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VNQI vs. RWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VNQI and RWO is 0.77, 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.


-0.50.00.51.00.8

Performance

VNQI vs. RWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global ex-U.S. Real Estate ETF (VNQI) and SPDR Dow Jones Global Real Estate ETF (RWO). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
38.98%
92.93%
VNQI
RWO

Key characteristics

Sharpe Ratio

VNQI:

0.03

RWO:

0.22

Sortino Ratio

VNQI:

0.14

RWO:

0.39

Omega Ratio

VNQI:

1.02

RWO:

1.05

Calmar Ratio

VNQI:

0.02

RWO:

0.13

Martin Ratio

VNQI:

0.09

RWO:

0.68

Ulcer Index

VNQI:

5.19%

RWO:

4.60%

Daily Std Dev

VNQI:

14.14%

RWO:

14.36%

Max Drawdown

VNQI:

-38.35%

RWO:

-68.60%

Current Drawdown

VNQI:

-24.43%

RWO:

-16.16%

Returns By Period

In the year-to-date period, VNQI achieves a -3.06% return, which is significantly lower than RWO's 0.95% return. Over the past 10 years, VNQI has underperformed RWO with an annualized return of 0.90%, while RWO has yielded a comparatively higher 2.29% annualized return.


VNQI

YTD

-3.06%

1M

-2.30%

6M

2.12%

1Y

-1.77%

5Y*

-4.38%

10Y*

0.90%

RWO

YTD

0.95%

1M

-4.94%

6M

5.66%

1Y

2.07%

5Y*

0.02%

10Y*

2.29%

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VNQI vs. RWO - Expense Ratio Comparison

VNQI has a 0.12% expense ratio, which is lower than RWO's 0.50% expense ratio.


RWO
SPDR Dow Jones Global Real Estate ETF
Expense ratio chart for RWO: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for VNQI: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

VNQI vs. RWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global ex-U.S. Real Estate ETF (VNQI) and SPDR Dow Jones Global Real Estate ETF (RWO). 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.


Sharpe ratio
The chart of Sharpe ratio for VNQI, currently valued at 0.03, compared to the broader market0.002.004.000.030.22
The chart of Sortino ratio for VNQI, currently valued at 0.14, compared to the broader market-2.000.002.004.006.008.0010.000.140.39
The chart of Omega ratio for VNQI, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.05
The chart of Calmar ratio for VNQI, currently valued at 0.02, compared to the broader market0.005.0010.0015.000.020.13
The chart of Martin ratio for VNQI, currently valued at 0.09, compared to the broader market0.0020.0040.0060.0080.00100.000.090.68
VNQI
RWO

The current VNQI Sharpe Ratio is 0.03, which is lower than the RWO Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of VNQI and RWO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.03
0.22
VNQI
RWO

Dividends

VNQI vs. RWO - Dividend Comparison

VNQI's dividend yield for the trailing twelve months is around 5.20%, more than RWO's 2.48% yield.


TTM20232022202120202019201820172016201520142013
VNQI
Vanguard Global ex-U.S. Real Estate ETF
5.20%3.74%0.57%6.48%0.93%7.57%4.62%3.86%5.18%2.86%4.11%3.27%
RWO
SPDR Dow Jones Global Real Estate ETF
2.48%3.53%3.69%2.79%3.25%3.97%3.90%3.26%3.77%2.97%3.08%3.77%

Drawdowns

VNQI vs. RWO - Drawdown Comparison

The maximum VNQI drawdown since its inception was -38.35%, smaller than the maximum RWO drawdown of -68.60%. Use the drawdown chart below to compare losses from any high point for VNQI and RWO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-24.43%
-16.16%
VNQI
RWO

Volatility

VNQI vs. RWO - Volatility Comparison

The current volatility for Vanguard Global ex-U.S. Real Estate ETF (VNQI) is 3.85%, while SPDR Dow Jones Global Real Estate ETF (RWO) has a volatility of 4.80%. This indicates that VNQI experiences smaller price fluctuations and is considered to be less risky than RWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.85%
4.80%
VNQI
RWO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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