AUSF vs. VFMF

Last updated Jun 4, 2026

AUSF (Global X Adaptive U.S. Factor ETF) and VFMF (Vanguard U.S. Multifactor ETF) are both exchange-traded funds - AUSF is a Mid Cap Value Equities fund tracking the Adaptive Wealth Strategies U.S. Factor Index, while VFMF is a Multi-factor fund managed by Vanguard. Over the past 5 years, AUSF returned 12.71%/yr vs 12.93%/yr for VFMF. Their correlation of 0.87 suggests significant overlap in exposure. AUSF charges 0.27%/yr vs 0.18%/yr for VFMF.

Performance

AUSF vs. VFMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X Adaptive U.S. Factor ETF (AUSF) and Vanguard U.S. Multifactor ETF (VFMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AUSF achieves a 6.72% return, which is significantly lower than VFMF's 14.86% return.

AUSF

• 1D: -0.43%
• 1M: 0.23%
• YTD: 6.72%
• 6M: 7.67%
• 1Y: 15.11%
• 3Y*: 20.14%
• 5Y*: 12.71%
• 10Y*: —

VFMF

• 1D: -0.44%
• 1M: 3.05%
• YTD: 14.86%
• 6M: 16.06%
• 1Y: 33.52%
• 3Y*: 22.34%
• 5Y*: 12.93%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AUSF vs. VFMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
AUSF Global X Adaptive U.S. Factor ETF	6.72%	13.69%	16.05%	22.26%	-0.18%	27.48%	1.27%	24.06%	-10.79%
VFMF Vanguard U.S. Multifactor ETF	14.86%	17.38%	15.60%	18.52%	-5.70%	30.05%	4.99%	22.34%	-18.79%

Correlation

The correlation between AUSF and VFMF is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.84
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (All Time) Calculated using the full available price history since Aug 29, 2018	0.87

The correlation between AUSF and VFMF shifts across timeframes, from 0.76 (1 year) to 0.87 (all time), reflecting how their relationship changes across market environments.

AUSF vs. VFMF - Sectors Allocation Comparison

Sectors	AUSF	VFMF
Financial Services	18.7%	24.6%
Technology	13.5%	12.7%
Healthcare	12.0%	16.9%
Industrials	11.7%	9.0%
Communication Services	10.6%	5.0%
Consumer Defensive	8.5%	6.8%
Consumer Cyclical	7.8%	13.6%
Energy	5.2%	7.3%
Real Estate	4.1%	0.3%
Utilities	4.0%	0.2%
Basic Materials	4.0%	3.4%

Return for Risk

AUSF vs. VFMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AUSF

AUSF Risk / Return Rank: 44
AUSF Sharpe Ratio Rank: 42
AUSF Sortino Ratio Rank: 43
AUSF Omega Ratio Rank: 39
AUSF Calmar Ratio Rank: 52
AUSF Martin Ratio Rank: 45

VFMF

VFMF Risk / Return Rank: 80
VFMF Sharpe Ratio Rank: 77
VFMF Sortino Ratio Rank: 81
VFMF Omega Ratio Rank: 75
VFMF Calmar Ratio Rank: 85
VFMF Martin Ratio Rank: 85

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AUSF vs. VFMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Adaptive U.S. Factor ETF (AUSF) and Vanguard U.S. Multifactor ETF (VFMF). 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.

	AUSF	VFMF	Difference
Sharpe ratio: Return per unit of total volatility	1.50	2.57	-1.07
Sortino ratio: Return per unit of downside risk	2.18	3.68	-1.50
Omega ratio: Gain probability vs. loss probability	1.26	1.45	-0.19
Calmar ratio: Return relative to maximum drawdown	2.60	4.76	-2.16
Martin ratio: Return relative to average drawdown	7.54	17.87	-10.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AUSF vs. VFMF - Sharpe Ratio Comparison

The current AUSF Sharpe Ratio is 1.50, which is lower than the VFMF Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of AUSF and VFMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AUSF	VFMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.50	2.57	-1.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.94	0.72	+0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.57	+0.07

Drawdowns

AUSF vs. VFMF - Drawdown Comparison

The maximum AUSF drawdown since its inception was -44.25%, which is greater than VFMF's maximum drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for AUSF and VFMF.

Drawdown Indicators

	AUSF	VFMF	Difference
Max Drawdown Largest peak-to-trough decline	-44.25%	-41.34%	-2.91%
Max Drawdown (1Y) Largest decline over 1 year	-5.84%	-7.08%	+1.24%
Max Drawdown (3Y) Largest decline over 3 years	-12.29%	-20.57%	+8.28%
Max Drawdown (5Y) Largest decline over 5 years	-14.23%	-20.57%	+6.34%
Current Drawdown Current decline from peak	-2.26%	-0.44%	-1.82%
Average Drawdown Average peak-to-trough decline	-4.22%	-5.74%	+1.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	1.88%	+0.13%

Volatility

AUSF vs. VFMF - Volatility Comparison

The current volatility for Global X Adaptive U.S. Factor ETF (AUSF) is 2.41%, while Vanguard U.S. Multifactor ETF (VFMF) has a volatility of 2.97%. This indicates that AUSF experiences smaller price fluctuations and is considered to be less risky than VFMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AUSF	VFMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.41%	2.97%	-0.56%
Volatility (6M) Calculated over the trailing 6-month period	6.65%	9.07%	-2.42%
Volatility (1Y) Calculated over the trailing 1-year period	10.14%	13.14%	-3.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.65%	18.10%	-4.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.07%	21.15%	-2.08%

AUSF vs. VFMF - Expense Ratio Comparison

AUSF has a 0.27% expense ratio, which is higher than VFMF's 0.18% 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%.

Dividends

AUSF vs. VFMF - Dividend Comparison

AUSF's dividend yield for the trailing twelve months is around 2.76%, more than VFMF's 1.37% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
AUSF Global X Adaptive U.S. Factor ETF	2.76%	2.78%	2.63%	1.83%	2.51%	2.22%	2.95%	4.02%	1.46%
VFMF Vanguard U.S. Multifactor ETF	1.37%	1.54%	1.60%	1.78%	2.21%	1.39%	1.56%	1.61%	1.22%

Frequently Asked Questions

Can I hold both AUSF and VFMF in my portfolio?

AUSF and VFMF have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AUSF or VFMF?

VFMF has higher volatility (2.97%) compared to AUSF (2.41%). In terms of maximum drawdown, AUSF dropped -44.25% vs VFMF's -41.34%.

Which ETF is better, AUSF or VFMF?

On 5-year performance, VFMF leads with 12.93% vs 12.71% for AUSF. On fees, VFMF is cheaper at 0.18% per year. On volatility, AUSF has been the lower-risk option at 2.41%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AUSF or VFMF?

Over the 5-year period, VFMF has performed better with a 12.93% return vs 12.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AUSF or VFMF?

VFMF is cheaper with a 0.18% expense ratio, compared with 0.27% for AUSF.

Which ETF pays a higher dividend yield, AUSF or VFMF?

AUSF has the higher dividend yield at 2.76%, compared with 1.37% for VFMF.

What is the main difference between AUSF and VFMF?

AUSF is categorized as Mid Cap Value Equities, while VFMF is Multi-factor. They also come from different issuers: Global X and Vanguard. Their fees differ too: 0.27% for AUSF and 0.18% for VFMF.

Which has better risk-adjusted returns?

VFMF currently has the higher Sharpe Ratio (2.57 vs 1.50), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.