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IYG vs. VFH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IYG vs. VFH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Financial Services ETF (IYG) and Vanguard Financials ETF (VFH). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
23.84%
23.99%
IYG
VFH

Returns By Period

The year-to-date returns for both stocks are quite close, with IYG having a 36.02% return and VFH slightly lower at 35.42%. Both investments have delivered pretty close results over the past 10 years, with IYG having a 12.17% annualized return and VFH not far behind at 12.02%.


IYG

YTD

36.02%

1M

8.03%

6M

23.84%

1Y

49.38%

5Y (annualized)

12.45%

10Y (annualized)

12.17%

VFH

YTD

35.42%

1M

7.44%

6M

23.99%

1Y

47.35%

5Y (annualized)

13.20%

10Y (annualized)

12.02%

Key characteristics


IYGVFH
Sharpe Ratio3.243.26
Sortino Ratio4.634.61
Omega Ratio1.601.60
Calmar Ratio3.073.79
Martin Ratio24.2123.37
Ulcer Index2.06%2.05%
Daily Std Dev15.41%14.72%
Max Drawdown-81.84%-78.61%
Current Drawdown0.00%0.00%

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IYG vs. VFH - Expense Ratio Comparison

IYG has a 0.42% expense ratio, which is higher than VFH's 0.10% expense ratio.


IYG
iShares U.S. Financial Services ETF
Expense ratio chart for IYG: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for VFH: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.01.0

The correlation between IYG and VFH is 0.97, 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.

Risk-Adjusted Performance

IYG vs. VFH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Financial Services ETF (IYG) and Vanguard Financials ETF (VFH). 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.


Sharpe ratio
The chart of Sharpe ratio for IYG, currently valued at 3.24, compared to the broader market0.002.004.003.243.26
The chart of Sortino ratio for IYG, currently valued at 4.63, compared to the broader market-2.000.002.004.006.008.0010.004.634.61
The chart of Omega ratio for IYG, currently valued at 1.60, compared to the broader market0.501.001.502.002.503.001.601.60
The chart of Calmar ratio for IYG, currently valued at 3.06, compared to the broader market0.005.0010.0015.003.073.79
The chart of Martin ratio for IYG, currently valued at 24.21, compared to the broader market0.0020.0040.0060.0080.00100.0024.2123.37
IYG
VFH

The current IYG Sharpe Ratio is 3.24, which is comparable to the VFH Sharpe Ratio of 3.26. The chart below compares the historical Sharpe Ratios of IYG and VFH, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.24
3.26
IYG
VFH

Dividends

IYG vs. VFH - Dividend Comparison

IYG's dividend yield for the trailing twelve months is around 1.14%, less than VFH's 1.59% yield.


TTM20232022202120202019201820172016201520142013
IYG
iShares U.S. Financial Services ETF
1.14%1.77%2.07%1.25%1.71%1.59%1.81%1.24%1.28%1.33%1.14%1.04%
VFH
Vanguard Financials ETF
1.59%2.08%2.31%1.87%2.21%2.17%2.30%1.53%1.63%2.00%1.85%1.82%

Drawdowns

IYG vs. VFH - Drawdown Comparison

The maximum IYG drawdown since its inception was -81.84%, roughly equal to the maximum VFH drawdown of -78.61%. Use the drawdown chart below to compare losses from any high point for IYG and VFH. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
IYG
VFH

Volatility

IYG vs. VFH - Volatility Comparison

iShares U.S. Financial Services ETF (IYG) has a higher volatility of 8.31% compared to Vanguard Financials ETF (VFH) at 7.75%. This indicates that IYG's price experiences larger fluctuations and is considered to be riskier than VFH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
8.31%
7.75%
IYG
VFH