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

Performance

VDEQX vs. XLE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Diversified Equity Fund (VDEQX) and Energy Select Sector SPDR Fund (XLE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.51%
7.31%
VDEQX
XLE

Returns By Period

In the year-to-date period, VDEQX achieves a 21.89% return, which is significantly higher than XLE's 17.73% return. Over the past 10 years, VDEQX has outperformed XLE with an annualized return of 12.18%, while XLE has yielded a comparatively lower 4.88% annualized return.


VDEQX

YTD

21.89%

1M

1.77%

6M

10.52%

1Y

30.43%

5Y (annualized)

14.52%

10Y (annualized)

12.18%

XLE

YTD

17.73%

1M

6.96%

6M

6.34%

1Y

17.77%

5Y (annualized)

15.49%

10Y (annualized)

4.88%

Key characteristics


VDEQXXLE
Sharpe Ratio2.040.99
Sortino Ratio2.801.42
Omega Ratio1.391.18
Calmar Ratio2.981.32
Martin Ratio12.323.06
Ulcer Index2.43%5.71%
Daily Std Dev14.69%17.65%
Max Drawdown-56.27%-71.54%
Current Drawdown-1.60%-0.17%

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VDEQX vs. XLE - Expense Ratio Comparison

VDEQX has a 0.35% expense ratio, which is higher than XLE's 0.13% 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 XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Correlation

-0.50.00.51.00.6

The correlation between VDEQX and XLE is 0.62, 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.

Risk-Adjusted Performance

VDEQX vs. XLE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Diversified Equity Fund (VDEQX) and Energy Select Sector SPDR Fund (XLE). 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-1.000.001.002.003.004.005.002.040.99
The chart of Sortino ratio for VDEQX, currently valued at 2.80, compared to the broader market0.005.0010.002.801.42
The chart of Omega ratio for VDEQX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.18
The chart of Calmar ratio for VDEQX, currently valued at 2.98, compared to the broader market0.005.0010.0015.0020.0025.002.981.32
The chart of Martin ratio for VDEQX, currently valued at 12.32, compared to the broader market0.0020.0040.0060.0080.00100.0012.323.06
VDEQX
XLE

The current VDEQX Sharpe Ratio is 2.04, which is higher than the XLE Sharpe Ratio of 0.99. The chart below compares the historical Sharpe Ratios of VDEQX and XLE, 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.04
0.99
VDEQX
XLE

Dividends

VDEQX vs. XLE - Dividend Comparison

VDEQX's dividend yield for the trailing twelve months is around 0.75%, less than XLE's 3.09% 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%
XLE
Energy Select Sector SPDR Fund
3.09%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

Drawdowns

VDEQX vs. XLE - Drawdown Comparison

The maximum VDEQX drawdown since its inception was -56.27%, smaller than the maximum XLE drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for VDEQX and XLE. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.60%
-0.17%
VDEQX
XLE

Volatility

VDEQX vs. XLE - Volatility Comparison

The current volatility for Vanguard Diversified Equity Fund (VDEQX) is 4.48%, while Energy Select Sector SPDR Fund (XLE) has a volatility of 5.03%. This indicates that VDEQX experiences smaller price fluctuations and is considered to be less risky than XLE 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
4.48%
5.03%
VDEQX
XLE