PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VWNEX vs. VDIGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VWNEX vs. VDIGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Windsor Fund Admiral Shares (VWNEX) and Vanguard Dividend Growth Fund (VDIGX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.38%
6.76%
VWNEX
VDIGX

Returns By Period

In the year-to-date period, VWNEX achieves a 15.22% return, which is significantly higher than VDIGX's 11.92% return. Over the past 10 years, VWNEX has underperformed VDIGX with an annualized return of 2.64%, while VDIGX has yielded a comparatively higher 10.79% annualized return.


VWNEX

YTD

15.22%

1M

2.66%

6M

10.07%

1Y

15.92%

5Y (annualized)

3.64%

10Y (annualized)

2.64%

VDIGX

YTD

11.92%

1M

-1.90%

6M

6.81%

1Y

16.75%

5Y (annualized)

10.79%

10Y (annualized)

10.79%

Key characteristics


VWNEXVDIGX
Sharpe Ratio1.321.98
Sortino Ratio1.792.73
Omega Ratio1.251.35
Calmar Ratio0.883.62
Martin Ratio4.9910.27
Ulcer Index3.28%1.69%
Daily Std Dev12.36%8.76%
Max Drawdown-65.77%-45.23%
Current Drawdown-3.68%-3.15%

Compare stocks, funds, or ETFs

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


VWNEX vs. VDIGX - Expense Ratio Comparison

VWNEX has a 0.20% expense ratio, which is lower than VDIGX's 0.27% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VDIGX
Vanguard Dividend Growth Fund
Expense ratio chart for VDIGX: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
Expense ratio chart for VWNEX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.9

The correlation between VWNEX and VDIGX is 0.88, 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.

Risk-Adjusted Performance

VWNEX vs. VDIGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Windsor Fund Admiral Shares (VWNEX) and Vanguard Dividend Growth Fund (VDIGX). 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 VWNEX, currently valued at 1.32, compared to the broader market-1.000.001.002.003.004.005.001.321.98
The chart of Sortino ratio for VWNEX, currently valued at 1.79, compared to the broader market0.005.0010.001.792.73
The chart of Omega ratio for VWNEX, currently valued at 1.25, compared to the broader market1.002.003.004.001.251.35
The chart of Calmar ratio for VWNEX, currently valued at 0.88, compared to the broader market0.005.0010.0015.0020.0025.000.883.62
The chart of Martin ratio for VWNEX, currently valued at 4.99, compared to the broader market0.0020.0040.0060.0080.00100.004.9910.27
VWNEX
VDIGX

The current VWNEX Sharpe Ratio is 1.32, which is lower than the VDIGX Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of VWNEX and VDIGX, 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.32
1.98
VWNEX
VDIGX

Dividends

VWNEX vs. VDIGX - Dividend Comparison

VWNEX's dividend yield for the trailing twelve months is around 2.05%, more than VDIGX's 1.65% yield.


TTM20232022202120202019201820172016201520142013
VWNEX
Vanguard Windsor Fund Admiral Shares
2.05%2.00%1.83%1.66%1.96%2.03%2.54%1.67%2.09%1.99%1.47%1.07%
VDIGX
Vanguard Dividend Growth Fund
1.65%1.69%1.67%1.46%1.62%1.72%2.15%1.92%1.92%1.93%1.91%1.80%

Drawdowns

VWNEX vs. VDIGX - Drawdown Comparison

The maximum VWNEX drawdown since its inception was -65.77%, which is greater than VDIGX's maximum drawdown of -45.23%. Use the drawdown chart below to compare losses from any high point for VWNEX and VDIGX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.68%
-3.15%
VWNEX
VDIGX

Volatility

VWNEX vs. VDIGX - Volatility Comparison

Vanguard Windsor Fund Admiral Shares (VWNEX) has a higher volatility of 4.01% compared to Vanguard Dividend Growth Fund (VDIGX) at 2.51%. This indicates that VWNEX's price experiences larger fluctuations and is considered to be riskier than VDIGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.01%
2.51%
VWNEX
VDIGX