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VETY.L vs. IGLO.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VETY.LIGLO.L
YTD Return-5.65%-1.76%
1Y Return-0.65%4.98%
3Y Return (Ann)-6.12%-6.23%
5Y Return (Ann)-3.41%-2.89%
Sharpe Ratio-0.090.74
Sortino Ratio-0.081.15
Omega Ratio0.991.14
Calmar Ratio-0.020.21
Martin Ratio-0.131.65
Ulcer Index4.57%3.29%
Daily Std Dev6.60%7.29%
Max Drawdown-26.39%-28.01%
Current Drawdown-24.42%-21.72%

Correlation

-0.50.00.51.00.7

The correlation between VETY.L and IGLO.L is 0.69, 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

VETY.L vs. IGLO.L - Performance Comparison

In the year-to-date period, VETY.L achieves a -5.65% return, which is significantly lower than IGLO.L's -1.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.66%
2.69%
VETY.L
IGLO.L

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


VETY.L vs. IGLO.L - Expense Ratio Comparison

VETY.L has a 0.07% expense ratio, which is lower than IGLO.L's 0.20% 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%.


IGLO.L
iShares Global Government Bond UCITS
Expense ratio chart for IGLO.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VETY.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VETY.L vs. IGLO.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard EUR Eurozone Government Bond UCITS ETF Distributing (VETY.L) and iShares Global Government Bond UCITS (IGLO.L). 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.


VETY.L
Sharpe ratio
The chart of Sharpe ratio for VETY.L, currently valued at 0.56, compared to the broader market-2.000.002.004.006.000.56
Sortino ratio
The chart of Sortino ratio for VETY.L, currently valued at 0.86, compared to the broader market0.005.0010.000.86
Omega ratio
The chart of Omega ratio for VETY.L, currently valued at 1.10, compared to the broader market1.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for VETY.L, currently valued at 0.17, compared to the broader market0.005.0010.0015.000.17
Martin ratio
The chart of Martin ratio for VETY.L, currently valued at 1.08, compared to the broader market0.0020.0040.0060.0080.00100.001.08
IGLO.L
Sharpe ratio
The chart of Sharpe ratio for IGLO.L, currently valued at 0.74, compared to the broader market-2.000.002.004.006.000.74
Sortino ratio
The chart of Sortino ratio for IGLO.L, currently valued at 1.15, compared to the broader market0.005.0010.001.15
Omega ratio
The chart of Omega ratio for IGLO.L, currently valued at 1.14, compared to the broader market1.001.502.002.503.001.14
Calmar ratio
The chart of Calmar ratio for IGLO.L, currently valued at 0.21, compared to the broader market0.005.0010.0015.000.21
Martin ratio
The chart of Martin ratio for IGLO.L, currently valued at 1.65, compared to the broader market0.0020.0040.0060.0080.00100.001.65

VETY.L vs. IGLO.L - Sharpe Ratio Comparison

The current VETY.L Sharpe Ratio is -0.09, which is lower than the IGLO.L Sharpe Ratio of 0.74. The chart below compares the historical Sharpe Ratios of VETY.L and IGLO.L, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.56
0.74
VETY.L
IGLO.L

Dividends

VETY.L vs. IGLO.L - Dividend Comparison

VETY.L's dividend yield for the trailing twelve months is around 0.77%, less than IGLO.L's 2.47% yield.


TTM20232022202120202019201820172016201520142013
VETY.L
Vanguard EUR Eurozone Government Bond UCITS ETF Distributing
0.77%2.11%0.54%0.09%0.17%0.60%0.63%0.55%0.37%0.00%0.00%0.00%
IGLO.L
iShares Global Government Bond UCITS
2.47%1.47%0.78%0.63%0.99%1.21%1.07%0.93%1.09%0.60%1.52%1.39%

Drawdowns

VETY.L vs. IGLO.L - Drawdown Comparison

The maximum VETY.L drawdown since its inception was -26.39%, smaller than the maximum IGLO.L drawdown of -28.01%. Use the drawdown chart below to compare losses from any high point for VETY.L and IGLO.L. For additional features, visit the drawdowns tool.


-30.00%-28.00%-26.00%-24.00%-22.00%-20.00%-18.00%JuneJulyAugustSeptemberOctoberNovember
-27.26%
-21.72%
VETY.L
IGLO.L

Volatility

VETY.L vs. IGLO.L - Volatility Comparison

Vanguard EUR Eurozone Government Bond UCITS ETF Distributing (VETY.L) has a higher volatility of 2.95% compared to iShares Global Government Bond UCITS (IGLO.L) at 2.06%. This indicates that VETY.L's price experiences larger fluctuations and is considered to be riskier than IGLO.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%JuneJulyAugustSeptemberOctoberNovember
2.95%
2.06%
VETY.L
IGLO.L