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SPDW vs. VEU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPDW and VEU is 0.94, 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.


-0.50.00.51.00.9

Performance

SPDW vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio World ex-US ETF (SPDW) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

65.00%70.00%75.00%80.00%85.00%JulyAugustSeptemberOctoberNovemberDecember
68.49%
70.95%
SPDW
VEU

Key characteristics

Sharpe Ratio

SPDW:

0.47

VEU:

0.66

Sortino Ratio

SPDW:

0.72

VEU:

0.98

Omega Ratio

SPDW:

1.09

VEU:

1.12

Calmar Ratio

SPDW:

0.65

VEU:

0.91

Martin Ratio

SPDW:

1.85

VEU:

2.68

Ulcer Index

SPDW:

3.26%

VEU:

3.13%

Daily Std Dev

SPDW:

12.83%

VEU:

12.70%

Max Drawdown

SPDW:

-60.02%

VEU:

-61.52%

Current Drawdown

SPDW:

-9.11%

VEU:

-8.57%

Returns By Period

In the year-to-date period, SPDW achieves a 3.24% return, which is significantly lower than VEU's 5.34% return. Both investments have delivered pretty close results over the past 10 years, with SPDW having a 5.13% annualized return and VEU not far behind at 5.01%.


SPDW

YTD

3.24%

1M

-1.85%

6M

-1.01%

1Y

4.13%

5Y*

4.70%

10Y*

5.13%

VEU

YTD

5.34%

1M

-1.35%

6M

0.09%

1Y

6.52%

5Y*

4.46%

10Y*

5.01%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPDW vs. VEU - Expense Ratio Comparison

SPDW has a 0.04% expense ratio, which is lower than VEU's 0.07% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VEU
Vanguard FTSE All-World ex-US ETF
Expense ratio chart for VEU: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for SPDW: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SPDW vs. VEU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio World ex-US ETF (SPDW) and Vanguard FTSE All-World ex-US ETF (VEU). 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 SPDW, currently valued at 0.47, compared to the broader market0.002.004.000.470.66
The chart of Sortino ratio for SPDW, currently valued at 0.72, compared to the broader market-2.000.002.004.006.008.0010.000.720.98
The chart of Omega ratio for SPDW, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.12
The chart of Calmar ratio for SPDW, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.650.91
The chart of Martin ratio for SPDW, currently valued at 1.85, compared to the broader market0.0020.0040.0060.0080.00100.001.852.68
SPDW
VEU

The current SPDW Sharpe Ratio is 0.47, which is comparable to the VEU Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of SPDW and VEU, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.47
0.66
SPDW
VEU

Dividends

SPDW vs. VEU - Dividend Comparison

SPDW's dividend yield for the trailing twelve months is around 1.79%, less than VEU's 3.25% yield.


TTM20232022202120202019201820172016201520142013
SPDW
SPDR Portfolio World ex-US ETF
1.79%2.75%3.12%3.04%1.87%3.13%3.08%1.86%3.11%2.79%3.51%2.37%
VEU
Vanguard FTSE All-World ex-US ETF
3.25%3.32%3.12%3.07%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%

Drawdowns

SPDW vs. VEU - Drawdown Comparison

The maximum SPDW drawdown since its inception was -60.02%, roughly equal to the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for SPDW and VEU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.11%
-8.57%
SPDW
VEU

Volatility

SPDW vs. VEU - Volatility Comparison

SPDR Portfolio World ex-US ETF (SPDW) and Vanguard FTSE All-World ex-US ETF (VEU) have volatilities of 3.40% and 3.36%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.40%
3.36%
SPDW
VEU
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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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