PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VEU vs. VGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VEUVGK
YTD Return4.86%5.01%
1Y Return15.36%16.49%
3Y Return (Ann)2.10%5.68%
5Y Return (Ann)6.37%8.06%
10Y Return (Ann)4.60%4.64%
Sharpe Ratio1.331.38
Daily Std Dev12.32%13.29%
Max Drawdown-61.52%-63.61%
Current Drawdown-0.99%-0.18%

Correlation

0.94
-1.001.00

The correlation between VEU and VGK 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. VGK - Performance Comparison

The year-to-date returns for both investments are quite close, with VEU having a 4.86% return and VGK slightly higher at 5.01%. Both investments have delivered pretty close results over the past 10 years, with VEU having a 4.60% annualized return and VGK not far ahead at 4.64%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


50.00%60.00%70.00%80.00%90.00%OctoberNovemberDecember2024FebruaryMarch
84.63%
87.14%
VEU
VGK

Compare stocks, funds, or ETFs


Vanguard FTSE All-World ex-US ETF

Vanguard FTSE Europe ETF

VEU vs. VGK - Expense Ratio Comparison

VEU has a 0.07% expense ratio, which is lower than VGK's 0.08% expense ratio.

VGK
Vanguard FTSE Europe ETF
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VEU vs. VGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE All-World ex-US ETF (VEU) and Vanguard FTSE Europe ETF (VGK). 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VEU
Vanguard FTSE All-World ex-US ETF
1.33
VGK
Vanguard FTSE Europe ETF
1.38

VEU vs. VGK - Sharpe Ratio Comparison

The current VEU Sharpe Ratio is 1.33, which roughly equals the VGK Sharpe Ratio of 1.38. The chart below compares the 12-month rolling Sharpe Ratio of VEU and VGK.


Rolling 12-month Sharpe Ratio0.501.001.50OctoberNovemberDecember2024FebruaryMarch
1.33
1.38
VEU
VGK

Dividends

VEU vs. VGK - Dividend Comparison

VEU's dividend yield for the trailing twelve months is around 3.35%, more than VGK's 3.25% yield.


TTM20232022202120202019201820172016201520142013
VEU
Vanguard FTSE All-World ex-US ETF
3.35%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VGK
Vanguard FTSE Europe ETF
3.25%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%

Drawdowns

VEU vs. VGK - Drawdown Comparison

The maximum VEU drawdown since its inception was -61.52%, roughly equal to the maximum VGK drawdown of -63.61%. The drawdown chart below compares losses from any high point along the way for VEU and VGK


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.99%
-0.18%
VEU
VGK

Volatility

VEU vs. VGK - Volatility Comparison

The current volatility for Vanguard FTSE All-World ex-US ETF (VEU) is 2.56%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 2.87%. This indicates that VEU experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.56%
2.87%
VEU
VGK