BZUN vs. VYM

Last updated Jun 3, 2026

BZUN (Baozun Inc.) is a stock, while VYM (Vanguard High Dividend Yield ETF) is Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 10 years, BZUN returned -7.99%/yr vs 11.94%/yr for VYM. At a 0.29 correlation, their price movements are largely independent.

Performance

BZUN vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Baozun Inc. (BZUN) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BZUN achieves a 0.75% return, which is significantly lower than VYM's 12.96% return. Over the past 10 years, BZUN has underperformed VYM with an annualized return of -7.99%, while VYM has yielded a comparatively higher 11.94% annualized return.

BZUN

• 1D: -1.11%
• 1M: -2.19%
• YTD: 0.75%
• 6M: -3.94%
• 1Y: -6.62%
• 3Y*: -14.45%
• 5Y*: -40.48%
• 10Y*: -7.99%

VYM

• 1D: 1.24%
• 1M: 2.98%
• YTD: 12.96%
• 6M: 13.69%
• 1Y: 27.70%
• 3Y*: 19.05%
• 5Y*: 11.67%
• 10Y*: 11.94%

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

BZUN vs. VYM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BZUN Baozun Inc.	0.75%	-2.21%	-0.73%	-48.30%	-61.87%	-59.53%	3.71%	13.39%	-7.45%	161.47%
VYM Vanguard High Dividend Yield ETF	12.96%	15.42%	17.60%	6.57%	-0.43%	26.20%	1.15%	24.06%	-5.92%	16.42%

Correlation

The correlation between BZUN and VYM is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.29
Correlation (10Y) Calculated over the trailing 10-year period	0.29
Correlation (All Time) Calculated using the full available price history since May 22, 2015	0.29

Return for Risk

BZUN vs. VYM — Risk / Return Rank

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

BZUN

BZUN Risk / Return Rank: 36
BZUN Sharpe Ratio Rank: 35
BZUN Sortino Ratio Rank: 36
BZUN Omega Ratio Rank: 35
BZUN Calmar Ratio Rank: 37
BZUN Martin Ratio Rank: 37

VYM

VYM Risk / Return Rank: 82
VYM Sharpe Ratio Rank: 82
VYM Sortino Ratio Rank: 85
VYM Omega Ratio Rank: 81
VYM Calmar Ratio Rank: 80
VYM Martin Ratio Rank: 79

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.

BZUN vs. VYM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Baozun Inc. (BZUN) and Vanguard High Dividend Yield ETF (VYM). 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.

	BZUN	VYM	Difference
Sharpe ratio Return per unit of total volatility	-0.11	2.71	-2.82
Sortino ratio Return per unit of downside risk	0.27	3.84	-3.57
Omega ratio Gain probability vs. loss probability	1.03	1.49	-0.46
Calmar ratio Return relative to maximum drawdown	-0.11	4.20	-4.30
Martin ratio Return relative to average drawdown	-0.17	15.80	-15.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BZUN vs. VYM - Sharpe Ratio Comparison

The current BZUN Sharpe Ratio is -0.11, which is lower than the VYM Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of BZUN and VYM, 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

	BZUN	VYM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.11	2.71	-2.82
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.55	0.84	-1.39
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.11	0.73	-0.85
Sharpe Ratio (All Time) Calculated using the full available price history	-0.16	0.51	-0.67

Drawdowns

BZUN vs. VYM - Drawdown Comparison

The maximum BZUN drawdown since its inception was -97.03%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for BZUN and VYM.

Drawdown Indicators

	BZUN	VYM	Difference
Max Drawdown Largest peak-to-trough decline	-97.03%	-56.98%	-40.05%
Max Drawdown (1Y) Largest decline over 1 year	-56.08%	-6.69%	-49.39%
Max Drawdown (3Y) Largest decline over 3 years	-61.82%	-14.46%	-47.36%
Max Drawdown (5Y) Largest decline over 5 years	-94.72%	-15.84%	-78.88%
Max Drawdown (10Y) Largest decline over 10 years	-97.03%	-35.21%	-61.82%
Current Drawdown Current decline from peak	-95.96%	0.00%	-95.96%
Average Drawdown Average peak-to-trough decline	-58.71%	-7.20%	-51.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	34.39%	1.78%	+32.61%

Volatility

BZUN vs. VYM - Volatility Comparison

Baozun Inc. (BZUN) has a higher volatility of 13.20% compared to Vanguard High Dividend Yield ETF (VYM) at 2.88%. This indicates that BZUN's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BZUN	VYM	Difference
Volatility (1M) Calculated over the trailing 1-month period	13.20%	2.88%	+10.32%
Volatility (6M) Calculated over the trailing 6-month period	38.86%	7.73%	+31.13%
Volatility (1Y) Calculated over the trailing 1-year period	58.30%	10.27%	+48.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	74.50%	13.96%	+60.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	70.25%	16.34%	+53.91%

Dividends

BZUN vs. VYM - Dividend Comparison

BZUN has not paid dividends to shareholders, while VYM's dividend yield for the trailing twelve months is around 2.18%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BZUN Baozun Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VYM Vanguard High Dividend Yield ETF	2.18%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%

Frequently Asked Questions

Can I hold both BZUN and VYM in my portfolio?

BZUN and VYM have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BZUN or VYM?

BZUN has higher volatility (13.20%) compared to VYM (2.88%). In terms of maximum drawdown, BZUN dropped -97.03% vs VYM's -56.98%.

Which has better risk-adjusted returns?

VYM currently has the higher Sharpe Ratio (2.71 vs -0.11), 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.