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TOELY vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TOELY and VEA is 0.15, 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.

0.00%1,000.00%2,000.00%3,000.00%4,000.00%JulyAugustSeptemberOctoberNovemberDecember
2,284.60%
218.49%
TOELY
VEA

Key characteristics

Sharpe Ratio

TOELY:

-0.22

VEA:

0.42

Sortino Ratio

TOELY:

0.03

VEA:

0.66

Omega Ratio

TOELY:

1.00

VEA:

1.08

Calmar Ratio

TOELY:

-0.24

VEA:

0.58

Martin Ratio

TOELY:

-0.43

VEA:

1.65

Ulcer Index

TOELY:

26.63%

VEA:

3.31%

Daily Std Dev

TOELY:

51.70%

VEA:

12.88%

Max Drawdown

TOELY:

-57.97%

VEA:

-60.69%

Current Drawdown

TOELY:

-43.49%

VEA:

-9.43%

Returns By Period

In the year-to-date period, TOELY achieves a -14.81% return, which is significantly lower than VEA's 2.61% return. Over the past 10 years, TOELY has outperformed VEA with an annualized return of 23.88%, while VEA has yielded a comparatively lower 5.25% annualized return.


TOELY

YTD

-14.81%

1M

6.44%

6M

-29.91%

1Y

-13.60%

5Y*

17.82%

10Y*

23.88%

VEA

YTD

2.61%

1M

-2.02%

6M

-1.37%

1Y

3.45%

5Y*

4.76%

10Y*

5.25%

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Risk-Adjusted Performance

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 -0.22, compared to the broader market-4.00-2.000.002.00-0.220.42
The chart of Sortino ratio for TOELY, currently valued at 0.03, compared to the broader market-4.00-2.000.002.004.000.030.66
The chart of Omega ratio for TOELY, currently valued at 1.00, compared to the broader market0.501.001.502.001.001.08
The chart of Calmar ratio for TOELY, currently valued at -0.24, compared to the broader market0.002.004.006.00-0.240.58
The chart of Martin ratio for TOELY, currently valued at -0.43, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.431.65
TOELY
VEA

The current TOELY Sharpe Ratio is -0.22, which is lower than the VEA Sharpe Ratio of 0.42. 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.22
0.42
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 3.37%.


TTM20232022202120202019201820172016201520142013
TOELY
Tokyo Electron ADR
0.00%1.72%4.12%1.98%2.67%3.69%8.98%3.74%3.42%3.85%1.86%1.37%
VEA
Vanguard FTSE Developed Markets ETF
3.37%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

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%JulyAugustSeptemberOctoberNovemberDecember
-43.49%
-9.43%
TOELY
VEA

Volatility

TOELY vs. VEA - Volatility Comparison

Tokyo Electron ADR (TOELY) has a higher volatility of 13.13% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.48%. 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%JulyAugustSeptemberOctoberNovemberDecember
13.13%
3.48%
TOELY
VEA
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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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