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VGWAX vs. VTWAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VGWAX and VTWAX is 0.91, 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.


-0.50.00.51.00.9

Performance

VGWAX vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Wellington Fund Admiral Shares (VGWAX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
50.25%
87.99%
VGWAX
VTWAX

Key characteristics

Sharpe Ratio

VGWAX:

0.30

VTWAX:

1.59

Sortino Ratio

VGWAX:

0.41

VTWAX:

2.16

Omega Ratio

VGWAX:

1.07

VTWAX:

1.29

Calmar Ratio

VGWAX:

0.30

VTWAX:

2.30

Martin Ratio

VGWAX:

1.72

VTWAX:

10.02

Ulcer Index

VGWAX:

1.61%

VTWAX:

1.86%

Daily Std Dev

VGWAX:

9.14%

VTWAX:

11.74%

Max Drawdown

VGWAX:

-25.28%

VTWAX:

-34.20%

Current Drawdown

VGWAX:

-8.62%

VTWAX:

-4.15%

Returns By Period

In the year-to-date period, VGWAX achieves a 0.99% return, which is significantly lower than VTWAX's 16.13% return.


VGWAX

YTD

0.99%

1M

-6.53%

6M

-2.78%

1Y

1.69%

5Y*

5.25%

10Y*

N/A

VTWAX

YTD

16.13%

1M

-1.69%

6M

5.39%

1Y

17.00%

5Y*

9.95%

10Y*

N/A

Compare stocks, funds, or ETFs

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


VGWAX vs. VTWAX - Expense Ratio Comparison

VGWAX has a 0.29% expense ratio, which is higher than VTWAX's 0.10% expense ratio.


VGWAX
Vanguard Global Wellington Fund Admiral Shares
Expense ratio chart for VGWAX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VTWAX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VGWAX vs. VTWAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Wellington Fund Admiral Shares (VGWAX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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 ratio
The chart of Sharpe ratio for VGWAX, currently valued at 0.30, compared to the broader market-1.000.001.002.003.004.000.301.59
The chart of Sortino ratio for VGWAX, currently valued at 0.41, compared to the broader market-2.000.002.004.006.008.0010.000.412.16
The chart of Omega ratio for VGWAX, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.003.501.071.29
The chart of Calmar ratio for VGWAX, currently valued at 0.30, compared to the broader market0.002.004.006.008.0010.0012.0014.000.302.30
The chart of Martin ratio for VGWAX, currently valued at 1.72, compared to the broader market0.0020.0040.0060.001.7210.02
VGWAX
VTWAX

The current VGWAX Sharpe Ratio is 0.30, which is lower than the VTWAX Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of VGWAX and VTWAX, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.30
1.59
VGWAX
VTWAX

Dividends

VGWAX vs. VTWAX - Dividend Comparison

VGWAX's dividend yield for the trailing twelve months is around 2.61%, more than VTWAX's 1.18% yield.


TTM2023202220212020201920182017
VGWAX
Vanguard Global Wellington Fund Admiral Shares
2.61%2.62%2.05%1.80%1.64%1.92%2.42%0.23%
VTWAX
Vanguard Total World Stock Index Fund Admiral Shares
1.18%2.06%2.16%1.79%1.64%2.29%0.00%0.00%

Drawdowns

VGWAX vs. VTWAX - Drawdown Comparison

The maximum VGWAX drawdown since its inception was -25.28%, smaller than the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for VGWAX and VTWAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.62%
-4.15%
VGWAX
VTWAX

Volatility

VGWAX vs. VTWAX - Volatility Comparison

Vanguard Global Wellington Fund Admiral Shares (VGWAX) has a higher volatility of 6.58% compared to Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) at 3.38%. This indicates that VGWAX's price experiences larger fluctuations and is considered to be riskier than VTWAX 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%JulyAugustSeptemberOctoberNovemberDecember
6.58%
3.38%
VGWAX
VTWAX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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