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SPGM vs. VXUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPGM and VXUS is 0.76, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

SPGM vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%NovemberDecember2025FebruaryMarchApril0
-9.11%
SPGM
VXUS

Key characteristics

Sharpe Ratio

SPGM:

-0.15

VXUS:

-0.10

Sortino Ratio

SPGM:

-0.09

VXUS:

-0.03

Omega Ratio

SPGM:

0.99

VXUS:

1.00

Calmar Ratio

SPGM:

-0.02

VXUS:

-0.14

Martin Ratio

SPGM:

-0.77

VXUS:

-0.36

Ulcer Index

SPGM:

2.83%

VXUS:

4.03%

Daily Std Dev

SPGM:

14.89%

VXUS:

14.80%

Max Drawdown

SPGM:

-100.00%

VXUS:

-35.97%

Current Drawdown

SPGM:

-99.99%

VXUS:

-10.61%

Returns By Period

In the year-to-date period, SPGM achieves a -10.17% return, which is significantly lower than VXUS's -2.22% return. Over the past 10 years, SPGM has outperformed VXUS with an annualized return of 7.86%, while VXUS has yielded a comparatively lower 4.12% annualized return.


SPGM

YTD

-10.17%

1M

-12.15%

6M

-11.06%

1Y

-1.24%

5Y*

14.36%

10Y*

7.86%

VXUS

YTD

-2.22%

1M

-9.75%

6M

-9.29%

1Y

-0.77%

5Y*

10.63%

10Y*

4.12%

*Annualized

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SPGM vs. VXUS - Expense Ratio Comparison

SPGM has a 0.09% expense ratio, which is higher than VXUS's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for SPGM: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPGM: 0.09%
Expense ratio chart for VXUS: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VXUS: 0.07%

Risk-Adjusted Performance

SPGM vs. VXUS — Risk-Adjusted Performance Rank

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

SPGM
The Risk-Adjusted Performance Rank of SPGM is 2222
Overall Rank
The Sharpe Ratio Rank of SPGM is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of SPGM is 2121
Sortino Ratio Rank
The Omega Ratio Rank of SPGM is 2121
Omega Ratio Rank
The Calmar Ratio Rank of SPGM is 2929
Calmar Ratio Rank
The Martin Ratio Rank of SPGM is 1717
Martin Ratio Rank

VXUS
The Risk-Adjusted Performance Rank of VXUS is 2121
Overall Rank
The Sharpe Ratio Rank of VXUS is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of VXUS is 2121
Sortino Ratio Rank
The Omega Ratio Rank of VXUS is 2121
Omega Ratio Rank
The Calmar Ratio Rank of VXUS is 1919
Calmar Ratio Rank
The Martin Ratio Rank of VXUS is 2121
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.

SPGM vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Vanguard Total International Stock ETF (VXUS). 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 chart of Sharpe ratio for SPGM, currently valued at -0.15, compared to the broader market-1.000.001.002.003.004.00
SPGM: -0.15
VXUS: -0.10
The chart of Sortino ratio for SPGM, currently valued at -0.09, compared to the broader market-2.000.002.004.006.008.0010.00
SPGM: -0.09
VXUS: -0.03
The chart of Omega ratio for SPGM, currently valued at 0.99, compared to the broader market0.501.001.502.002.50
SPGM: 0.99
VXUS: 1.00
The chart of Calmar ratio for SPGM, currently valued at -0.02, compared to the broader market0.005.0010.0015.00
SPGM: -0.02
VXUS: -0.14
The chart of Martin ratio for SPGM, currently valued at -0.77, compared to the broader market0.0020.0040.0060.0080.00100.00
SPGM: -0.77
VXUS: -0.36

The current SPGM Sharpe Ratio is -0.15, which is lower than the VXUS Sharpe Ratio of -0.10. The chart below compares the historical Sharpe Ratios of SPGM and VXUS, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.15
-0.10
SPGM
VXUS

Dividends

SPGM vs. VXUS - Dividend Comparison

SPGM's dividend yield for the trailing twelve months is around 2.21%, less than VXUS's 3.40% yield.


TTM20242023202220212020201920182017201620152014
SPGM
SPDR Portfolio MSCI Global Stock Market ETF
2.21%1.98%2.09%2.37%1.94%1.45%2.46%1.89%2.29%1.87%3.70%2.18%
VXUS
Vanguard Total International Stock ETF
3.40%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%

Drawdowns

SPGM vs. VXUS - Drawdown Comparison

The maximum SPGM drawdown since its inception was -100.00%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for SPGM and VXUS. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-99.99%
-10.61%
SPGM
VXUS

Volatility

SPGM vs. VXUS - Volatility Comparison

SPDR Portfolio MSCI Global Stock Market ETF (SPGM) has a higher volatility of 8.64% compared to Vanguard Total International Stock ETF (VXUS) at 7.63%. This indicates that SPGM's price experiences larger fluctuations and is considered to be riskier than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%NovemberDecember2025FebruaryMarchApril
8.64%
7.63%
SPGM
VXUS