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VSS vs. VEU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VSS and VEU is 0.80, 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

VSS vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard FTSE All-World ex-US Small-Cap ETF (VSS) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

VSS:

0.53

VEU:

0.67

Sortino Ratio

VSS:

0.84

VEU:

1.09

Omega Ratio

VSS:

1.11

VEU:

1.15

Calmar Ratio

VSS:

0.49

VEU:

0.86

Martin Ratio

VSS:

1.79

VEU:

2.68

Ulcer Index

VSS:

4.89%

VEU:

4.37%

Daily Std Dev

VSS:

16.61%

VEU:

16.91%

Max Drawdown

VSS:

-43.51%

VEU:

-61.52%

Current Drawdown

VSS:

-1.90%

VEU:

0.00%

Returns By Period

In the year-to-date period, VSS achieves a 8.74% return, which is significantly lower than VEU's 12.10% return. Over the past 10 years, VSS has underperformed VEU with an annualized return of 4.31%, while VEU has yielded a comparatively higher 5.22% annualized return.


VSS

YTD

8.74%

1M

10.11%

6M

7.93%

1Y

8.70%

5Y*

10.68%

10Y*

4.31%

VEU

YTD

12.10%

1M

9.49%

6M

10.46%

1Y

11.32%

5Y*

11.73%

10Y*

5.22%

*Annualized

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VSS vs. VEU - Expense Ratio Comparison

Both VSS and VEU have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


Risk-Adjusted Performance

VSS vs. VEU — Risk-Adjusted Performance Rank

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

VSS
The Risk-Adjusted Performance Rank of VSS is 5050
Overall Rank
The Sharpe Ratio Rank of VSS is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of VSS is 4949
Sortino Ratio Rank
The Omega Ratio Rank of VSS is 4747
Omega Ratio Rank
The Calmar Ratio Rank of VSS is 5252
Calmar Ratio Rank
The Martin Ratio Rank of VSS is 4949
Martin Ratio Rank

VEU
The Risk-Adjusted Performance Rank of VEU is 6666
Overall Rank
The Sharpe Ratio Rank of VEU is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of VEU is 6464
Sortino Ratio Rank
The Omega Ratio Rank of VEU is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VEU is 7575
Calmar Ratio Rank
The Martin Ratio Rank of VEU is 6666
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VSS vs. VEU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE All-World ex-US Small-Cap ETF (VSS) and Vanguard FTSE All-World ex-US ETF (VEU). 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.


The current VSS Sharpe Ratio is 0.53, which is comparable to the VEU Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of VSS and VEU, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

VSS vs. VEU - Dividend Comparison

VSS's dividend yield for the trailing twelve months is around 3.17%, more than VEU's 2.86% yield.


TTM20242023202220212020201920182017201620152014
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
3.17%3.44%3.14%2.30%2.74%1.90%3.25%2.80%2.83%2.93%2.66%2.67%
VEU
Vanguard FTSE All-World ex-US ETF
2.86%3.24%3.32%3.12%3.07%2.00%3.10%3.27%2.66%2.96%2.95%3.52%

Drawdowns

VSS vs. VEU - Drawdown Comparison

The maximum VSS drawdown since its inception was -43.51%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for VSS and VEU. For additional features, visit the drawdowns tool.


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Volatility

VSS vs. VEU - Volatility Comparison

The current volatility for Vanguard FTSE All-World ex-US Small-Cap ETF (VSS) is 3.13%, while Vanguard FTSE All-World ex-US ETF (VEU) has a volatility of 3.32%. This indicates that VSS experiences smaller price fluctuations and is considered to be less risky than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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