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VEURX vs. ^STOXX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between VEURX and ^STOXX is 0.44, 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

VEURX vs. ^STOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard European Stock Index Fund (VEURX) and STOXX Europe 600 Index (^STOXX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

VEURX:

0.69

^STOXX:

0.31

Sortino Ratio

VEURX:

1.10

^STOXX:

0.46

Omega Ratio

VEURX:

1.15

^STOXX:

1.07

Calmar Ratio

VEURX:

0.88

^STOXX:

0.26

Martin Ratio

VEURX:

2.40

^STOXX:

1.10

Ulcer Index

VEURX:

5.09%

^STOXX:

3.88%

Daily Std Dev

VEURX:

16.79%

^STOXX:

14.73%

Max Drawdown

VEURX:

-63.33%

^STOXX:

-61.04%

Current Drawdown

VEURX:

0.00%

^STOXX:

-3.19%

Returns By Period

In the year-to-date period, VEURX achieves a 17.63% return, which is significantly higher than ^STOXX's 7.40% return. Over the past 10 years, VEURX has outperformed ^STOXX with an annualized return of 5.66%, while ^STOXX has yielded a comparatively lower 3.18% annualized return.


VEURX

YTD

17.63%

1M

9.36%

6M

16.00%

1Y

11.57%

5Y*

14.28%

10Y*

5.66%

^STOXX

YTD

7.40%

1M

11.99%

6M

8.55%

1Y

4.67%

5Y*

10.57%

10Y*

3.18%

*Annualized

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Risk-Adjusted Performance

VEURX vs. ^STOXX — Risk-Adjusted Performance Rank

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

VEURX
The Risk-Adjusted Performance Rank of VEURX is 6767
Overall Rank
The Sharpe Ratio Rank of VEURX is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of VEURX is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VEURX is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VEURX is 8080
Calmar Ratio Rank
The Martin Ratio Rank of VEURX is 6363
Martin Ratio Rank

^STOXX
The Risk-Adjusted Performance Rank of ^STOXX is 3434
Overall Rank
The Sharpe Ratio Rank of ^STOXX is 3535
Sharpe Ratio Rank
The Sortino Ratio Rank of ^STOXX is 2929
Sortino Ratio Rank
The Omega Ratio Rank of ^STOXX is 3131
Omega Ratio Rank
The Calmar Ratio Rank of ^STOXX is 3434
Calmar Ratio Rank
The Martin Ratio Rank of ^STOXX is 3939
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.

VEURX vs. ^STOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard European Stock Index Fund (VEURX) and STOXX Europe 600 Index (^STOXX). 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 VEURX Sharpe Ratio is 0.69, which is higher than the ^STOXX Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of VEURX and ^STOXX, 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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Drawdowns

VEURX vs. ^STOXX - Drawdown Comparison

The maximum VEURX drawdown since its inception was -63.33%, roughly equal to the maximum ^STOXX drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for VEURX and ^STOXX. For additional features, visit the drawdowns tool.


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Volatility

VEURX vs. ^STOXX - Volatility Comparison

The current volatility for Vanguard European Stock Index Fund (VEURX) is 3.02%, while STOXX Europe 600 Index (^STOXX) has a volatility of 3.65%. This indicates that VEURX experiences smaller price fluctuations and is considered to be less risky than ^STOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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