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

Correlation

The correlation between SPDW and VEU is 0.80, 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

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.

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Key characteristics

Sharpe Ratio

SPDW:

0.84

VEU:

0.82

Sortino Ratio

SPDW:

1.19

VEU:

1.15

Omega Ratio

SPDW:

1.16

VEU:

1.15

Calmar Ratio

SPDW:

0.98

VEU:

0.91

Martin Ratio

SPDW:

3.01

VEU:

2.88

Ulcer Index

SPDW:

4.39%

VEU:

4.34%

Daily Std Dev

SPDW:

17.15%

VEU:

16.84%

Max Drawdown

SPDW:

-60.02%

VEU:

-61.52%

Current Drawdown

SPDW:

-0.43%

VEU:

-0.69%

Returns By Period

In the year-to-date period, SPDW achieves a 16.64% return, which is significantly higher than VEU's 13.97% return. Over the past 10 years, SPDW has outperformed VEU with an annualized return of 6.01%, while VEU has yielded a comparatively lower 5.68% annualized return.


SPDW

YTD

16.64%

1M

5.15%

6M

12.68%

1Y

14.23%

3Y*

10.34%

5Y*

11.24%

10Y*

6.01%

VEU

YTD

13.97%

1M

4.64%

6M

11.01%

1Y

13.63%

3Y*

9.56%

5Y*

10.58%

10Y*

5.68%

*Annualized

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SPDR Portfolio World ex-US ETF

Vanguard FTSE All-World ex-US ETF

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%.


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

Risk-Adjusted Performance

SPDW vs. VEU — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SPDW
The Risk-Adjusted Performance Rank of SPDW is 7171
Overall Rank
The Sharpe Ratio Rank of SPDW is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of SPDW is 6969
Sortino Ratio Rank
The Omega Ratio Rank of SPDW is 6868
Omega Ratio Rank
The Calmar Ratio Rank of SPDW is 7979
Calmar Ratio Rank
The Martin Ratio Rank of SPDW is 7070
Martin Ratio Rank

VEU
The Risk-Adjusted Performance Rank of VEU is 6969
Overall Rank
The Sharpe Ratio Rank of VEU is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VEU is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VEU is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VEU is 7777
Calmar Ratio Rank
The Martin Ratio Rank of VEU is 6969
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.

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.


The current SPDW Sharpe Ratio is 0.84, which is comparable to the VEU Sharpe Ratio of 0.82. 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.


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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

SPDW vs. VEU - Dividend Comparison

SPDW's dividend yield for the trailing twelve months is around 2.74%, less than VEU's 2.82% yield.


TTM20242023202220212020201920182017201620152014
SPDW
SPDR Portfolio World ex-US ETF
2.74%3.19%2.75%3.12%3.04%1.87%3.13%3.08%1.86%3.11%2.79%3.51%
VEU
Vanguard FTSE All-World ex-US ETF
2.82%3.24%3.32%3.12%3.07%2.00%3.10%3.27%2.66%2.96%2.95%3.52%

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.


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

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 2.90% and 2.92%, 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.


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