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VDEQX vs. VPU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VDEQXVPU
YTD Return23.26%27.61%
1Y Return38.33%36.56%
3Y Return (Ann)6.04%8.86%
5Y Return (Ann)14.98%7.90%
10Y Return (Ann)12.43%8.89%
Sharpe Ratio2.502.19
Sortino Ratio3.393.05
Omega Ratio1.481.38
Calmar Ratio2.611.65
Martin Ratio15.3511.19
Ulcer Index2.42%3.10%
Daily Std Dev14.86%15.86%
Max Drawdown-56.27%-46.31%
Current Drawdown0.00%-3.55%

Correlation

-0.50.00.51.00.5

The correlation between VDEQX and VPU is 0.49, 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. VPU - Performance Comparison

In the year-to-date period, VDEQX achieves a 23.26% return, which is significantly lower than VPU's 27.61% return. Over the past 10 years, VDEQX has outperformed VPU with an annualized return of 12.43%, while VPU has yielded a comparatively lower 8.89% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
13.40%
12.16%
VDEQX
VPU

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VDEQX vs. VPU - Expense Ratio Comparison

VDEQX has a 0.35% expense ratio, which is higher than VPU's 0.10% 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 VPU: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VDEQX vs. VPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Diversified Equity Fund (VDEQX) and Vanguard Utilities ETF (VPU). 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
VPU
Sharpe ratio
The chart of Sharpe ratio for VPU, currently valued at 2.19, compared to the broader market0.002.004.002.19
Sortino ratio
The chart of Sortino ratio for VPU, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for VPU, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for VPU, currently valued at 1.65, compared to the broader market0.005.0010.0015.0020.0025.001.65
Martin ratio
The chart of Martin ratio for VPU, currently valued at 11.19, compared to the broader market0.0020.0040.0060.0080.00100.0011.19

VDEQX vs. VPU - Sharpe Ratio Comparison

The current VDEQX Sharpe Ratio is 2.50, which is comparable to the VPU Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of VDEQX and VPU, 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
2.19
VDEQX
VPU

Dividends

VDEQX vs. VPU - Dividend Comparison

VDEQX's dividend yield for the trailing twelve months is around 0.74%, less than VPU's 2.91% 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%
VPU
Vanguard Utilities ETF
2.91%3.49%2.98%2.70%3.17%2.83%3.23%3.18%3.19%3.63%3.02%3.76%

Drawdowns

VDEQX vs. VPU - Drawdown Comparison

The maximum VDEQX drawdown since its inception was -56.27%, which is greater than VPU's maximum drawdown of -46.31%. Use the drawdown chart below to compare losses from any high point for VDEQX and VPU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.55%
VDEQX
VPU

Volatility

VDEQX vs. VPU - Volatility Comparison

The current volatility for Vanguard Diversified Equity Fund (VDEQX) is 4.24%, while Vanguard Utilities ETF (VPU) has a volatility of 5.47%. This indicates that VDEQX experiences smaller price fluctuations and is considered to be less risky than VPU 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%
5.47%
VDEQX
VPU