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VOX vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VOX and VEA is 0.68, 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.


-0.50.00.51.00.7

Performance

VOX vs. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Communication Services ETF (VOX) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
15.61%
-1.75%
VOX
VEA

Key characteristics

Sharpe Ratio

VOX:

2.22

VEA:

0.44

Sortino Ratio

VOX:

2.89

VEA:

0.68

Omega Ratio

VOX:

1.40

VEA:

1.08

Calmar Ratio

VOX:

1.70

VEA:

0.62

Martin Ratio

VOX:

16.22

VEA:

1.77

Ulcer Index

VOX:

2.22%

VEA:

3.20%

Daily Std Dev

VOX:

16.20%

VEA:

12.96%

Max Drawdown

VOX:

-57.18%

VEA:

-60.70%

Current Drawdown

VOX:

-4.52%

VEA:

-9.17%

Returns By Period

In the year-to-date period, VOX achieves a 33.78% return, which is significantly higher than VEA's 2.90% return. Over the past 10 years, VOX has outperformed VEA with an annualized return of 8.31%, while VEA has yielded a comparatively lower 5.33% annualized return.


VOX

YTD

33.78%

1M

2.74%

6M

16.21%

1Y

34.42%

5Y*

11.65%

10Y*

8.31%

VEA

YTD

2.90%

1M

-1.90%

6M

-1.75%

1Y

4.65%

5Y*

4.85%

10Y*

5.33%

Compare stocks, funds, or ETFs

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


VOX vs. VEA - Expense Ratio Comparison

VOX has a 0.10% expense ratio, which is higher than VEA's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VOX
Vanguard Communication Services ETF
Expense ratio chart for VOX: 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%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

VOX vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Communication Services ETF (VOX) and Vanguard FTSE Developed Markets ETF (VEA). 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 VOX, currently valued at 2.22, compared to the broader market0.002.004.002.220.44
The chart of Sortino ratio for VOX, currently valued at 2.89, compared to the broader market-2.000.002.004.006.008.0010.002.890.68
The chart of Omega ratio for VOX, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.08
The chart of Calmar ratio for VOX, currently valued at 1.70, compared to the broader market0.005.0010.0015.001.700.62
The chart of Martin ratio for VOX, currently valued at 16.22, compared to the broader market0.0020.0040.0060.0080.00100.0016.221.77
VOX
VEA

The current VOX Sharpe Ratio is 2.22, which is higher than the VEA Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of VOX and VEA, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.22
0.44
VOX
VEA

Dividends

VOX vs. VEA - Dividend Comparison

VOX's dividend yield for the trailing twelve months is around 0.75%, less than VEA's 1.84% yield.


TTM20232022202120202019201820172016201520142013
VOX
Vanguard Communication Services ETF
0.75%1.03%0.88%0.93%0.74%0.90%2.77%3.83%2.67%3.55%2.66%3.88%
VEA
Vanguard FTSE Developed Markets ETF
1.84%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

VOX vs. VEA - Drawdown Comparison

The maximum VOX drawdown since its inception was -57.18%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for VOX and VEA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.52%
-9.17%
VOX
VEA

Volatility

VOX vs. VEA - Volatility Comparison

Vanguard Communication Services ETF (VOX) has a higher volatility of 5.23% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.48%. This indicates that VOX's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.23%
3.48%
VOX
VEA
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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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