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PEYAX vs. VIG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PEYAXVIG
YTD Return25.59%20.77%
1Y Return32.98%31.87%
3Y Return (Ann)6.72%8.80%
5Y Return (Ann)9.52%13.12%
10Y Return (Ann)8.04%11.99%
Sharpe Ratio2.953.08
Sortino Ratio3.904.32
Omega Ratio1.531.57
Calmar Ratio3.595.47
Martin Ratio22.6620.34
Ulcer Index1.41%1.52%
Daily Std Dev10.80%10.07%
Max Drawdown-50.96%-46.81%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between PEYAX and VIG is 0.91, 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

PEYAX vs. VIG - Performance Comparison

In the year-to-date period, PEYAX achieves a 25.59% return, which is significantly higher than VIG's 20.77% return. Over the past 10 years, PEYAX has underperformed VIG with an annualized return of 8.04%, while VIG has yielded a comparatively higher 11.99% annualized return. 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
10.75%
13.13%
PEYAX
VIG

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PEYAX vs. VIG - Expense Ratio Comparison

PEYAX has a 0.88% expense ratio, which is higher than VIG's 0.06% expense ratio.


PEYAX
Putnam Large Cap Value Fund
Expense ratio chart for PEYAX: current value at 0.88% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.88%
Expense ratio chart for VIG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

PEYAX vs. VIG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Large Cap Value Fund (PEYAX) and Vanguard Dividend Appreciation ETF (VIG). 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.


PEYAX
Sharpe ratio
The chart of Sharpe ratio for PEYAX, currently valued at 2.95, compared to the broader market0.002.004.002.95
Sortino ratio
The chart of Sortino ratio for PEYAX, currently valued at 3.90, compared to the broader market0.005.0010.003.90
Omega ratio
The chart of Omega ratio for PEYAX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for PEYAX, currently valued at 3.59, compared to the broader market0.005.0010.0015.0020.003.59
Martin ratio
The chart of Martin ratio for PEYAX, currently valued at 22.66, compared to the broader market0.0020.0040.0060.0080.00100.0022.66
VIG
Sharpe ratio
The chart of Sharpe ratio for VIG, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for VIG, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for VIG, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for VIG, currently valued at 5.47, compared to the broader market0.005.0010.0015.0020.005.47
Martin ratio
The chart of Martin ratio for VIG, currently valued at 20.34, compared to the broader market0.0020.0040.0060.0080.00100.0020.34

PEYAX vs. VIG - Sharpe Ratio Comparison

The current PEYAX Sharpe Ratio is 2.95, which is comparable to the VIG Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of PEYAX and VIG, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.95
3.08
PEYAX
VIG

Dividends

PEYAX vs. VIG - Dividend Comparison

PEYAX's dividend yield for the trailing twelve months is around 1.19%, less than VIG's 1.68% yield.


TTM20232022202120202019201820172016201520142013
PEYAX
Putnam Large Cap Value Fund
1.19%1.43%1.88%1.16%1.50%1.35%1.85%1.55%1.42%1.46%9.72%9.82%
VIG
Vanguard Dividend Appreciation ETF
1.68%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%

Drawdowns

PEYAX vs. VIG - Drawdown Comparison

The maximum PEYAX drawdown since its inception was -50.96%, which is greater than VIG's maximum drawdown of -46.81%. Use the drawdown chart below to compare losses from any high point for PEYAX and VIG. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
PEYAX
VIG

Volatility

PEYAX vs. VIG - Volatility Comparison

Putnam Large Cap Value Fund (PEYAX) and Vanguard Dividend Appreciation ETF (VIG) have volatilities of 3.47% and 3.64%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.47%
3.64%
PEYAX
VIG