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

Correlation

The correlation between VEU and VXUS is 0.82, 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. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard FTSE All-World ex-US ETF (VEU) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

VEU:

0.63

VXUS:

0.61

Sortino Ratio

VEU:

1.06

VXUS:

1.04

Omega Ratio

VEU:

1.14

VXUS:

1.14

Calmar Ratio

VEU:

0.83

VXUS:

0.82

Martin Ratio

VEU:

2.61

VXUS:

2.59

Ulcer Index

VEU:

4.37%

VXUS:

4.29%

Daily Std Dev

VEU:

16.91%

VXUS:

16.95%

Max Drawdown

VEU:

-61.52%

VXUS:

-35.97%

Current Drawdown

VEU:

-0.12%

VXUS:

-0.08%

Returns By Period

The year-to-date returns for both stocks are quite close, with VEU having a 11.96% return and VXUS slightly lower at 11.81%. Both investments have delivered pretty close results over the past 10 years, with VEU having a 5.20% annualized return and VXUS not far behind at 5.09%.


VEU

YTD

11.96%

1M

8.22%

6M

10.88%

1Y

10.51%

5Y*

11.76%

10Y*

5.20%

VXUS

YTD

11.81%

1M

8.24%

6M

10.51%

1Y

10.25%

5Y*

11.64%

10Y*

5.09%

*Annualized

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VEU vs. VXUS - Expense Ratio Comparison

Both VEU and VXUS have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


Risk-Adjusted Performance

VEU vs. VXUS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VEU
The Risk-Adjusted Performance Rank of VEU is 6464
Overall Rank
The Sharpe Ratio Rank of VEU is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VEU is 6363
Sortino Ratio Rank
The Omega Ratio Rank of VEU is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VEU is 7575
Calmar Ratio Rank
The Martin Ratio Rank of VEU is 6565
Martin Ratio Rank

VXUS
The Risk-Adjusted Performance Rank of VXUS is 6363
Overall Rank
The Sharpe Ratio Rank of VXUS is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of VXUS is 6161
Sortino Ratio Rank
The Omega Ratio Rank of VXUS is 6060
Omega Ratio Rank
The Calmar Ratio Rank of VXUS is 7474
Calmar Ratio Rank
The Martin Ratio Rank of VXUS is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VEU vs. VXUS - 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 Total International Stock ETF (VXUS). 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.


The current VEU Sharpe Ratio is 0.63, which is comparable to the VXUS Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of VEU and VXUS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

VEU vs. VXUS - Dividend Comparison

VEU's dividend yield for the trailing twelve months is around 2.87%, less than VXUS's 2.97% yield.


TTM20242023202220212020201920182017201620152014
VEU
Vanguard FTSE All-World ex-US ETF
2.87%3.24%3.32%3.12%3.07%2.00%3.10%3.27%2.66%2.96%2.95%3.52%
VXUS
Vanguard Total International Stock ETF
2.97%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%

Drawdowns

VEU vs. VXUS - Drawdown Comparison

The maximum VEU drawdown since its inception was -61.52%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for VEU and VXUS. For additional features, visit the drawdowns tool.


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Volatility

VEU vs. VXUS - Volatility Comparison

Vanguard FTSE All-World ex-US ETF (VEU) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.30% and 3.34%, 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.


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