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VTSNX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


VTSNX^GSPC
YTD Return6.35%25.48%
1Y Return13.92%33.14%
3Y Return (Ann)0.35%8.55%
5Y Return (Ann)5.34%13.96%
10Y Return (Ann)4.89%11.39%
Sharpe Ratio1.362.91
Sortino Ratio1.933.88
Omega Ratio1.241.55
Calmar Ratio1.364.20
Martin Ratio7.4718.80
Ulcer Index2.23%1.90%
Daily Std Dev12.27%12.27%
Max Drawdown-35.78%-56.78%
Current Drawdown-7.09%-0.27%

Correlation

-0.50.00.51.00.8

The correlation between VTSNX and ^GSPC is 0.81, 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

VTSNX vs. ^GSPC - Performance Comparison

In the year-to-date period, VTSNX achieves a 6.35% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, VTSNX has underperformed ^GSPC with an annualized return of 4.89%, while ^GSPC has yielded a comparatively higher 11.39% 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
-0.96%
12.76%
VTSNX
^GSPC

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Risk-Adjusted Performance

VTSNX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) and S&P 500 (^GSPC). 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.


VTSNX
Sharpe ratio
The chart of Sharpe ratio for VTSNX, currently valued at 1.36, compared to the broader market0.002.004.001.36
Sortino ratio
The chart of Sortino ratio for VTSNX, currently valued at 1.93, compared to the broader market0.005.0010.001.93
Omega ratio
The chart of Omega ratio for VTSNX, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for VTSNX, currently valued at 1.36, compared to the broader market0.005.0010.0015.0020.001.36
Martin ratio
The chart of Martin ratio for VTSNX, currently valued at 7.47, compared to the broader market0.0020.0040.0060.0080.00100.007.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market0.005.0010.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market1.002.003.004.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.0020.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0020.0040.0060.0080.00100.0018.80

VTSNX vs. ^GSPC - Sharpe Ratio Comparison

The current VTSNX Sharpe Ratio is 1.36, which is lower than the ^GSPC Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of VTSNX and ^GSPC, 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
1.36
2.91
VTSNX
^GSPC

Drawdowns

VTSNX vs. ^GSPC - Drawdown Comparison

The maximum VTSNX drawdown since its inception was -35.78%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VTSNX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.09%
-0.27%
VTSNX
^GSPC

Volatility

VTSNX vs. ^GSPC - Volatility Comparison

Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) and S&P 500 (^GSPC) have volatilities of 3.65% and 3.75%, 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
3.65%
3.75%
VTSNX
^GSPC