Vanguard FTSE Europe Index Fund ETF Shares

10-Year Study

VGK.US · · US · ETF

Executive Summary: Vanguard FTSE Europe Index Fund ETF Shares has compounded at 9.4% annually over the last 10 years, with a maximum drawdown of 31.0% and an annualized volatility of 17.4%.

1Y CAGR
+19.1%
3Y CAGR
+17.5%
5Y CAGR
+8.5%
10Y CAGR
+9.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
31.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.39
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.59
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +35.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.73.1-8.66.4————————4.9%
20256.34.00.43.85.32.5-2.43.81.90.61.53.535.9%
2024-1.22.43.8-2.66.4-3.02.53.60.5-5.5-1.8-2.71.9%
20239.6-1.72.54.1-5.14.32.9-4.0-4.5-3.19.85.420.3%
2022-3.6-5.30.2-6.22.4-9.95.0-7.5-9.78.413.5-1.7-16.0%
2021-0.92.63.34.84.5-1.41.91.8-5.45.0-4.95.216.9%
2020-3.1-8.0-16.76.45.83.93.74.3-3.1-5.416.45.05.4%
20196.73.20.83.9-5.76.4-2.6-1.62.63.81.34.524.9%
20185.6-6.1-0.42.1-2.4-1.23.4-2.80.1-7.9-0.7-4.8-14.9%
20173.00.64.43.94.9-0.52.80.13.20.5-0.11.527.0%
2016———2.8-0.5-4.13.50.70.8-3.5-2.34.91.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 17.4%. The dominant macroeconomic risk driver is VEA.US, accounting for 75.8% of variance. Idiosyncratic stock-specific factors contribute 2.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110276.179092979257
2016-05-0110224.65927243477
2016-06-019807.997326294084
2016-07-0110148.526629431159
2016-08-0110217.890038179614
2016-09-0110298.46941665628
2016-10-019934.970034101078
2016-11-019702.493570643614
2016-12-0110179.993655613082
2017-01-0110481.52197310433
2017-02-0110543.124837141853
2017-03-0111010.202000747731
2017-04-0111439.354458631196
2017-05-0112000.86102393873
2017-06-0111939.22983674533
2017-07-0112277.011793762107
2017-08-0112285.6503563053
2017-09-0112680.07862508072
2017-10-0112738.764204062674
2017-11-0112732.249878210429
2017-12-0112927.084867504274
2018-01-0113654.84835782342
2018-02-0112815.63324911915
2018-03-0112770.59943127103
2018-04-0113045.135781209285
2018-05-0112728.87942266079
2018-06-0112571.232737036491
2018-07-0112998.99736028187
2018-08-0112631.70267483884
2018-09-0112640.256267914396
2018-10-0111641.97831579186
2018-11-0111563.296588759107
2018-12-0111002.979595998504
2019-01-0111738.475307872704
2019-02-0112109.621942515323
2019-03-0112201.898784370149
2019-04-0112679.852039833686
2019-05-0111960.613819434217
2019-06-0112720.63738429991
2019-07-0112389.313106823614
2019-08-0112185.414707648382
2019-09-0112496.148050800412
2019-10-0112976.310512422535
2019-11-0113144.15353416339
2019-12-0113737.353710899883
2020-01-0113313.044512671779
2020-02-0112253.446928070513
2020-03-0110212.876839588973
2020-04-0110871.248598003782
2020-05-0111505.998844415239
2020-06-0111958.461259587388
2020-07-0112395.657493740582
2020-08-0112930.25706096276
2020-09-0112527.246875955907
2020-10-0111848.68070739914
2020-11-0113791.19603022647
2020-12-0114483.697191475863
2021-01-0114353.863844925054
2021-02-0114724.132461735415
2021-03-0115212.508638562544
2021-04-0115939.337464737668
2021-05-0116649.257366852842
2021-06-0116420.717822062605
2021-07-0116725.899826662284
2021-08-0117028.617716700464
2021-09-0116110.720880963438
2021-10-0116921.018047514925
2021-11-0116093.528725344693
2021-12-0116930.109780552186
2022-01-0116324.758969943467
2022-02-0115461.384209274132
2022-03-0115485.742123330348
2022-04-0114518.506350051546
2022-05-0114869.090373525778
2022-06-0113398.325535024413
2022-07-0114067.969909479192
2022-08-0113017.832258941617
2022-09-0111757.083621285417
2022-10-0112748.08252234697
2022-11-0114467.694608404046
2022-12-0114225.701564571129
2023-01-0115585.666217272592
2023-02-0115318.805442577632
2023-03-0115698.137469269375
2023-04-0116347.19090939989
2023-05-0115510.128360542443
2023-06-0116181.415478038223
2023-07-0116650.843463582085
2023-08-0115976.83732312189
2023-09-0115258.84532158111
2023-10-0114787.37806881394
2023-11-0116230.811061891758
2023-12-0117107.299443733216
2024-01-0116897.708090226246
2024-02-0117303.63556028867
2024-03-0117965.122865850204
2024-04-0117506.259417449328
2024-05-0118634.7389171491
2024-06-0118084.958138375612
2024-07-0118542.71698369719
2024-08-0119211.709925566745
2024-09-0119304.241675824484
2024-10-0118239.91412419137
2024-11-0117919.550908040375
2024-12-0117428.002537754764
2025-01-0118534.559914803944
2025-02-0119275.946843101043
2025-03-0119356.979392071782
2025-04-0120101.36857489209
2025-05-0121162.80716462551
2025-06-0121687.890151472235
2025-07-0121170.171185154133
2025-08-0121967.722931559925
2025-09-0122390.219447811753
2025-10-0122530.532362037906
2025-11-0122875.621693271547
2025-12-0123680.990630700035
2026-01-0124782.76139440561
2026-02-0125538.989656383474
2026-03-0123346.777391324053
2026-04-0124842.24002175218
Annual Return Matrix
YearAnnual Return
20170.2698519571646776
2018-0.14884293645681335
20190.2485121499176277
20200.0543294943322159
20210.1689080182176219
2022-0.15973955579943389
20230.2025627956612459
20240.018746564592287518
20250.3587897166872249
20260.04903719650759464
Total Factor Risk
0.1741016391285202
VTI.US Exposure
-0.13935368652398727
VEA.US Exposure
0.7583698543127251
VWO.US Exposure
0.0005206857927585785
QQQ.US Exposure
0.016229728490810086
VTV.US Exposure
0.032541612859591076
IJR.US Exposure
-0.014474667628216207
QUAL.US Exposure
0.09690270426340136
SHV.US Exposure
0.1170179097624658
TLT.US Exposure
-0.008853997729602936
LQD.US Exposure
-0.0324654896183471
HYG.US Exposure
0.07479740405398193
GLD.US Exposure
-0.023579684074582233
USO.US Exposure
0.011791556756161673
VNQ.US Exposure
0.0009644166494436478
BTC-USD.CC Exposure
0.0018495585613264854
CPER.US Exposure
0.029397781945998222
VIX.INDX Exposure
-0.002784922950701709
UUP.US Exposure
0.06156857028203868
TIP.US Exposure
-0.001066150352009851
Idiosyncratic Exposure
0.020626815146744706
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$108
Avg Yield on Cost
1.08%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$108.191.08%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
3.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.06
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Vanguard FTSE Europe Index Fund ETF Shares a high-risk investment?

Vanguard FTSE Europe Index Fund ETF Shares (VGK.US) has an annualized volatility of 17.4% and experienced a maximum drawdown of 31.0% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of VGK.US?

Over the past 10 years, VGK.US has generated a Compound Annual Growth Rate (CAGR) of 9.4%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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