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

Correlation

The correlation between VDIPX and VTIAX is 0.98, 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.


-0.50.00.51.01.0

Performance

VDIPX vs. VTIAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Developed Markets Index Fund Institutional Plus Shares (VDIPX) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX). The values are adjusted to include any dividend payments, if applicable.

55.00%60.00%65.00%70.00%75.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
63.06%
58.45%
VDIPX
VTIAX

Key characteristics

Sharpe Ratio

VDIPX:

0.30

VTIAX:

0.51

Sortino Ratio

VDIPX:

0.50

VTIAX:

0.77

Omega Ratio

VDIPX:

1.06

VTIAX:

1.09

Calmar Ratio

VDIPX:

0.36

VTIAX:

0.63

Martin Ratio

VDIPX:

1.16

VTIAX:

2.05

Ulcer Index

VDIPX:

3.36%

VTIAX:

3.02%

Daily Std Dev

VDIPX:

12.78%

VTIAX:

12.23%

Max Drawdown

VDIPX:

-35.61%

VTIAX:

-35.83%

Current Drawdown

VDIPX:

-10.80%

VTIAX:

-9.86%

Returns By Period

In the year-to-date period, VDIPX achieves a 1.09% return, which is significantly lower than VTIAX's 3.18% return. Over the past 10 years, VDIPX has outperformed VTIAX with an annualized return of 5.13%, while VTIAX has yielded a comparatively lower 4.77% annualized return.


VDIPX

YTD

1.09%

1M

-3.43%

6M

-2.73%

1Y

2.28%

5Y*

4.48%

10Y*

5.13%

VTIAX

YTD

3.18%

1M

-3.10%

6M

-1.60%

1Y

4.66%

5Y*

3.97%

10Y*

4.77%

Compare stocks, funds, or ETFs

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


VDIPX vs. VTIAX - Expense Ratio Comparison

VDIPX has a 0.04% expense ratio, which is lower than VTIAX's 0.11% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
Expense ratio chart for VTIAX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for VDIPX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VDIPX vs. VTIAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Developed Markets Index Fund Institutional Plus Shares (VDIPX) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX). 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 VDIPX, currently valued at 0.30, compared to the broader market-1.000.001.002.003.004.000.300.51
The chart of Sortino ratio for VDIPX, currently valued at 0.50, compared to the broader market-2.000.002.004.006.008.0010.000.500.77
The chart of Omega ratio for VDIPX, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.003.501.061.09
The chart of Calmar ratio for VDIPX, currently valued at 0.36, compared to the broader market0.002.004.006.008.0010.0012.0014.000.360.63
The chart of Martin ratio for VDIPX, currently valued at 1.16, compared to the broader market0.0020.0040.0060.001.162.05
VDIPX
VTIAX

The current VDIPX Sharpe Ratio is 0.30, which is lower than the VTIAX Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of VDIPX and VTIAX, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.30
0.51
VDIPX
VTIAX

Dividends

VDIPX vs. VTIAX - Dividend Comparison

VDIPX's dividend yield for the trailing twelve months is around 1.88%, more than VTIAX's 1.64% yield.


TTM20232022202120202019201820172016201520142013
VDIPX
Vanguard Developed Markets Index Fund Institutional Plus Shares
1.88%3.16%2.92%3.17%2.05%3.05%3.35%2.79%3.08%2.95%2.57%0.00%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
1.64%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

VDIPX vs. VTIAX - Drawdown Comparison

The maximum VDIPX drawdown since its inception was -35.61%, roughly equal to the maximum VTIAX drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for VDIPX and VTIAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.80%
-9.86%
VDIPX
VTIAX

Volatility

VDIPX vs. VTIAX - Volatility Comparison

Vanguard Developed Markets Index Fund Institutional Plus Shares (VDIPX) has a higher volatility of 3.59% compared to Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) at 3.36%. This indicates that VDIPX's price experiences larger fluctuations and is considered to be riskier than VTIAX 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%JulyAugustSeptemberOctoberNovemberDecember
3.59%
3.36%
VDIPX
VTIAX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab