Fund Performance Analysis

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Fund Information (Mar 1994 - Oct 2020)

Fund information
NameVanguard International Growth Inv (VWIGX)Vanguard International Value Inv (VTRIX)
Asset ClassInternational EquityInternational Equity
CategoryForeign Large GrowthForeign Large Value
Fund BenchmarkMSCI ACWI Ex USA NR USDMSCI ACWI Ex USA NR USD
Selected BenchmarkDFA International Value I (DFIVX)DFA International Value I (DFIVX)
Price/Earnings (TTM)31.8417.43
Yield (TTM)0.93%3.42%
Assets55.19 B9.41 B
Expense Ratio0.43%0.38%
Inception Date09/30/198105/16/1983

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard International Value Inv$10,000$35,937 4.91% 16.64%41.90%-41.74%-55.90% 0.230.330.83
Vanguard International Growth Inv$10,000$75,882 7.90% 17.33%42.96%-44.94%-56.99% 0.390.570.85
DFA International Value I$10,000$35,117 4.82% 17.93%49.93%-46.33%-62.70% 0.220.310.80
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Vanguard International Value Inv-0.70%-13.46%-8.69%-2.68%2.62%2.98%4.91%
Vanguard International Growth Inv6.44%29.95%42.34%14.88%16.26%10.38%7.90%
DFA International Value I-0.64%-22.22%-18.87%-8.39%-0.62%0.92%4.82%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 11/25/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Vanguard International Value Inv vs. DFA International Value I

Up vs. Down Market Performance - Vanguard International Value Inv vs. DFA International Value I
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market6911618537%0.93%-1.08%-0.33%
Down Market914413567%1.08%-0.93%0.42%
Total16016032050%1.01%-1.04%-0.01%

Vanguard International Growth Inv vs. DFA International Value I

Up vs. Down Market Performance - Vanguard International Growth Inv vs. DFA International Value I
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market8110418544%1.45%-1.49%-0.21%
Down Market904513567%1.94%-1.38%0.83%
Total17114932053%1.70%-1.46%0.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard International Value InvVanguard International Growth InvDFA International Value I
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%22.15%0.00%
Mid-cap Value6.36%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%9.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets79.21%49.44%83.78%
Emerging Markets14.43%28.41%7.22%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared98.45%94.18%94.60%
Style analysis is based on monthly returns from Apr 2005 to Oct 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard International Value Inv

Holdings Based Style Analysis for Vanguard International Value Inv
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTRIXVanguard International Value InvForeign Large Value100.00%0.38%17.43$25,937100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard International Growth Inv

Holdings Based Style Analysis for Vanguard International Growth Inv
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VWIGXVanguard International Growth InvForeign Large Growth100.00%0.43%31.84$65,882100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for DFA International Value I

Holdings Based Style Analysis for DFA International Value I
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DFIVXDFA International Value IForeign Large Value100.00%0.39%13.67$25,117100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricVanguard International Value InvVanguard International Growth InvDFA International Value I
Arithmetic Mean (monthly)0.52%0.76%0.53%
Arithmetic Mean (annualized)6.39%9.54%6.56%
Geometric Mean (monthly)0.40%0.64%0.39%
Geometric Mean (annualized)4.91%7.90%4.82%
Volatility (monthly)4.80%5.00%5.18%
Volatility (annualized)16.64%17.33%17.93%
Downside Deviation (monthly)3.35%3.39%3.67%
Max. Drawdown-55.90%-56.99%-62.70%
US Market Correlation0.830.850.80
Beta(*)0.900.881.00
Alpha (annualized)0.51%3.54%0.00%
R293.24%82.95%100.00%
Sharpe Ratio0.230.390.22
Sortino Ratio0.330.570.31
Treynor Ratio (%)4.337.744.03
Calmar Ratio-0.100.75-0.22
Active Return0.09%3.07%N/A
Tracking Error4.71%7.47%N/A
Information Ratio0.020.41N/A
Skewness-0.62-0.58-0.74
Excess Kurtosis1.701.652.87
Historical Value-at-Risk (5%)-7.95%-8.92%-8.30%
Analytical Value-at-Risk (5%)-7.38%-7.47%-7.98%
Conditional Value-at-Risk (5%)-11.65%-11.68%-12.79%
Upside Capture Ratio (%)90.4593.36100.00
Downside Capture Ratio (%)90.1181.29100.00
Safe Withdrawal Rate5.73%6.17%6.25%
Perpetual Withdrawal Rate2.68%5.44%2.59%
Positive Periods178 out of 320 (55.63%)191 out of 320 (59.69%)183 out of 320 (57.19%)
Gain/Loss Ratio1.061.000.97
* DFA International Value I is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard International Value Inv Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
1994-3.16%3.04%-0.49%1.08%1.65%2.25%-2.53%1.94%-4.94%0.59%-0.88%
1995-3.49%-0.03%3.79%4.05%0.09%-0.84%5.47%-3.32%0.93%-1.71%1.06%3.72%9.65%
19961.93%0.38%1.51%2.62%-1.21%0.38%-2.85%1.21%1.67%-0.03%4.74%-0.36%10.22%
1997-2.07%1.71%1.48%-1.36%5.83%6.50%-0.10%-6.34%4.08%-6.20%-3.30%-3.86%-4.58%
19987.51%5.30%4.53%0.23%-0.23%-0.72%-1.72%-13.45%-0.90%13.00%5.81%0.87%19.46%
1999-3.07%-1.19%6.12%7.61%-2.92%5.14%2.75%-0.24%-1.01%1.69%-0.24%5.97%21.77%
2000-7.80%-5.03%7.67%-0.95%0.56%6.75%-3.25%-1.86%-4.84%-0.19%-2.03%4.53%-7.42%
20012.92%-6.23%-9.04%7.88%-1.34%-3.33%-0.85%-1.63%-12.57%2.64%5.93%2.62%-14.05%
2002-2.67%1.91%5.39%1.60%2.01%-5.06%-9.21%-1.89%-11.03%5.17%5.07%-3.81%-13.35%
2003-4.04%-2.60%-3.18%9.57%5.95%4.04%6.32%2.51%1.29%8.01%2.00%6.75%41.90%
20042.55%2.12%-0.51%-2.45%0.37%2.17%-2.96%1.36%3.20%2.16%6.45%4.10%19.77%
2005-1.13%5.40%-3.20%-2.34%0.49%1.05%4.27%3.04%4.18%-3.84%3.63%5.73%17.96%
20068.01%-0.82%3.70%4.73%-4.30%-0.21%1.37%2.14%0.65%3.42%3.31%2.95%27.37%
20070.87%0.12%2.23%3.67%3.68%0.78%-1.33%-1.44%5.61%4.40%-4.09%-2.06%12.66%
2008-7.96%0.49%-0.85%6.42%1.51%-8.82%-2.82%-4.80%-12.29%-20.83%-6.28%7.13%-41.74%
2009-10.76%-9.71%8.10%11.66%13.73%-1.62%10.16%4.02%5.37%-2.73%3.71%0.91%33.77%
2010-5.00%-0.21%7.06%-2.57%-11.69%-2.32%11.26%-3.58%10.00%3.60%-4.45%7.70%7.31%
20111.68%2.72%-2.47%5.31%-3.04%-1.38%-1.70%-9.31%-11.08%10.82%-2.52%-2.76%-14.58%
20127.21%5.29%-0.57%-2.41%-11.18%6.37%1.09%2.40%3.58%0.78%2.65%4.69%20.18%
20133.91%-1.60%-0.09%4.80%-1.38%-3.28%5.62%-1.52%7.49%4.27%0.59%2.00%22.15%
2014-5.19%5.28%0.11%0.91%2.26%1.79%-2.14%0.03%-3.70%-0.30%-0.49%-4.93%-6.69%
2015-0.94%6.45%-1.20%4.86%-0.73%-2.77%-0.14%-7.72%-6.03%7.16%-1.32%-3.10%-6.44%
2016-5.44%-2.31%7.69%2.52%-1.70%-0.64%3.65%0.65%1.64%-1.64%-0.99%1.55%4.46%
20173.97%0.82%3.09%2.62%3.38%-0.30%3.66%-0.05%3.01%1.37%1.55%1.90%27.96%
20185.22%-4.31%-1.30%0.61%-2.41%-1.41%2.50%-2.06%0.60%-7.43%0.75%-5.65%-14.52%
20196.88%2.04%0.34%3.19%-6.01%5.61%-1.78%-3.11%3.77%3.10%1.26%4.19%20.39%
2020-3.57%-7.43%-17.43%7.34%4.04%3.04%2.76%4.19%-2.88%-1.87%-13.46%

Vanguard International Growth Inv Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
1994-4.39%3.32%-0.73%-0.51%2.29%3.68%-2.72%2.51%-4.33%-0.64%-1.93%
1995-5.14%0.08%4.55%4.43%2.08%0.70%5.31%-2.46%2.79%-1.99%0.74%3.42%14.89%
19962.46%0.58%2.13%2.85%0.12%0.92%-3.23%1.45%2.42%-1.39%5.52%0.17%14.65%
1997-1.03%2.39%1.02%0.89%7.18%5.32%2.87%-9.52%5.99%-8.93%-1.22%0.64%4.12%
19982.32%7.04%3.01%1.68%0.05%-0.85%2.31%-13.16%-1.81%7.31%6.07%3.48%16.93%
19990.59%-3.23%1.64%4.74%-3.80%4.12%0.87%0.51%-1.42%2.82%6.79%10.92%26.34%
2000-3.96%7.50%2.71%-5.87%-0.85%3.68%-2.99%-0.71%-6.48%-3.03%-2.38%4.45%-8.60%
20010.53%-6.59%-6.26%5.42%-3.60%-3.97%-2.22%-2.78%-11.68%3.45%5.04%3.45%-18.92%
2002-4.40%-0.14%5.16%0.73%-0.79%-4.25%-10.06%0.00%-11.95%7.01%6.22%-4.93%-17.79%
2003-3.37%-3.23%-1.14%9.79%5.67%1.61%3.02%2.64%1.86%5.54%1.66%6.78%34.45%
20042.29%2.48%1.30%-3.62%-0.30%1.76%-3.34%0.86%2.76%2.62%6.56%4.56%18.95%
2005-2.12%4.17%-2.44%-2.29%0.11%1.14%3.45%3.28%4.44%-3.14%2.34%5.65%15.00%
20066.95%-0.45%3.22%4.50%-4.77%0.35%1.08%2.83%-0.13%4.05%2.93%3.18%25.92%
20071.17%-0.79%2.51%4.64%3.23%0.75%-1.57%-0.65%6.35%5.11%-3.32%-2.01%15.98%
2008-8.98%0.89%-0.97%5.85%2.13%-9.06%-3.92%-4.17%-12.87%-22.81%-7.86%7.95%-44.94%
2009-10.66%-7.71%8.85%12.60%14.11%-1.14%10.42%2.41%5.40%-1.69%4.29%1.64%41.63%
2010-5.06%0.74%7.20%-1.15%-10.39%-0.84%9.93%-3.27%12.66%3.27%-3.65%7.74%15.66%
2011-0.05%2.17%1.06%6.06%-2.88%-1.36%-1.73%-8.33%-13.79%12.51%-2.99%-2.89%-13.68%
20128.20%5.37%-0.05%-0.86%-11.42%4.95%1.11%1.90%3.84%0.87%2.00%3.82%20.01%
20134.41%-1.44%0.15%2.77%-0.24%-4.57%7.05%-1.83%8.13%3.49%1.31%2.34%22.95%
2014-5.66%5.36%-0.17%0.39%1.55%1.14%-1.51%1.15%-4.58%0.31%1.45%-4.65%-5.63%
20150.23%5.93%-0.66%4.18%-0.08%-2.88%-1.09%-8.32%-4.03%9.20%0.46%-2.44%-0.67%
2016-7.68%-1.69%7.94%1.98%-0.09%-1.38%5.54%2.10%2.82%-3.09%-4.04%0.28%1.71%
20177.27%0.97%4.01%4.23%5.14%0.57%5.36%2.38%2.57%2.30%0.77%0.95%42.96%
20189.09%-4.15%-1.15%-0.23%1.10%-0.19%1.47%-1.54%-1.44%-10.66%2.44%-6.89%-12.69%
20198.43%4.26%1.63%4.47%-8.70%8.17%-1.63%-2.58%1.20%4.29%3.65%5.68%31.35%
2020-1.52%-3.77%-10.87%11.25%9.22%9.44%8.71%8.82%-1.75%-0.45%29.95%

DFA International Value I Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
1994-2.67%3.36%0.59%1.13%1.95%1.53%-3.52%4.20%-5.29%0.58%1.42%
1995-3.96%-0.21%5.86%3.12%-0.66%-0.99%5.63%-3.49%0.62%-1.90%2.69%4.88%11.53%
19961.00%0.54%1.45%3.87%-0.93%0.31%-2.66%0.35%1.73%-0.96%4.47%-1.39%7.81%
1997-3.33%0.91%0.33%-0.54%7.57%4.27%1.38%-6.55%3.62%-5.22%-4.29%-0.38%-3.14%
19985.99%6.54%4.42%0.32%0.87%-0.96%1.12%-13.11%-5.41%9.95%4.39%1.90%14.87%
1999-2.00%-2.55%6.11%5.93%-5.05%4.46%3.57%0.99%0.38%-0.53%-0.31%4.91%16.30%
2000-7.72%-2.49%5.48%-2.58%1.85%6.99%-3.27%0.84%-2.89%-0.79%-0.08%5.51%-0.16%
20010.16%-3.05%-6.05%5.21%-0.76%-1.93%-2.09%1.43%-12.74%0.61%3.62%0.42%-15.26%
2002-2.21%1.13%6.21%3.35%3.34%-2.81%-10.25%-0.10%-11.89%2.85%6.00%-2.57%-8.52%
2003-3.37%-1.97%-2.46%10.95%7.57%3.22%4.50%2.59%3.84%7.85%2.09%7.47%49.93%
20042.53%2.99%1.56%-3.01%0.96%4.14%-3.69%1.25%3.19%3.83%7.37%4.98%28.80%
2005-1.04%3.95%-2.50%-3.05%0.13%1.58%4.45%3.30%2.79%-1.53%1.79%4.86%15.27%
20066.81%0.93%4.21%5.03%-4.04%-0.69%1.55%3.40%1.40%4.42%3.27%3.89%34.15%
20071.86%-0.08%3.21%5.02%3.41%-0.73%-2.79%-1.16%5.20%4.82%-6.08%-2.18%10.24%
2008-8.10%-1.30%1.20%4.44%0.04%-9.93%-2.83%-4.22%-11.67%-25.09%-6.14%7.48%-46.33%
2009-13.77%-12.28%10.86%18.36%14.87%-1.50%11.83%5.68%5.14%-4.02%2.92%1.17%39.45%
2010-5.81%0.31%7.97%-1.73%-11.77%-1.74%12.47%-4.94%10.71%3.55%-5.11%9.37%10.57%
20114.24%3.29%-2.76%5.32%-3.61%-1.40%-3.23%-10.72%-10.94%9.56%-3.29%-2.67%-16.85%
20126.72%5.15%-0.78%-3.60%-12.35%7.04%-0.41%4.08%3.55%1.29%1.53%4.92%16.61%
20134.64%-2.99%0.29%4.92%-1.24%-3.53%6.83%-0.74%7.54%3.46%0.36%2.17%23.12%
2014-3.68%5.71%-0.72%1.67%1.10%1.21%-2.23%0.00%-4.38%-1.70%0.00%-3.75%-6.99%
2015-0.68%7.13%-2.13%5.50%0.05%-2.91%-0.97%-7.48%-6.84%7.63%-1.30%-3.19%-6.31%
2016-7.86%-3.18%7.55%4.83%-1.87%-3.67%4.50%2.63%1.17%1.24%0.49%3.29%8.41%
20174.30%-0.69%2.27%1.41%1.73%1.06%4.68%-0.11%3.57%1.79%0.95%2.60%26.09%
20185.86%-5.62%-1.23%2.68%-3.62%-2.28%3.18%-3.53%1.76%-8.42%-0.73%-6.10%-17.49%
20197.85%1.69%-1.10%3.25%-7.53%6.28%-3.27%-4.10%5.08%3.37%1.05%3.22%15.67%
2020-5.64%-8.31%-21.38%6.63%4.43%3.65%-0.29%6.86%-4.26%-2.87%-22.22%
Rolling returns summary
Roll PeriodVanguard International Value InvVanguard International Growth InvDFA International Value I
AverageHighLowAverageHighLowAverageHighLow
1 year7.74%41.90%-41.74%9.62%42.96%-44.94%8.31%49.93%-46.33%
3 years6.04%26.09%-11.66%7.22%22.52%-15.22%6.55%30.57%-8.19%
5 years5.67%23.53%-4.25%6.37%21.85%-2.08%6.31%26.91%-5.38%
7 years5.52%12.22%-0.31%5.92%11.14%1.03%6.25%14.32%-1.20%
10 years5.88%11.18%0.75%6.25%9.64%1.31%6.67%13.03%0.28%
15 years5.85%8.75%4.52%6.21%10.05%3.90%6.58%9.45%4.42%
Result statistics are based on annualized rolling returns over full calendar year periods