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VTWIX vs. PHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VTWIX and PHG is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

VTWIX vs. PHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total World Stock Index Fund Institutional Shares (VTWIX) and Koninklijke Philips N.V. (PHG). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%250.00%December2025FebruaryMarchAprilMay
247.13%
28.65%
VTWIX
PHG

Key characteristics

Sharpe Ratio

VTWIX:

0.59

PHG:

-0.12

Sortino Ratio

VTWIX:

0.93

PHG:

-0.04

Omega Ratio

VTWIX:

1.13

PHG:

0.99

Calmar Ratio

VTWIX:

0.62

PHG:

-0.12

Martin Ratio

VTWIX:

2.69

PHG:

-0.47

Ulcer Index

VTWIX:

3.76%

PHG:

15.74%

Daily Std Dev

VTWIX:

17.23%

PHG:

35.97%

Max Drawdown

VTWIX:

-49.82%

PHG:

-79.52%

Current Drawdown

VTWIX:

-4.04%

PHG:

-54.67%

Returns By Period

In the year-to-date period, VTWIX achieves a 1.28% return, which is significantly higher than PHG's -4.94% return. Over the past 10 years, VTWIX has outperformed PHG with an annualized return of 8.81%, while PHG has yielded a comparatively lower 1.67% annualized return.


VTWIX

YTD

1.28%

1M

14.83%

6M

-1.48%

1Y

10.15%

5Y*

13.43%

10Y*

8.81%

PHG

YTD

-4.94%

1M

11.08%

6M

-12.63%

1Y

-4.26%

5Y*

-8.21%

10Y*

1.67%

*Annualized

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Risk-Adjusted Performance

VTWIX vs. PHG — Risk-Adjusted Performance Rank

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

VTWIX
The Risk-Adjusted Performance Rank of VTWIX is 6464
Overall Rank
The Sharpe Ratio Rank of VTWIX is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VTWIX is 6161
Sortino Ratio Rank
The Omega Ratio Rank of VTWIX is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VTWIX is 7171
Calmar Ratio Rank
The Martin Ratio Rank of VTWIX is 6969
Martin Ratio Rank

PHG
The Risk-Adjusted Performance Rank of PHG is 4141
Overall Rank
The Sharpe Ratio Rank of PHG is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of PHG is 3636
Sortino Ratio Rank
The Omega Ratio Rank of PHG is 3636
Omega Ratio Rank
The Calmar Ratio Rank of PHG is 4444
Calmar Ratio Rank
The Martin Ratio Rank of PHG is 4343
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.

VTWIX vs. PHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total World Stock Index Fund Institutional Shares (VTWIX) and Koninklijke Philips N.V. (PHG). 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 VTWIX Sharpe Ratio is 0.59, which is higher than the PHG Sharpe Ratio of -0.12. The chart below compares the historical Sharpe Ratios of VTWIX and PHG, 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 Ratio-0.500.000.501.001.502.002.503.00December2025FebruaryMarchAprilMay
0.59
-0.12
VTWIX
PHG

Dividends

VTWIX vs. PHG - Dividend Comparison

VTWIX's dividend yield for the trailing twelve months is around 1.89%, while PHG has not paid dividends to shareholders.


TTM20242023202220212020201920182017201620152014
VTWIX
Vanguard Total World Stock Index Fund Institutional Shares
1.89%1.94%2.07%2.19%1.81%1.66%2.32%2.55%2.11%2.40%2.46%2.46%
PHG
Koninklijke Philips N.V.
0.00%0.00%0.00%6.95%3.03%1.87%2.17%3.11%2.52%3.18%3.94%4.17%

Drawdowns

VTWIX vs. PHG - Drawdown Comparison

The maximum VTWIX drawdown since its inception was -49.82%, smaller than the maximum PHG drawdown of -79.52%. Use the drawdown chart below to compare losses from any high point for VTWIX and PHG. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%December2025FebruaryMarchAprilMay
-4.04%
-54.67%
VTWIX
PHG

Volatility

VTWIX vs. PHG - Volatility Comparison

The current volatility for Vanguard Total World Stock Index Fund Institutional Shares (VTWIX) is 9.23%, while Koninklijke Philips N.V. (PHG) has a volatility of 14.16%. This indicates that VTWIX experiences smaller price fluctuations and is considered to be less risky than PHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%December2025FebruaryMarchAprilMay
9.23%
14.16%
VTWIX
PHG