PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VGSTX vs. IOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VGSTXIOO
YTD Return9.29%22.22%
1Y Return19.83%32.21%
3Y Return (Ann)0.93%10.21%
5Y Return (Ann)7.72%15.51%
10Y Return (Ann)7.47%12.05%
Sharpe Ratio2.392.45
Sortino Ratio3.463.23
Omega Ratio1.451.45
Calmar Ratio1.452.98
Martin Ratio15.5312.43
Ulcer Index1.37%2.67%
Daily Std Dev8.84%13.54%
Max Drawdown-38.62%-55.85%
Current Drawdown-2.22%-3.22%

Correlation

-0.50.00.51.00.9

The correlation between VGSTX and IOO is 0.90, 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

VGSTX vs. IOO - Performance Comparison

In the year-to-date period, VGSTX achieves a 9.29% return, which is significantly lower than IOO's 22.22% return. Over the past 10 years, VGSTX has underperformed IOO with an annualized return of 7.47%, while IOO has yielded a comparatively higher 12.05% 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%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
5.18%
8.78%
VGSTX
IOO

Compare stocks, funds, or ETFs

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


VGSTX vs. IOO - Expense Ratio Comparison

VGSTX has a 0.31% expense ratio, which is lower than IOO's 0.40% expense ratio.


IOO
iShares Global 100 ETF
Expense ratio chart for IOO: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for VGSTX: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%

Risk-Adjusted Performance

VGSTX vs. IOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard STAR Fund (VGSTX) and iShares Global 100 ETF (IOO). 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.


VGSTX
Sharpe ratio
The chart of Sharpe ratio for VGSTX, currently valued at 2.39, compared to the broader market0.002.004.002.39
Sortino ratio
The chart of Sortino ratio for VGSTX, currently valued at 3.46, compared to the broader market0.005.0010.003.46
Omega ratio
The chart of Omega ratio for VGSTX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for VGSTX, currently valued at 1.45, compared to the broader market0.005.0010.0015.0020.001.45
Martin ratio
The chart of Martin ratio for VGSTX, currently valued at 15.53, compared to the broader market0.0020.0040.0060.0080.00100.0015.53
IOO
Sharpe ratio
The chart of Sharpe ratio for IOO, currently valued at 2.45, compared to the broader market0.002.004.002.45
Sortino ratio
The chart of Sortino ratio for IOO, currently valued at 3.23, compared to the broader market0.005.0010.003.23
Omega ratio
The chart of Omega ratio for IOO, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for IOO, currently valued at 2.98, compared to the broader market0.005.0010.0015.0020.002.98
Martin ratio
The chart of Martin ratio for IOO, currently valued at 12.43, compared to the broader market0.0020.0040.0060.0080.00100.0012.43

VGSTX vs. IOO - Sharpe Ratio Comparison

The current VGSTX Sharpe Ratio is 2.39, which is comparable to the IOO Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of VGSTX and IOO, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.39
2.45
VGSTX
IOO

Dividends

VGSTX vs. IOO - Dividend Comparison

VGSTX's dividend yield for the trailing twelve months is around 5.14%, more than IOO's 1.11% yield.


TTM20232022202120202019201820172016201520142013
VGSTX
Vanguard STAR Fund
5.14%5.35%8.34%6.70%6.68%6.07%6.90%4.51%4.77%5.62%4.18%2.48%
IOO
iShares Global 100 ETF
1.11%1.49%2.00%1.53%1.49%2.02%2.54%2.23%2.75%2.89%3.52%2.37%

Drawdowns

VGSTX vs. IOO - Drawdown Comparison

The maximum VGSTX drawdown since its inception was -38.62%, smaller than the maximum IOO drawdown of -55.85%. Use the drawdown chart below to compare losses from any high point for VGSTX and IOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.22%
-3.22%
VGSTX
IOO

Volatility

VGSTX vs. IOO - Volatility Comparison

The current volatility for Vanguard STAR Fund (VGSTX) is 1.91%, while iShares Global 100 ETF (IOO) has a volatility of 3.72%. This indicates that VGSTX experiences smaller price fluctuations and is considered to be less risky than IOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
1.91%
3.72%
VGSTX
IOO