DWM vs. VFQY
Compare and contrast key facts about WisdomTree International Equity Fund (DWM) and Vanguard U.S. Quality Factor ETF (VFQY).
DWM and VFQY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DWM is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree International Equity Index. It was launched on Jun 16, 2006. VFQY is an actively managed fund by Vanguard. It was launched on Feb 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DWM or VFQY.
Key characteristics
| DWM | VFQY | |
|---|---|---|
| YTD Return | 5.83% | 17.57% |
| 1Y Return | 15.83% | 32.43% |
| 3Y Return (Ann) | 3.95% | 5.99% |
| 5Y Return (Ann) | 4.77% | 13.73% |
| Sharpe Ratio | 1.29 | 2.25 |
| Sortino Ratio | 1.81 | 3.17 |
| Omega Ratio | 1.22 | 1.40 |
| Calmar Ratio | 2.25 | 3.06 |
| Martin Ratio | 7.40 | 13.77 |
| Ulcer Index | 2.18% | 2.34% |
| Daily Std Dev | 12.54% | 14.32% |
| Max Drawdown | -62.10% | -37.41% |
| Current Drawdown | -7.16% | -0.58% |
Correlation
The correlation between DWM and VFQY is 0.75, 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.
Performance
DWM vs. VFQY - Performance Comparison
In the year-to-date period, DWM achieves a 5.83% return, which is significantly lower than VFQY's 17.57% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DWM vs. VFQY - Expense Ratio Comparison
DWM has a 0.48% expense ratio, which is higher than VFQY's 0.13% expense ratio.
Risk-Adjusted Performance
DWM vs. VFQY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Equity Fund (DWM) and Vanguard U.S. Quality Factor ETF (VFQY). 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.
Dividends
DWM vs. VFQY - Dividend Comparison
DWM's dividend yield for the trailing twelve months is around 3.75%, more than VFQY's 1.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DWM WisdomTree International Equity Fund | 3.75% | 4.15% | 4.36% | 3.64% | 2.75% | 3.46% | 3.86% | 2.99% | 3.43% | 3.55% | 4.71% | 3.30% |
VFQY Vanguard U.S. Quality Factor ETF | 1.26% | 1.38% | 1.44% | 0.98% | 1.22% | 1.34% | 1.31% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DWM vs. VFQY - Drawdown Comparison
The maximum DWM drawdown since its inception was -62.10%, which is greater than VFQY's maximum drawdown of -37.41%. Use the drawdown chart below to compare losses from any high point for DWM and VFQY. For additional features, visit the drawdowns tool.
Volatility
DWM vs. VFQY - Volatility Comparison
The current volatility for WisdomTree International Equity Fund (DWM) is 4.31%, while Vanguard U.S. Quality Factor ETF (VFQY) has a volatility of 4.57%. This indicates that DWM experiences smaller price fluctuations and is considered to be less risky than VFQY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.