PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TOELY vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TOELY and VEA is 0.16, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

TOELY vs. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Tokyo Electron ADR (TOELY) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%5.00%SeptemberOctoberNovemberDecember2025February
-11.86%
-0.38%
TOELY
VEA

Key characteristics

Sharpe Ratio

TOELY:

-0.51

VEA:

0.76

Sortino Ratio

TOELY:

-0.48

VEA:

1.12

Omega Ratio

TOELY:

0.94

VEA:

1.14

Calmar Ratio

TOELY:

-0.54

VEA:

1.00

Martin Ratio

TOELY:

-0.86

VEA:

2.36

Ulcer Index

TOELY:

30.68%

VEA:

4.14%

Daily Std Dev

TOELY:

51.80%

VEA:

12.87%

Max Drawdown

TOELY:

-57.97%

VEA:

-60.69%

Current Drawdown

TOELY:

-37.59%

VEA:

-2.44%

Returns By Period

In the year-to-date period, TOELY achieves a 10.73% return, which is significantly higher than VEA's 7.15% return. Over the past 10 years, TOELY has outperformed VEA with an annualized return of 25.36%, while VEA has yielded a comparatively lower 5.51% annualized return.


TOELY

YTD

10.73%

1M

-5.49%

6M

-11.86%

1Y

-32.49%

5Y*

19.79%

10Y*

25.36%

VEA

YTD

7.15%

1M

3.72%

6M

-0.38%

1Y

8.55%

5Y*

6.60%

10Y*

5.51%

*Annualized

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

TOELY vs. VEA — Risk-Adjusted Performance Rank

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

TOELY
The Risk-Adjusted Performance Rank of TOELY is 2121
Overall Rank
The Sharpe Ratio Rank of TOELY is 2020
Sharpe Ratio Rank
The Sortino Ratio Rank of TOELY is 2020
Sortino Ratio Rank
The Omega Ratio Rank of TOELY is 2121
Omega Ratio Rank
The Calmar Ratio Rank of TOELY is 1515
Calmar Ratio Rank
The Martin Ratio Rank of TOELY is 2828
Martin Ratio Rank

VEA
The Risk-Adjusted Performance Rank of VEA is 3131
Overall Rank
The Sharpe Ratio Rank of VEA is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of VEA is 2828
Sortino Ratio Rank
The Omega Ratio Rank of VEA is 2828
Omega Ratio Rank
The Calmar Ratio Rank of VEA is 4343
Calmar Ratio Rank
The Martin Ratio Rank of VEA is 2727
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.

TOELY vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tokyo Electron ADR (TOELY) and Vanguard FTSE Developed Markets ETF (VEA). 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 TOELY, currently valued at -0.51, compared to the broader market-2.000.002.00-0.510.76
The chart of Sortino ratio for TOELY, currently valued at -0.48, compared to the broader market-4.00-2.000.002.004.006.00-0.481.12
The chart of Omega ratio for TOELY, currently valued at 0.94, compared to the broader market0.501.001.502.000.941.14
The chart of Calmar ratio for TOELY, currently valued at -0.54, compared to the broader market0.002.004.006.00-0.541.00
The chart of Martin ratio for TOELY, currently valued at -0.86, compared to the broader market-10.000.0010.0020.0030.00-0.862.36
TOELY
VEA

The current TOELY Sharpe Ratio is -0.51, which is lower than the VEA Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of TOELY and VEA, 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 Ratio-0.500.000.501.001.502.00SeptemberOctoberNovemberDecember2025February
-0.51
0.76
TOELY
VEA

Dividends

TOELY vs. VEA - Dividend Comparison

TOELY has not paid dividends to shareholders, while VEA's dividend yield for the trailing twelve months is around 3.13%.


TTM20242023202220212020201920182017201620152014
TOELY
Tokyo Electron ADR
0.00%0.00%1.72%4.12%1.98%2.67%3.69%8.98%3.74%3.42%3.85%1.86%
VEA
Vanguard FTSE Developed Markets ETF
3.13%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

Drawdowns

TOELY vs. VEA - Drawdown Comparison

The maximum TOELY drawdown since its inception was -57.97%, roughly equal to the maximum VEA drawdown of -60.69%. Use the drawdown chart below to compare losses from any high point for TOELY and VEA. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2025February
-37.59%
-2.44%
TOELY
VEA

Volatility

TOELY vs. VEA - Volatility Comparison

Tokyo Electron ADR (TOELY) has a higher volatility of 14.28% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.42%. This indicates that TOELY's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%SeptemberOctoberNovemberDecember2025February
14.28%
3.42%
TOELY
VEA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab