BRNY vs. VFMF

Last updated Aug 6, 2026

BRNY (Burney U.S. Factor Rotation ETF) and VFMF (Vanguard U.S. Multifactor ETF) are both Multi-factor funds. Both are actively managed. Over the past 3 years, BRNY returned 26.89%/yr vs 21.83%/yr for VFMF. Their correlation of 0.83 means they have usually moved in the same direction. BRNY charges 0.79%/yr vs 0.18%/yr for VFMF.

Performance

BRNY vs. VFMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Burney U.S. Factor Rotation ETF (BRNY) 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, BRNY achieves a 17.70% return, which is significantly lower than VFMF's 23.71% return.

BRNY

• 1D: 0.11%
• 1M: 1.01%
• 6M: 17.29%
• YTD: 17.70%
• 1Y: 30.27%
• 3Y*: 26.89%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 25.58%

VFMF

• 1D: -0.71%
• 1M: 3.81%
• 6M: 15.71%
• YTD: 23.71%
• 1Y: 39.39%
• 3Y*: 21.83%
• 5Y*: 14.88%
• 10Y*: —
• ALL TIME*: 12.89%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
BRNY Burney U.S. Factor Rotation ETF	$1.02M	$933.73K	$1.33M
VFMF Vanguard U.S. Multifactor ETF	$8.41M	$13.33M	$7.38M

BRNY vs. VFMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
BRNY Burney U.S. Factor Rotation ETF	17.70%	22.02%	28.84%	22.36%	5.16%
VFMF Vanguard U.S. Multifactor ETF	23.71%	17.38%	15.60%	18.52%	6.03%

Correlation

The correlation between BRNY and VFMF is 0.75, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.75
Correlation (3Y) Balances recent behavior with more history.	0.81
Correlation (All Time) Calculated using the full available price history since Oct 14, 2022	0.83

The correlation between BRNY and VFMF has been stable across timeframes, ranging from 0.75 to 0.83 - a consistent structural relationship.

Return for Risk

BRNY vs. VFMF — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

BRNY

BRNY Risk / Return Rank: 77
BRNY Sharpe Ratio Rank: 77
BRNY Sortino Ratio Rank: 75
BRNY Omega Ratio Rank: 73
BRNY Calmar Ratio Rank: 80
BRNY Martin Ratio Rank: 81

VFMF

VFMF Risk / Return Rank: 95
VFMF Sharpe Ratio Rank: 96
VFMF Sortino Ratio Rank: 95
VFMF Omega Ratio Rank: 94
VFMF Calmar Ratio Rank: 95
VFMF Martin Ratio Rank: 95

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

BRNY vs. VFMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Burney U.S. Factor Rotation ETF (BRNY) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	BRNY	VFMF	Difference
Sharpe ratio: Return per unit of total volatility	1.97	3.08	-1.11
Sortino ratio: Return per unit of downside risk	2.72	4.38	-1.66
Omega ratio: Gain probability vs. loss probability	1.35	1.55	-0.20
Calmar ratio: Return relative to maximum drawdown	3.26	5.59	-2.34
Martin ratio: Return relative to average drawdown	12.14	21.70	-9.56

BRNY vs. VFMF - Sharpe Ratio Comparison

The current BRNY Sharpe Ratio is 1.97, which is lower than the VFMF Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of BRNY 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.

Drawdowns

BRNY vs. VFMF - Drawdown Comparison

The maximum BRNY drawdown since its inception was -19.14%, smaller than the maximum VFMF drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for BRNY and VFMF.

Drawdown Indicators

	BRNY	VFMF	Difference
Max Drawdown Largest peak-to-trough decline	-19.14%	-41.34%	+22.20%
Max Drawdown (1Y) Largest decline over 1 year	-9.34%	-7.08%	-2.26%
Max Drawdown (3Y) Largest decline over 3 years	-19.14%	-20.57%	+1.43%
Max Drawdown (5Y) Largest decline over 5 years	—	-20.57%	—
Current Drawdown Current decline from peak	0.00%	-0.71%	+0.71%
Average Drawdown Average peak-to-trough decline	-2.72%	-5.63%	+2.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.50%	1.82%	+0.68%

Volatility

BRNY vs. VFMF - Volatility Comparison

Burney U.S. Factor Rotation ETF (BRNY) has a higher volatility of 5.31% compared to Vanguard U.S. Multifactor ETF (VFMF) at 3.17%. This indicates that BRNY's price experiences larger fluctuations and is considered to be riskier than VFMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BRNY	VFMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.31%	3.17%	+2.14%
Volatility (6M) Calculated over the trailing 6-month period	12.36%	9.01%	+3.35%
Volatility (1Y) Calculated over the trailing 1-year period	15.46%	12.85%	+2.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.20%	17.82%	-0.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.20%	20.99%	-3.79%

BRNY vs. VFMF - Expense Ratio Comparison

BRNY has a 0.79% expense ratio, which is higher than VFMF's 0.18% expense ratio.

Dividends

BRNY vs. VFMF - Dividend Comparison

BRNY's dividend yield for the trailing twelve months is around 0.20%, less than VFMF's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
BRNY Burney U.S. Factor Rotation ETF	0.20%	0.30%	0.23%	0.68%	0.22%	0.00%	0.00%	0.00%	0.00%
VFMF Vanguard U.S. Multifactor ETF	1.32%	1.54%	1.60%	1.78%	2.21%	1.39%	1.56%	1.61%	1.22%

Frequently Asked Questions

Can I hold both BRNY and VFMF in my portfolio?

BRNY and VFMF have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BRNY or VFMF?

BRNY has higher volatility (5.31%) compared to VFMF (3.17%). In terms of maximum drawdown, BRNY dropped -19.14% vs VFMF's -41.34%.

Which ETF is better, BRNY or VFMF?

On 3-year performance, BRNY leads with 26.89% vs 21.83% for VFMF. On fees, VFMF is cheaper at 0.18% per year. On volatility, VFMF has been the lower-risk option at 3.17%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, BRNY or VFMF?

Over the 3-year period, BRNY has performed better with a 26.89% return vs 21.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, BRNY or VFMF?

VFMF is cheaper with a 0.18% expense ratio, compared with 0.79% for BRNY.

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

VFMF has the higher dividend yield at 1.32%, compared with 0.20% for BRNY.

What is the main difference between BRNY and VFMF?

They also come from different issuers: Burney and Vanguard. Their fees differ too: 0.79% for BRNY and 0.18% for VFMF.

Which has better risk-adjusted returns?

VFMF currently has the higher Sharpe Ratio (3.08 vs 1.97), 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.