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IVOV vs. VOE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IVOVVOE
YTD Return10.20%15.82%
1Y Return26.31%28.15%
3Y Return (Ann)5.09%5.88%
5Y Return (Ann)10.56%9.98%
10Y Return (Ann)9.09%8.98%
Sharpe Ratio1.782.53
Sortino Ratio2.553.59
Omega Ratio1.321.45
Calmar Ratio1.902.37
Martin Ratio9.9515.77
Ulcer Index2.94%1.93%
Daily Std Dev16.32%11.92%
Max Drawdown-45.99%-61.55%
Current Drawdown-2.47%-3.05%

Correlation

-0.50.00.51.00.9

The correlation between IVOV and VOE is 0.89, 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

IVOV vs. VOE - Performance Comparison

In the year-to-date period, IVOV achieves a 10.20% return, which is significantly lower than VOE's 15.82% return. Both investments have delivered pretty close results over the past 10 years, with IVOV having a 9.09% annualized return and VOE not far behind at 8.98%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.85%
10.11%
IVOV
VOE

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IVOV vs. VOE - Expense Ratio Comparison

IVOV has a 0.15% expense ratio, which is higher than VOE's 0.07% 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%.


IVOV
Vanguard S&P Mid-Cap 400 Value ETF
Expense ratio chart for IVOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VOE: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

IVOV vs. VOE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P Mid-Cap 400 Value ETF (IVOV) and Vanguard Mid-Cap Value ETF (VOE). 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.


IVOV
Sharpe ratio
The chart of Sharpe ratio for IVOV, currently valued at 1.78, compared to the broader market0.002.004.006.001.78
Sortino ratio
The chart of Sortino ratio for IVOV, currently valued at 2.55, compared to the broader market0.005.0010.002.55
Omega ratio
The chart of Omega ratio for IVOV, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for IVOV, currently valued at 1.90, compared to the broader market0.005.0010.0015.0020.001.90
Martin ratio
The chart of Martin ratio for IVOV, currently valued at 9.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.95
VOE
Sharpe ratio
The chart of Sharpe ratio for VOE, currently valued at 2.53, compared to the broader market0.002.004.006.002.53
Sortino ratio
The chart of Sortino ratio for VOE, currently valued at 3.59, compared to the broader market0.005.0010.003.59
Omega ratio
The chart of Omega ratio for VOE, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for VOE, currently valued at 2.37, compared to the broader market0.005.0010.0015.0020.002.37
Martin ratio
The chart of Martin ratio for VOE, currently valued at 15.77, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.77

IVOV vs. VOE - Sharpe Ratio Comparison

The current IVOV Sharpe Ratio is 1.78, which is comparable to the VOE Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of IVOV and VOE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.78
2.53
IVOV
VOE

Dividends

IVOV vs. VOE - Dividend Comparison

IVOV's dividend yield for the trailing twelve months is around 1.38%, less than VOE's 2.13% yield.


TTM20232022202120202019201820172016201520142013
IVOV
Vanguard S&P Mid-Cap 400 Value ETF
1.38%1.52%1.97%1.78%2.42%1.75%1.87%1.55%1.36%1.66%1.47%0.85%
VOE
Vanguard Mid-Cap Value ETF
2.13%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.92%2.05%1.67%1.53%

Drawdowns

IVOV vs. VOE - Drawdown Comparison

The maximum IVOV drawdown since its inception was -45.99%, smaller than the maximum VOE drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for IVOV and VOE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.47%
-3.05%
IVOV
VOE

Volatility

IVOV vs. VOE - Volatility Comparison

Vanguard S&P Mid-Cap 400 Value ETF (IVOV) has a higher volatility of 3.59% compared to Vanguard Mid-Cap Value ETF (VOE) at 2.74%. This indicates that IVOV's price experiences larger fluctuations and is considered to be riskier than VOE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.59%
2.74%
IVOV
VOE