VSGX vs. HLMIX

Last updated Jun 4, 2026

VSGX (Vanguard ESG International Stock ETF) and HLMIX (Harding Loevner International Equity Portfolio) are both Foreign Large Cap Equities funds. Over the past 5 years, VSGX returned 7.81%/yr vs 6.68%/yr for HLMIX. Their correlation of 0.94 suggests significant overlap in exposure. VSGX charges 0.12%/yr vs 0.79%/yr for HLMIX.

Performance

VSGX vs. HLMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard ESG International Stock ETF (VSGX) and Harding Loevner International Equity Portfolio (HLMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VSGX achieves a 15.83% return, which is significantly higher than HLMIX's 14.76% return.

VSGX

• 1D: -0.94%
• 1M: 6.54%
• YTD: 15.83%
• 6M: 18.55%
• 1Y: 33.27%
• 3Y*: 19.56%
• 5Y*: 7.81%
• 10Y*: —

HLMIX

• 1D: 0.45%
• 1M: 4.11%
• YTD: 14.76%
• 6M: 17.40%
• 1Y: 28.54%
• 3Y*: 15.99%
• 5Y*: 6.68%
• 10Y*: 9.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VSGX vs. HLMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VSGX Vanguard ESG International Stock ETF	15.83%	30.77%	5.72%	15.62%	-18.61%	7.24%	13.01%	23.04%	-12.87%
HLMIX Harding Loevner International Equity Portfolio	14.76%	27.63%	1.18%	15.10%	-20.21%	8.49%	20.33%	25.22%	-15.52%

Correlation

The correlation between VSGX and HLMIX is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (All Time) Calculated using the full available price history since Sep 21, 2018	0.94

The correlation between VSGX and HLMIX has been stable across timeframes, ranging from 0.92 to 0.94 - a consistent structural relationship.

Return for Risk

VSGX vs. HLMIX — Risk / Return Rank

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

VSGX

VSGX Risk / Return Rank: 57
VSGX Sharpe Ratio Rank: 59
VSGX Sortino Ratio Rank: 58
VSGX Omega Ratio Rank: 60
VSGX Calmar Ratio Rank: 52
VSGX Martin Ratio Rank: 57

HLMIX

HLMIX Risk / Return Rank: 49
HLMIX Sharpe Ratio Rank: 49
HLMIX Sortino Ratio Rank: 46
HLMIX Omega Ratio Rank: 45
HLMIX Calmar Ratio Rank: 53
HLMIX Martin Ratio Rank: 52

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VSGX vs. HLMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG International Stock ETF (VSGX) and Harding Loevner International Equity Portfolio (HLMIX). 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.

	VSGX	HLMIX	Difference
Sharpe ratio Return per unit of total volatility	2.04	2.06	-0.01
Sortino ratio Return per unit of downside risk	2.82	2.85	-0.03
Omega ratio Gain probability vs. loss probability	1.37	1.36	+0.01
Calmar ratio Return relative to maximum drawdown	2.60	2.82	-0.21
Martin ratio Return relative to average drawdown	10.13	10.78	-0.65
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VSGX vs. HLMIX - Sharpe Ratio Comparison

The current VSGX Sharpe Ratio is 2.04, which is comparable to the HLMIX Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of VSGX and HLMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	VSGX	HLMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.04	2.06	-0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.42	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.59	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.51	0.38	+0.13

Drawdowns

VSGX vs. HLMIX - Drawdown Comparison

The maximum VSGX drawdown since its inception was -33.09%, smaller than the maximum HLMIX drawdown of -58.03%. Use the drawdown chart below to compare losses from any high point for VSGX and HLMIX.

Drawdown Indicators

	VSGX	HLMIX	Difference
Max Drawdown Largest peak-to-trough decline	-33.09%	-58.03%	+24.94%
Max Drawdown (1Y) Largest decline over 1 year	-12.84%	-10.44%	-2.40%
Max Drawdown (3Y) Largest decline over 3 years	-13.83%	-13.98%	+0.15%
Max Drawdown (5Y) Largest decline over 5 years	-32.14%	-32.76%	+0.62%
Max Drawdown (10Y) Largest decline over 10 years	—	-32.76%	—
Current Drawdown Current decline from peak	-0.94%	0.00%	-0.94%
Average Drawdown Average peak-to-trough decline	-7.78%	-12.70%	+4.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.29%	2.73%	+0.56%

Volatility

VSGX vs. HLMIX - Volatility Comparison

Vanguard ESG International Stock ETF (VSGX) has a higher volatility of 6.06% compared to Harding Loevner International Equity Portfolio (HLMIX) at 5.15%. This indicates that VSGX's price experiences larger fluctuations and is considered to be riskier than HLMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VSGX	HLMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.06%	5.15%	+0.91%
Volatility (6M) Calculated over the trailing 6-month period	14.12%	12.02%	+2.10%
Volatility (1Y) Calculated over the trailing 1-year period	16.38%	14.49%	+1.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.31%	15.93%	+0.38%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.05%	16.49%	+1.56%

VSGX vs. HLMIX - Expense Ratio Comparison

VSGX has a 0.12% expense ratio, which is lower than HLMIX's 0.79% expense ratio.

Dividends

VSGX vs. HLMIX - Dividend Comparison

VSGX's dividend yield for the trailing twelve months is around 2.85%, less than HLMIX's 13.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HLMIX Harding Loevner International Equity Portfolio	13.02%	14.94%	7.14%	3.79%	2.51%	2.48%	0.75%	1.59%	1.50%	1.64%	0.98%	1.02%
VSGX Vanguard ESG International Stock ETF	2.85%	3.23%	3.10%	2.77%	2.61%	2.49%	1.67%	2.28%	0.38%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VSGX and HLMIX in my portfolio?

With a correlation of 0.92, VSGX and HLMIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, VSGX or HLMIX?

VSGX has higher volatility (6.06%) compared to HLMIX (5.15%). In terms of maximum drawdown, VSGX dropped -33.09% vs HLMIX's -58.03%.

Which has better risk-adjusted returns?

HLMIX currently has the higher Sharpe Ratio (2.06 vs 2.04), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.