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

Key characteristics


VDEQXVGELX
YTD Return23.26%11.47%
1Y Return38.33%14.31%
3Y Return (Ann)6.04%13.56%
5Y Return (Ann)14.98%5.93%
10Y Return (Ann)12.43%1.01%
Sharpe Ratio2.501.15
Sortino Ratio3.391.61
Omega Ratio1.481.20
Calmar Ratio2.610.52
Martin Ratio15.354.99
Ulcer Index2.42%2.84%
Daily Std Dev14.86%12.26%
Max Drawdown-56.27%-69.48%
Current Drawdown0.00%-14.57%

Correlation

-0.50.00.51.00.7

The correlation between VDEQX and VGELX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VDEQX vs. VGELX - Performance Comparison

In the year-to-date period, VDEQX achieves a 23.26% return, which is significantly higher than VGELX's 11.47% return. Over the past 10 years, VDEQX has outperformed VGELX with an annualized return of 12.43%, while VGELX has yielded a comparatively lower 1.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.35%
3.84%
VDEQX
VGELX

Compare stocks, funds, or ETFs

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


VDEQX vs. VGELX - Expense Ratio Comparison

VDEQX has a 0.35% expense ratio, which is higher than VGELX's 0.33% expense ratio.


VDEQX
Vanguard Diversified Equity Fund
Expense ratio chart for VDEQX: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VGELX: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

VDEQX vs. VGELX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Diversified Equity Fund (VDEQX) and Vanguard Energy Fund Admiral Shares (VGELX). 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.


VDEQX
Sharpe ratio
The chart of Sharpe ratio for VDEQX, currently valued at 2.50, compared to the broader market0.002.004.002.50
Sortino ratio
The chart of Sortino ratio for VDEQX, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for VDEQX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for VDEQX, currently valued at 2.61, compared to the broader market0.005.0010.0015.0020.0025.002.61
Martin ratio
The chart of Martin ratio for VDEQX, currently valued at 15.35, compared to the broader market0.0020.0040.0060.0080.00100.0015.35
VGELX
Sharpe ratio
The chart of Sharpe ratio for VGELX, currently valued at 1.15, compared to the broader market0.002.004.001.15
Sortino ratio
The chart of Sortino ratio for VGELX, currently valued at 1.61, compared to the broader market0.005.0010.001.61
Omega ratio
The chart of Omega ratio for VGELX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for VGELX, currently valued at 0.52, compared to the broader market0.005.0010.0015.0020.0025.000.52
Martin ratio
The chart of Martin ratio for VGELX, currently valued at 4.99, compared to the broader market0.0020.0040.0060.0080.00100.004.99

VDEQX vs. VGELX - Sharpe Ratio Comparison

The current VDEQX Sharpe Ratio is 2.50, which is higher than the VGELX Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of VDEQX and VGELX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.50
1.15
VDEQX
VGELX

Dividends

VDEQX vs. VGELX - Dividend Comparison

VDEQX's dividend yield for the trailing twelve months is around 0.74%, less than VGELX's 3.77% yield.


TTM20232022202120202019201820172016201520142013
VDEQX
Vanguard Diversified Equity Fund
0.74%0.92%0.71%0.60%0.75%0.97%1.24%1.02%1.38%1.21%1.06%0.93%
VGELX
Vanguard Energy Fund Admiral Shares
3.77%4.28%4.71%3.69%4.54%3.38%3.07%3.05%1.91%2.70%2.34%1.98%

Drawdowns

VDEQX vs. VGELX - Drawdown Comparison

The maximum VDEQX drawdown since its inception was -56.27%, smaller than the maximum VGELX drawdown of -69.48%. Use the drawdown chart below to compare losses from any high point for VDEQX and VGELX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-14.57%
VDEQX
VGELX

Volatility

VDEQX vs. VGELX - Volatility Comparison

Vanguard Diversified Equity Fund (VDEQX) has a higher volatility of 4.24% compared to Vanguard Energy Fund Admiral Shares (VGELX) at 3.07%. This indicates that VDEQX's price experiences larger fluctuations and is considered to be riskier than VGELX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.24%
3.07%
VDEQX
VGELX