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VEGBX vs. VTIAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VEGBXVTIAX
YTD Return8.27%9.02%
1Y Return17.26%20.22%
3Y Return (Ann)1.31%1.23%
5Y Return (Ann)3.52%5.79%
Sharpe Ratio3.071.64
Sortino Ratio4.812.31
Omega Ratio1.611.29
Calmar Ratio1.301.35
Martin Ratio18.479.39
Ulcer Index0.90%2.13%
Daily Std Dev5.42%12.17%
Max Drawdown-25.52%-35.83%
Current Drawdown-1.02%-4.76%

Correlation

-0.50.00.51.00.4

The correlation between VEGBX and VTIAX is 0.42, 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

VEGBX vs. VTIAX - Performance Comparison

In the year-to-date period, VEGBX achieves a 8.27% return, which is significantly lower than VTIAX's 9.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.27%
3.13%
VEGBX
VTIAX

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VEGBX vs. VTIAX - Expense Ratio Comparison

VEGBX has a 0.40% expense ratio, which is higher than VTIAX's 0.11% expense ratio.


VEGBX
Vanguard Emerging Markets Bond Fund Admiral Shares
Expense ratio chart for VEGBX: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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%

Risk-Adjusted Performance

VEGBX vs. VTIAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Emerging Markets Bond Fund Admiral Shares (VEGBX) 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.


VEGBX
Sharpe ratio
The chart of Sharpe ratio for VEGBX, currently valued at 3.07, compared to the broader market0.002.004.003.07
Sortino ratio
The chart of Sortino ratio for VEGBX, currently valued at 4.81, compared to the broader market0.005.0010.004.81
Omega ratio
The chart of Omega ratio for VEGBX, currently valued at 1.61, compared to the broader market1.002.003.004.001.61
Calmar ratio
The chart of Calmar ratio for VEGBX, currently valued at 1.30, compared to the broader market0.005.0010.0015.0020.001.30
Martin ratio
The chart of Martin ratio for VEGBX, currently valued at 18.47, compared to the broader market0.0020.0040.0060.0080.00100.0018.47
VTIAX
Sharpe ratio
The chart of Sharpe ratio for VTIAX, currently valued at 1.64, compared to the broader market0.002.004.001.64
Sortino ratio
The chart of Sortino ratio for VTIAX, currently valued at 2.31, compared to the broader market0.005.0010.002.31
Omega ratio
The chart of Omega ratio for VTIAX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for VTIAX, currently valued at 1.35, compared to the broader market0.005.0010.0015.0020.001.35
Martin ratio
The chart of Martin ratio for VTIAX, currently valued at 9.39, compared to the broader market0.0020.0040.0060.0080.00100.009.39

VEGBX vs. VTIAX - Sharpe Ratio Comparison

The current VEGBX Sharpe Ratio is 3.07, which is higher than the VTIAX Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of VEGBX 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.07
1.64
VEGBX
VTIAX

Dividends

VEGBX vs. VTIAX - Dividend Comparison

VEGBX's dividend yield for the trailing twelve months is around 6.97%, more than VTIAX's 2.90% yield.


TTM20232022202120202019201820172016201520142013
VEGBX
Vanguard Emerging Markets Bond Fund Admiral Shares
6.97%7.21%5.62%3.67%3.40%4.55%5.01%0.39%0.00%0.00%0.00%0.00%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
2.90%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

VEGBX vs. VTIAX - Drawdown Comparison

The maximum VEGBX drawdown since its inception was -25.52%, smaller than the maximum VTIAX drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for VEGBX and VTIAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.02%
-4.76%
VEGBX
VTIAX

Volatility

VEGBX vs. VTIAX - Volatility Comparison

The current volatility for Vanguard Emerging Markets Bond Fund Admiral Shares (VEGBX) is 1.66%, while Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) has a volatility of 3.71%. This indicates that VEGBX experiences smaller price fluctuations and is considered to be less risky than VTIAX 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%JuneJulyAugustSeptemberOctoberNovember
1.66%
3.71%
VEGBX
VTIAX