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VTWAX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VTWAX and VOO is 0.96, 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.


-0.50.00.51.01.0

Performance

VTWAX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
87.99%
141.32%
VTWAX
VOO

Key characteristics

Sharpe Ratio

VTWAX:

1.59

VOO:

2.25

Sortino Ratio

VTWAX:

2.16

VOO:

2.98

Omega Ratio

VTWAX:

1.29

VOO:

1.42

Calmar Ratio

VTWAX:

2.30

VOO:

3.31

Martin Ratio

VTWAX:

10.02

VOO:

14.77

Ulcer Index

VTWAX:

1.86%

VOO:

1.90%

Daily Std Dev

VTWAX:

11.74%

VOO:

12.46%

Max Drawdown

VTWAX:

-34.20%

VOO:

-33.99%

Current Drawdown

VTWAX:

-4.15%

VOO:

-2.47%

Returns By Period

In the year-to-date period, VTWAX achieves a 16.13% return, which is significantly lower than VOO's 26.02% return.


VTWAX

YTD

16.13%

1M

-1.69%

6M

5.39%

1Y

17.00%

5Y*

9.95%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


VTWAX vs. VOO - Expense Ratio Comparison

VTWAX has a 0.10% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VTWAX
Vanguard Total World Stock Index Fund Admiral Shares
Expense ratio chart for VTWAX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VTWAX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) and Vanguard S&P 500 ETF (VOO). 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 VTWAX, currently valued at 1.59, compared to the broader market-1.000.001.002.003.004.001.592.25
The chart of Sortino ratio for VTWAX, currently valued at 2.16, compared to the broader market-2.000.002.004.006.008.0010.002.162.98
The chart of Omega ratio for VTWAX, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.003.501.291.42
The chart of Calmar ratio for VTWAX, currently valued at 2.30, compared to the broader market0.002.004.006.008.0010.0012.0014.002.303.31
The chart of Martin ratio for VTWAX, currently valued at 10.02, compared to the broader market0.0020.0040.0060.0010.0214.77
VTWAX
VOO

The current VTWAX Sharpe Ratio is 1.59, which is comparable to the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VTWAX and VOO, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.59
2.25
VTWAX
VOO

Dividends

VTWAX vs. VOO - Dividend Comparison

VTWAX's dividend yield for the trailing twelve months is around 1.18%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
VTWAX
Vanguard Total World Stock Index Fund Admiral Shares
1.18%2.06%2.16%1.79%1.64%2.29%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

VTWAX vs. VOO - Drawdown Comparison

The maximum VTWAX drawdown since its inception was -34.20%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VTWAX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.15%
-2.47%
VTWAX
VOO

Volatility

VTWAX vs. VOO - Volatility Comparison

The current volatility for Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) is 3.38%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.75%. This indicates that VTWAX experiences smaller price fluctuations and is considered to be less risky than VOO 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
3.38%
3.75%
VTWAX
VOO
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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.

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