TQGEX vs. VTWAX

Last updated Jun 5, 2026

TQGEX (T. Rowe Price Integrated Global Equity Fund) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both Global Equities funds. TQGEX is actively managed, while VTWAX is passively managed. Over the past 5 years, TQGEX returned 12.72%/yr vs 10.98%/yr for VTWAX. With a 0.98 correlation, they move nearly in lockstep. TQGEX charges 0.74%/yr vs 0.09%/yr for VTWAX.

Performance

TQGEX vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Integrated Global Equity Fund (TQGEX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TQGEX achieves a 13.08% return, which is significantly higher than VTWAX's 12.29% return.

TQGEX

• 1D: -0.66%
• 1M: 4.34%
• YTD: 13.08%
• 6M: 14.07%
• 1Y: 29.47%
• 3Y*: 22.76%
• 5Y*: 12.72%
• 10Y*: —

VTWAX

• 1D: -0.76%
• 1M: 3.90%
• YTD: 12.29%
• 6M: 13.02%
• 1Y: 29.00%
• 3Y*: 20.96%
• 5Y*: 10.98%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

TQGEX vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
TQGEX T. Rowe Price Integrated Global Equity Fund	13.08%	22.55%	17.91%	23.69%	-17.22%	19.65%	15.35%	18.40%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	12.29%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	17.53%

Correlation

The correlation between TQGEX and VTWAX is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (All Time) Calculated using the full available price history since Feb 8, 2019	0.98

The correlation between TQGEX and VTWAX has been stable across timeframes, ranging from 0.97 to 0.99 - a consistent structural relationship.

Return for Risk

TQGEX vs. VTWAX — Risk / Return Rank

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

TQGEX

TQGEX Risk / Return Rank: 71
TQGEX Sharpe Ratio Rank: 75
TQGEX Sortino Ratio Rank: 71
TQGEX Omega Ratio Rank: 70
TQGEX Calmar Ratio Rank: 65
TQGEX Martin Ratio Rank: 76

VTWAX

VTWAX Risk / Return Rank: 63
VTWAX Sharpe Ratio Rank: 64
VTWAX Sortino Ratio Rank: 60
VTWAX Omega Ratio Rank: 59
VTWAX Calmar Ratio Rank: 62
VTWAX Martin Ratio Rank: 71

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TQGEX vs. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Integrated Global Equity Fund (TQGEX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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.

	TQGEX	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	2.47	2.38	+0.09
Sortino ratio: Return per unit of downside risk	3.42	3.27	+0.15
Omega ratio: Gain probability vs. loss probability	1.45	1.43	+0.02
Calmar ratio: Return relative to maximum drawdown	3.01	3.05	-0.04
Martin ratio: Return relative to average drawdown	13.64	13.64	0.00
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TQGEX vs. VTWAX - Sharpe Ratio Comparison

The current TQGEX Sharpe Ratio is 2.47, which is comparable to the VTWAX Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of TQGEX and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TQGEX	VTWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.47	2.38	+0.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.83	0.70	+0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	0.77	+0.04

Drawdowns

TQGEX vs. VTWAX - Drawdown Comparison

The maximum TQGEX drawdown since its inception was -32.97%, roughly equal to the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for TQGEX and VTWAX.

Drawdown Indicators

	TQGEX	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-32.97%	-34.20%	+1.23%
Max Drawdown (1Y) Largest decline over 1 year	-9.92%	-9.64%	-0.28%
Max Drawdown (3Y) Largest decline over 3 years	-15.96%	-16.43%	+0.47%
Max Drawdown (5Y) Largest decline over 5 years	-25.55%	-26.40%	+0.85%
Current Drawdown Current decline from peak	-0.66%	-0.76%	+0.10%
Average Drawdown Average peak-to-trough decline	-4.85%	-5.30%	+0.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.18%	2.15%	+0.03%

Volatility

TQGEX vs. VTWAX - Volatility Comparison

T. Rowe Price Integrated Global Equity Fund (TQGEX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) have volatilities of 3.59% and 3.64%, 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.

Volatility by Period

	TQGEX	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.59%	3.64%	-0.05%
Volatility (6M) Calculated over the trailing 6-month period	9.74%	9.84%	-0.10%
Volatility (1Y) Calculated over the trailing 1-year period	12.09%	12.39%	-0.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.34%	15.72%	-0.38%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.72%	18.20%	-1.48%

TQGEX vs. VTWAX - Expense Ratio Comparison

TQGEX has a 0.74% expense ratio, which is higher than VTWAX's 0.09% expense ratio.

Dividends

TQGEX vs. VTWAX - Dividend Comparison

TQGEX's dividend yield for the trailing twelve months is around 2.93%, more than VTWAX's 1.57% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
TQGEX T. Rowe Price Integrated Global Equity Fund	2.93%	3.32%	4.28%	2.93%	20.83%	0.77%	0.93%	1.41%	1.78%	1.34%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.57%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TQGEX and VTWAX in my portfolio?

With a correlation of 0.99, TQGEX and VTWAX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, TQGEX or VTWAX?

VTWAX has higher volatility (3.64%) compared to TQGEX (3.59%). In terms of maximum drawdown, TQGEX dropped -32.97% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

TQGEX currently has the higher Sharpe Ratio (2.47 vs 2.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.