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SOR vs. VGWIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SOR and VGWIX is 0.72, 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.

SOR vs. VGWIX

Last updated Jun 1, 2025

Compare and contrast key facts about Source Capital, Inc. (SOR) and Vanguard Global Wellesley Income Fund Investor Shares (VGWIX).

VGWIX is managed by Vanguard. It was launched on Nov 2, 2017.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SOR or VGWIX.

Performance

SOR vs. VGWIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Source Capital, Inc. (SOR) and Vanguard Global Wellesley Income Fund Investor Shares (VGWIX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SOR:

0.88

VGWIX:

1.66

Sortino Ratio

SOR:

1.30

VGWIX:

2.23

Omega Ratio

SOR:

1.18

VGWIX:

1.31

Calmar Ratio

SOR:

1.68

VGWIX:

2.32

Martin Ratio

SOR:

5.93

VGWIX:

6.93

Ulcer Index

SOR:

2.16%

VGWIX:

1.39%

Daily Std Dev

SOR:

15.13%

VGWIX:

6.01%

Max Drawdown

SOR:

-65.92%

VGWIX:

-17.74%

Current Drawdown

SOR:

-0.72%

VGWIX:

0.00%

Returns By Period

In the year-to-date period, SOR achieves a 0.33% return, which is significantly lower than VGWIX's 5.80% return.

SOR

YTD

0.33%

1M

2.86%

6M

3.47%

1Y

12.05%

3Y*

12.41%

5Y*

14.46%

10Y*

8.79%

VGWIX

YTD

5.80%

1M

1.80%

6M

3.35%

1Y

9.15%

3Y*

5.73%

5Y*

5.61%

10Y*

N/A

*Annualized

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Source Capital, Inc.

Vanguard Global Wellesley Income Fund Investor Shares

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

SOR vs. VGWIX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SOR
The Risk-Adjusted Performance Rank of SOR is 8080
Overall Rank
The Sharpe Ratio Rank of SOR is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of SOR is 7272
Sortino Ratio Rank
The Omega Ratio Rank of SOR is 7272
Omega Ratio Rank
The Calmar Ratio Rank of SOR is 9090
Calmar Ratio Rank
The Martin Ratio Rank of SOR is 8888
Martin Ratio Rank
VGWIX
The Risk-Adjusted Performance Rank of VGWIX is 8989
Overall Rank
The Sharpe Ratio Rank of VGWIX is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of VGWIX is 8888
Sortino Ratio Rank
The Omega Ratio Rank of VGWIX is 8888
Omega Ratio Rank
The Calmar Ratio Rank of VGWIX is 9393
Calmar Ratio Rank
The Martin Ratio Rank of VGWIX is 8989
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SOR vs. VGWIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Source Capital, Inc. (SOR) and Vanguard Global Wellesley Income Fund Investor Shares (VGWIX). 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.

The current SOR Sharpe Ratio is 0.88, which is lower than the VGWIX Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of SOR and VGWIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

SOR vs. VGWIX - Dividend Comparison

SOR's dividend yield for the trailing twelve months is around 12.11%, more than VGWIX's 3.61% yield.

TTM20242023202220212020201920182017201620152014
SOR
Source Capital, Inc.		12.11%11.85%7.21%5.74%11.09%4.11%2.58%12.90%4.24%98.00%6.04%5.88%
VGWIX
Vanguard Global Wellesley Income Fund Investor Shares		3.61%3.77%3.03%1.41%2.27%1.89%2.16%4.25%0.28%0.00%0.00%0.00%

Drawdowns

SOR vs. VGWIX - Drawdown Comparison

The maximum SOR drawdown since its inception was -65.92%, which is greater than VGWIX's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for SOR and VGWIX.

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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

SOR vs. VGWIX - Volatility Comparison

Source Capital, Inc. (SOR) has a higher volatility of 3.07% compared to Vanguard Global Wellesley Income Fund Investor Shares (VGWIX) at 1.66%. This indicates that SOR's price experiences larger fluctuations and is considered to be riskier than VGWIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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