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

Performance

VDEQX vs. VGWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Diversified Equity Fund (VDEQX) and Vanguard Global Wellington Fund Admiral Shares (VGWAX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.52%
2.47%
VDEQX
VGWAX

Returns By Period

In the year-to-date period, VDEQX achieves a 21.89% return, which is significantly higher than VGWAX's 7.59% return.


VDEQX

YTD

21.89%

1M

1.77%

6M

10.52%

1Y

30.43%

5Y (annualized)

14.52%

10Y (annualized)

12.18%

VGWAX

YTD

7.59%

1M

-1.88%

6M

2.46%

1Y

12.79%

5Y (annualized)

7.11%

10Y (annualized)

N/A

Key characteristics


VDEQXVGWAX
Sharpe Ratio2.041.87
Sortino Ratio2.802.62
Omega Ratio1.391.34
Calmar Ratio2.983.43
Martin Ratio12.3210.63
Ulcer Index2.43%1.19%
Daily Std Dev14.69%6.76%
Max Drawdown-56.27%-25.28%
Current Drawdown-1.60%-2.65%

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. VGWAX - Expense Ratio Comparison

VDEQX has a 0.35% expense ratio, which is higher than VGWAX's 0.29% 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 VGWAX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Correlation

-0.50.00.51.00.8

The correlation between VDEQX and VGWAX is 0.85, 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.

Risk-Adjusted Performance

VDEQX vs. VGWAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Diversified Equity Fund (VDEQX) and Vanguard Global Wellington Fund Admiral Shares (VGWAX). 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 VDEQX, currently valued at 2.04, compared to the broader market-1.000.001.002.003.004.005.002.041.87
The chart of Sortino ratio for VDEQX, currently valued at 2.80, compared to the broader market0.005.0010.002.802.62
The chart of Omega ratio for VDEQX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.34
The chart of Calmar ratio for VDEQX, currently valued at 2.98, compared to the broader market0.005.0010.0015.0020.0025.002.983.43
The chart of Martin ratio for VDEQX, currently valued at 12.32, compared to the broader market0.0020.0040.0060.0080.00100.0012.3210.63
VDEQX
VGWAX

The current VDEQX Sharpe Ratio is 2.04, which is comparable to the VGWAX Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of VDEQX and VGWAX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.04
1.87
VDEQX
VGWAX

Dividends

VDEQX vs. VGWAX - Dividend Comparison

VDEQX's dividend yield for the trailing twelve months is around 0.75%, less than VGWAX's 3.15% yield.


TTM20232022202120202019201820172016201520142013
VDEQX
Vanguard Diversified Equity Fund
0.75%0.92%0.71%0.60%0.75%0.97%1.24%1.02%1.38%1.21%1.06%0.93%
VGWAX
Vanguard Global Wellington Fund Admiral Shares
3.15%2.62%2.05%1.80%1.64%1.92%2.42%0.23%0.00%0.00%0.00%0.00%

Drawdowns

VDEQX vs. VGWAX - Drawdown Comparison

The maximum VDEQX drawdown since its inception was -56.27%, which is greater than VGWAX's maximum drawdown of -25.28%. Use the drawdown chart below to compare losses from any high point for VDEQX and VGWAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.60%
-2.65%
VDEQX
VGWAX

Volatility

VDEQX vs. VGWAX - Volatility Comparison

Vanguard Diversified Equity Fund (VDEQX) has a higher volatility of 4.48% compared to Vanguard Global Wellington Fund Admiral Shares (VGWAX) at 1.64%. This indicates that VDEQX's price experiences larger fluctuations and is considered to be riskier than VGWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.48%
1.64%
VDEQX
VGWAX