PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VTES vs. VSS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VTESVSS
YTD Return1.77%5.87%
1Y Return4.46%18.46%
Sharpe Ratio2.871.35
Sortino Ratio4.451.92
Omega Ratio1.661.24
Calmar Ratio3.750.84
Martin Ratio12.017.80
Ulcer Index0.37%2.34%
Daily Std Dev1.55%13.53%
Max Drawdown-2.42%-43.51%
Current Drawdown-0.34%-7.21%

Correlation

-0.50.00.51.00.1

The correlation between VTES and VSS is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

VTES vs. VSS - Performance Comparison

In the year-to-date period, VTES achieves a 1.77% return, which is significantly lower than VSS's 5.87% 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%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.15%
16.83%
VTES
VSS

Compare stocks, funds, or ETFs

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


VTES vs. VSS - Expense Ratio Comparison

Both VTES and VSS 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%.


VTES
Vanguard Short-Term Tax-Exempt Bond ETF Shares
Expense ratio chart for VTES: 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%
Expense ratio chart for VSS: 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

VTES vs. VSS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) and Vanguard FTSE All-World ex-US Small-Cap ETF (VSS). 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.


VTES
Sharpe ratio
The chart of Sharpe ratio for VTES, currently valued at 2.87, compared to the broader market-2.000.002.004.002.87
Sortino ratio
The chart of Sortino ratio for VTES, currently valued at 4.45, compared to the broader market-2.000.002.004.006.008.0010.0012.004.45
Omega ratio
The chart of Omega ratio for VTES, currently valued at 1.66, compared to the broader market1.001.502.002.503.001.66
Calmar ratio
The chart of Calmar ratio for VTES, currently valued at 3.75, compared to the broader market0.005.0010.0015.003.75
Martin ratio
The chart of Martin ratio for VTES, currently valued at 12.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.01
VSS
Sharpe ratio
The chart of Sharpe ratio for VSS, currently valued at 1.35, compared to the broader market-2.000.002.004.001.35
Sortino ratio
The chart of Sortino ratio for VSS, currently valued at 1.92, compared to the broader market-2.000.002.004.006.008.0010.0012.001.92
Omega ratio
The chart of Omega ratio for VSS, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for VSS, currently valued at 1.98, compared to the broader market0.005.0010.0015.001.98
Martin ratio
The chart of Martin ratio for VSS, currently valued at 7.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.80

VTES vs. VSS - Sharpe Ratio Comparison

The current VTES Sharpe Ratio is 2.87, which is higher than the VSS Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of VTES and VSS, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.87
1.35
VTES
VSS

Dividends

VTES vs. VSS - Dividend Comparison

VTES's dividend yield for the trailing twelve months is around 2.98%, more than VSS's 2.87% yield.


TTM20232022202120202019201820172016201520142013
VTES
Vanguard Short-Term Tax-Exempt Bond ETF Shares
2.98%2.03%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
2.87%3.14%2.30%2.74%1.90%3.25%2.80%2.83%2.93%2.66%2.67%2.71%

Drawdowns

VTES vs. VSS - Drawdown Comparison

The maximum VTES drawdown since its inception was -2.42%, smaller than the maximum VSS drawdown of -43.51%. Use the drawdown chart below to compare losses from any high point for VTES and VSS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.34%
-4.80%
VTES
VSS

Volatility

VTES vs. VSS - Volatility Comparison

The current volatility for Vanguard Short-Term Tax-Exempt Bond ETF Shares (VTES) is 0.76%, while Vanguard FTSE All-World ex-US Small-Cap ETF (VSS) has a volatility of 3.58%. This indicates that VTES experiences smaller price fluctuations and is considered to be less risky than VSS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.76%
3.58%
VTES
VSS