PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VTSNX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.8

Performance

VTSNX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.74%
9.23%
VTSNX
^GSPC

Key characteristics

Sharpe Ratio

VTSNX:

0.44

^GSPC:

2.07

Sortino Ratio

VTSNX:

0.68

^GSPC:

2.76

Omega Ratio

VTSNX:

1.08

^GSPC:

1.39

Calmar Ratio

VTSNX:

0.54

^GSPC:

3.05

Martin Ratio

VTSNX:

1.74

^GSPC:

13.27

Ulcer Index

VTSNX:

3.07%

^GSPC:

1.95%

Daily Std Dev

VTSNX:

12.15%

^GSPC:

12.52%

Max Drawdown

VTSNX:

-35.78%

^GSPC:

-56.78%

Current Drawdown

VTSNX:

-9.29%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, VTSNX achieves a 3.84% return, which is significantly lower than ^GSPC's 25.25% return. Over the past 10 years, VTSNX has underperformed ^GSPC with an annualized return of 4.83%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.


VTSNX

YTD

3.84%

1M

-2.71%

6M

-1.49%

1Y

5.36%

5Y*

4.14%

10Y*

4.83%

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Compare stocks, funds, or ETFs

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


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.


Sharpe ratio
The chart of Sharpe ratio for VTSNX, currently valued at 0.44, compared to the broader market-1.000.001.002.003.004.000.442.07
The chart of Sortino ratio for VTSNX, currently valued at 0.68, compared to the broader market-2.000.002.004.006.008.0010.000.682.76
The chart of Omega ratio for VTSNX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.003.501.081.39
The chart of Calmar ratio for VTSNX, currently valued at 0.54, compared to the broader market0.002.004.006.008.0010.0012.0014.000.543.05
The chart of Martin ratio for VTSNX, currently valued at 1.74, compared to the broader market0.0020.0040.0060.001.7413.27
VTSNX
^GSPC

The current VTSNX Sharpe Ratio is 0.44, which is lower than the ^GSPC Sharpe Ratio of 2.07. 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.44
2.07
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.29%
-1.91%
VTSNX
^GSPC

Volatility

VTSNX vs. ^GSPC - Volatility Comparison

The current volatility for Vanguard Total International Stock Index Fund Institutional Shares (VTSNX) is 3.45%, while S&P 500 (^GSPC) has a volatility of 3.82%. This indicates that VTSNX experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
3.45%
3.82%
VTSNX
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab