^SPXEW vs. VTV
Compare and contrast key facts about S&P 500 Equal Weighted Index (^SPXEW) and Vanguard Value ETF (VTV).
VTV is a passively managed fund by Vanguard that tracks the performance of the MSCI US Prime Market Value Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPXEW or VTV.
Performance
^SPXEW vs. VTV - Performance Comparison
Returns By Period
In the year-to-date period, ^SPXEW achieves a 16.41% return, which is significantly lower than VTV's 21.74% return. Over the past 10 years, ^SPXEW has underperformed VTV with an annualized return of 8.66%, while VTV has yielded a comparatively higher 10.57% annualized return.
^SPXEW
16.41%
2.43%
11.65%
25.57%
10.50%
8.66%
VTV
21.74%
1.65%
12.77%
29.27%
11.77%
10.57%
Key characteristics
| ^SPXEW | VTV | |
|---|---|---|
| Sharpe Ratio | 2.26 | 2.90 |
| Sortino Ratio | 3.14 | 4.08 |
| Omega Ratio | 1.40 | 1.53 |
| Calmar Ratio | 2.38 | 5.83 |
| Martin Ratio | 12.47 | 18.64 |
| Ulcer Index | 2.10% | 1.59% |
| Daily Std Dev | 11.55% | 10.23% |
| Max Drawdown | -60.83% | -59.27% |
| Current Drawdown | -0.54% | -0.22% |
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Correlation
The correlation between ^SPXEW and VTV is 0.95, 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
^SPXEW vs. VTV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Equal Weighted Index (^SPXEW) and Vanguard Value ETF (VTV). 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.
Drawdowns
^SPXEW vs. VTV - Drawdown Comparison
The maximum ^SPXEW drawdown since its inception was -60.83%, roughly equal to the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and VTV. For additional features, visit the drawdowns tool.
Volatility
^SPXEW vs. VTV - Volatility Comparison
S&P 500 Equal Weighted Index (^SPXEW) and Vanguard Value ETF (VTV) have volatilities of 3.64% and 3.76%, 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.