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

Key characteristics


VHGEXVXUS
YTD Return17.95%8.64%
1Y Return31.97%19.18%
3Y Return (Ann)2.86%1.08%
5Y Return (Ann)10.45%5.91%
10Y Return (Ann)9.45%5.10%
Sharpe Ratio2.461.54
Sortino Ratio3.362.19
Omega Ratio1.441.27
Calmar Ratio1.881.40
Martin Ratio16.689.02
Ulcer Index1.99%2.19%
Daily Std Dev13.52%12.86%
Max Drawdown-64.62%-35.97%
Current Drawdown-0.64%-5.20%

Correlation

-0.50.00.51.00.9

The correlation between VHGEX and VXUS is 0.92, 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

VHGEX vs. VXUS - Performance Comparison

In the year-to-date period, VHGEX achieves a 17.95% return, which is significantly higher than VXUS's 8.64% return. Over the past 10 years, VHGEX has outperformed VXUS with an annualized return of 9.45%, while VXUS has yielded a comparatively lower 5.10% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.60%
1.96%
VHGEX
VXUS

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VHGEX vs. VXUS - Expense Ratio Comparison

VHGEX has a 0.45% expense ratio, which is higher than VXUS's 0.07% expense ratio.


VHGEX
Vanguard Global Equity Fund
Expense ratio chart for VHGEX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VHGEX vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Equity Fund (VHGEX) 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.


VHGEX
Sharpe ratio
The chart of Sharpe ratio for VHGEX, currently valued at 2.46, compared to the broader market0.002.004.002.46
Sortino ratio
The chart of Sortino ratio for VHGEX, currently valued at 3.36, compared to the broader market0.005.0010.003.36
Omega ratio
The chart of Omega ratio for VHGEX, currently valued at 1.44, compared to the broader market1.002.003.004.001.44
Calmar ratio
The chart of Calmar ratio for VHGEX, currently valued at 1.88, compared to the broader market0.005.0010.0015.0020.0025.001.88
Martin ratio
The chart of Martin ratio for VHGEX, currently valued at 16.68, compared to the broader market0.0020.0040.0060.0080.00100.0016.68
VXUS
Sharpe ratio
The chart of Sharpe ratio for VXUS, currently valued at 1.54, compared to the broader market0.002.004.001.54
Sortino ratio
The chart of Sortino ratio for VXUS, currently valued at 2.19, compared to the broader market0.005.0010.002.19
Omega ratio
The chart of Omega ratio for VXUS, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for VXUS, currently valued at 1.40, compared to the broader market0.005.0010.0015.0020.0025.001.40
Martin ratio
The chart of Martin ratio for VXUS, currently valued at 9.02, compared to the broader market0.0020.0040.0060.0080.00100.009.02

VHGEX vs. VXUS - Sharpe Ratio Comparison

The current VHGEX Sharpe Ratio is 2.46, which is higher than the VXUS Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of VHGEX 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.46
1.54
VHGEX
VXUS

Dividends

VHGEX vs. VXUS - Dividend Comparison

VHGEX's dividend yield for the trailing twelve months is around 0.97%, less than VXUS's 2.95% yield.


TTM20232022202120202019201820172016201520142013
VHGEX
Vanguard Global Equity Fund
0.97%1.15%1.65%0.92%0.67%2.33%1.59%1.29%1.51%1.71%1.56%1.53%
VXUS
Vanguard Total International Stock ETF
2.95%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

VHGEX vs. VXUS - Drawdown Comparison

The maximum VHGEX drawdown since its inception was -64.62%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for VHGEX and VXUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.64%
-5.20%
VHGEX
VXUS

Volatility

VHGEX vs. VXUS - Volatility Comparison

Vanguard Global Equity Fund (VHGEX) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.81% and 3.94%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.81%
3.94%
VHGEX
VXUS