS.L | VGEU.DE | |
|---|---|---|
| YTD Return | 1.13% | 9.15% |
| 1Y Return | 19.26% | 17.86% |
| 3Y Return (Ann) | -3.39% | 4.90% |
| 5Y Return (Ann) | 7.70% | 7.42% |
| Sharpe Ratio | 1.28 | 1.63 |
| Sortino Ratio | 1.89 | 2.19 |
| Omega Ratio | 1.22 | 1.29 |
| Calmar Ratio | 0.80 | 2.45 |
| Martin Ratio | 5.75 | 10.07 |
| Ulcer Index | 3.58% | 1.69% |
| Daily Std Dev | 16.11% | 10.49% |
| Max Drawdown | -32.75% | -35.59% |
| Current Drawdown | -10.64% | -3.21% |
Correlation
The correlation between OMXS.L and VGEU.DE is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
OMXS.L vs. VGEU.DE - Performance Comparison
In the year-to-date period, OMXS.L achieves a 1.13% return, which is significantly lower than VGEU.DE's 9.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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OMXS.L vs. VGEU.DE - Expense Ratio Comparison
Both OMXS.L and VGEU.DE have an expense ratio of 0.10%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
OMXS.L vs. VGEU.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares OMX Stockholm Capped UCITS ETF (OMXS.L) and Vanguard FTSE Developed Europe UCITS ETF Distributing (VGEU.DE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
OMXS.L vs. VGEU.DE - Dividend Comparison
OMXS.L has not paid dividends to shareholders, while VGEU.DE's dividend yield for the trailing twelve months is around 2.58%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
OMXS.L iShares OMX Stockholm Capped UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VGEU.DE Vanguard FTSE Developed Europe UCITS ETF Distributing | 2.58% | 2.97% | 3.31% | 2.68% | 2.25% | 3.21% | 3.65% | 3.04% | 3.20% | 3.11% |
Drawdowns
OMXS.L vs. VGEU.DE - Drawdown Comparison
The maximum OMXS.L drawdown since its inception was -32.75%, smaller than the maximum VGEU.DE drawdown of -35.59%. Use the drawdown chart below to compare losses from any high point for OMXS.L and VGEU.DE. For additional features, visit the drawdowns tool.
Volatility
OMXS.L vs. VGEU.DE - Volatility Comparison
iShares OMX Stockholm Capped UCITS ETF (OMXS.L) has a higher volatility of 5.47% compared to Vanguard FTSE Developed Europe UCITS ETF Distributing (VGEU.DE) at 3.81%. This indicates that OMXS.L's price experiences larger fluctuations and is considered to be riskier than VGEU.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.