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VEU vs. SPDW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VEUSPDW
YTD Return12.94%11.20%
1Y Return27.21%25.56%
3Y Return (Ann)4.33%4.16%
5Y Return (Ann)7.92%8.16%
10Y Return (Ann)5.54%6.03%
Sharpe Ratio2.112.02
Daily Std Dev12.88%13.18%
Max Drawdown-61.52%-60.02%
Current Drawdown-1.98%-2.11%

Correlation

-0.50.00.51.00.9

The correlation between VEU and SPDW is 0.94, 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.

Performance

VEU vs. SPDW - Performance Comparison

In the year-to-date period, VEU achieves a 12.94% return, which is significantly higher than SPDW's 11.20% return. Over the past 10 years, VEU has underperformed SPDW with an annualized return of 5.54%, while SPDW has yielded a comparatively higher 6.03% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
8.31%
6.44%
VEU
SPDW

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VEU vs. SPDW - Expense Ratio Comparison

VEU has a 0.07% expense ratio, which is higher than SPDW's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VEU
Vanguard FTSE All-World ex-US ETF
Expense ratio chart for VEU: 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%
Expense ratio chart for SPDW: 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

VEU vs. SPDW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE All-World ex-US ETF (VEU) and SPDR Portfolio World ex-US ETF (SPDW). 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.


VEU
Sharpe ratio
The chart of Sharpe ratio for VEU, currently valued at 2.11, compared to the broader market0.002.004.006.002.11
Sortino ratio
The chart of Sortino ratio for VEU, currently valued at 2.97, compared to the broader market0.005.0010.002.97
Omega ratio
The chart of Omega ratio for VEU, currently valued at 1.37, compared to the broader market1.001.502.002.503.003.501.37
Calmar ratio
The chart of Calmar ratio for VEU, currently valued at 1.52, compared to the broader market0.005.0010.0015.001.52
Martin ratio
The chart of Martin ratio for VEU, currently valued at 13.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.52
SPDW
Sharpe ratio
The chart of Sharpe ratio for SPDW, currently valued at 2.02, compared to the broader market0.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for SPDW, currently valued at 2.82, compared to the broader market0.005.0010.002.82
Omega ratio
The chart of Omega ratio for SPDW, currently valued at 1.35, compared to the broader market1.001.502.002.503.003.501.35
Calmar ratio
The chart of Calmar ratio for SPDW, currently valued at 1.53, compared to the broader market0.005.0010.0015.001.53
Martin ratio
The chart of Martin ratio for SPDW, currently valued at 12.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.71

VEU vs. SPDW - Sharpe Ratio Comparison

The current VEU Sharpe Ratio is 2.11, which roughly equals the SPDW Sharpe Ratio of 2.02. The chart below compares the 12-month rolling Sharpe Ratio of VEU and SPDW.


Rolling 12-month Sharpe Ratio0.501.001.502.00MayJuneJulyAugustSeptemberOctober
2.11
2.02
VEU
SPDW

Dividends

VEU vs. SPDW - Dividend Comparison

VEU's dividend yield for the trailing twelve months is around 2.83%, more than SPDW's 2.61% yield.


TTM20232022202120202019201820172016201520142013
VEU
Vanguard FTSE All-World ex-US ETF
2.83%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
SPDW
SPDR Portfolio World ex-US ETF
2.61%2.75%3.12%3.04%1.87%3.13%3.07%1.86%3.11%2.79%3.51%2.36%

Drawdowns

VEU vs. SPDW - Drawdown Comparison

The maximum VEU drawdown since its inception was -61.52%, roughly equal to the maximum SPDW drawdown of -60.02%. Use the drawdown chart below to compare losses from any high point for VEU and SPDW. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.98%
-2.11%
VEU
SPDW

Volatility

VEU vs. SPDW - Volatility Comparison

Vanguard FTSE All-World ex-US ETF (VEU) and SPDR Portfolio World ex-US ETF (SPDW) have volatilities of 4.68% and 4.51%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
4.68%
4.51%
VEU
SPDW