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VYMI vs. HDEF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VYMI and HDEF 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

VYMI vs. HDEF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard International High Dividend Yield ETF (VYMI) and Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF). The values are adjusted to include any dividend payments, if applicable.

70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
86.78%
69.00%
VYMI
HDEF

Key characteristics

Sharpe Ratio

VYMI:

0.76

HDEF:

0.38

Sortino Ratio

VYMI:

1.08

HDEF:

0.58

Omega Ratio

VYMI:

1.13

HDEF:

1.07

Calmar Ratio

VYMI:

1.11

HDEF:

0.40

Martin Ratio

VYMI:

3.39

HDEF:

1.20

Ulcer Index

VYMI:

2.72%

HDEF:

3.68%

Daily Std Dev

VYMI:

12.10%

HDEF:

11.65%

Max Drawdown

VYMI:

-40.00%

HDEF:

-36.43%

Current Drawdown

VYMI:

-7.86%

HDEF:

-10.91%

Returns By Period

In the year-to-date period, VYMI achieves a 6.13% return, which is significantly higher than HDEF's 1.79% return.


VYMI

YTD

6.13%

1M

-2.59%

6M

1.27%

1Y

7.19%

5Y*

5.78%

10Y*

N/A

HDEF

YTD

1.79%

1M

-2.62%

6M

-0.42%

1Y

2.75%

5Y*

4.37%

10Y*

N/A

Compare stocks, funds, or ETFs

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


VYMI vs. HDEF - Expense Ratio Comparison

VYMI has a 0.22% expense ratio, which is higher than HDEF's 0.20% 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%.


VYMI
Vanguard International High Dividend Yield ETF
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for HDEF: 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%

Risk-Adjusted Performance

VYMI vs. HDEF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard International High Dividend Yield ETF (VYMI) and Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF). 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 VYMI, currently valued at 0.76, compared to the broader market0.002.004.000.760.38
The chart of Sortino ratio for VYMI, currently valued at 1.08, compared to the broader market-2.000.002.004.006.008.0010.001.080.58
The chart of Omega ratio for VYMI, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.07
The chart of Calmar ratio for VYMI, currently valued at 1.11, compared to the broader market0.005.0010.0015.001.110.40
The chart of Martin ratio for VYMI, currently valued at 3.39, compared to the broader market0.0020.0040.0060.0080.00100.003.391.20
VYMI
HDEF

The current VYMI Sharpe Ratio is 0.76, which is higher than the HDEF Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of VYMI and HDEF, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.76
0.38
VYMI
HDEF

Dividends

VYMI vs. HDEF - Dividend Comparison

VYMI's dividend yield for the trailing twelve months is around 4.88%, more than HDEF's 4.58% yield.


TTM202320222021202020192018201720162015
VYMI
Vanguard International High Dividend Yield ETF
4.88%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%0.00%
HDEF
Xtrackers MSCI EAFE High Dividend Yield Equity ETF
4.58%4.38%5.41%4.76%3.93%4.20%3.55%3.38%9.13%1.72%

Drawdowns

VYMI vs. HDEF - Drawdown Comparison

The maximum VYMI drawdown since its inception was -40.00%, which is greater than HDEF's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for VYMI and HDEF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.86%
-10.91%
VYMI
HDEF

Volatility

VYMI vs. HDEF - Volatility Comparison

Vanguard International High Dividend Yield ETF (VYMI) and Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) have volatilities of 3.34% and 3.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.34%
3.42%
VYMI
HDEF
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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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