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VWILX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VWILXSPY
YTD Return12.79%27.04%
1Y Return25.51%39.75%
3Y Return (Ann)-5.64%10.21%
5Y Return (Ann)8.82%15.93%
10Y Return (Ann)8.70%13.36%
Sharpe Ratio1.513.15
Sortino Ratio2.154.19
Omega Ratio1.271.59
Calmar Ratio0.684.60
Martin Ratio9.0920.85
Ulcer Index2.78%1.85%
Daily Std Dev16.78%12.29%
Max Drawdown-59.49%-55.19%
Current Drawdown-21.21%0.00%

Correlation

-0.50.00.51.00.8

The correlation between VWILX and SPY is 0.75, 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

VWILX vs. SPY - Performance Comparison

In the year-to-date period, VWILX achieves a 12.79% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, VWILX has underperformed SPY with an annualized return of 8.70%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%450.00%500.00%550.00%600.00%650.00%JuneJulyAugustSeptemberOctoberNovember
467.33%
671.43%
VWILX
SPY

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VWILX vs. SPY - Expense Ratio Comparison

VWILX has a 0.32% expense ratio, which is higher than SPY's 0.09% expense ratio.


VWILX
Vanguard International Growth Fund Admiral Shares
Expense ratio chart for VWILX: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VWILX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard International Growth Fund Admiral Shares (VWILX) and SPDR S&P 500 ETF (SPY). 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.


VWILX
Sharpe ratio
The chart of Sharpe ratio for VWILX, currently valued at 1.51, compared to the broader market0.002.004.001.51
Sortino ratio
The chart of Sortino ratio for VWILX, currently valued at 2.15, compared to the broader market0.005.0010.002.15
Omega ratio
The chart of Omega ratio for VWILX, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for VWILX, currently valued at 0.68, compared to the broader market0.005.0010.0015.0020.0025.000.68
Martin ratio
The chart of Martin ratio for VWILX, currently valued at 9.09, compared to the broader market0.0020.0040.0060.0080.00100.009.09
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

VWILX vs. SPY - Sharpe Ratio Comparison

The current VWILX Sharpe Ratio is 1.51, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of VWILX and SPY, 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
1.51
3.15
VWILX
SPY

Dividends

VWILX vs. SPY - Dividend Comparison

VWILX's dividend yield for the trailing twelve months is around 0.98%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
VWILX
Vanguard International Growth Fund Admiral Shares
0.98%1.10%1.50%1.08%0.31%1.30%1.79%0.84%1.42%1.53%2.46%1.58%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VWILX vs. SPY - Drawdown Comparison

The maximum VWILX drawdown since its inception was -59.49%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VWILX and SPY. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-21.21%
0
VWILX
SPY

Volatility

VWILX vs. SPY - Volatility Comparison

Vanguard International Growth Fund Admiral Shares (VWILX) has a higher volatility of 4.49% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that VWILX's price experiences larger fluctuations and is considered to be riskier than SPY 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.49%
3.95%
VWILX
SPY