PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PY vs. VTV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PY and VTV is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

PY vs. VTV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Principal Value ETF (PY) and Vanguard Value ETF (VTV). The values are adjusted to include any dividend payments, if applicable.

130.00%140.00%150.00%160.00%170.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
150.84%
157.73%
PY
VTV

Key characteristics

Sharpe Ratio

PY:

1.60

VTV:

1.77

Sortino Ratio

PY:

2.26

VTV:

2.51

Omega Ratio

PY:

1.29

VTV:

1.32

Calmar Ratio

PY:

2.97

VTV:

2.46

Martin Ratio

PY:

8.98

VTV:

9.75

Ulcer Index

PY:

2.09%

VTV:

1.88%

Daily Std Dev

PY:

11.70%

VTV:

10.36%

Max Drawdown

PY:

-45.44%

VTV:

-59.27%

Current Drawdown

PY:

-4.98%

VTV:

-6.37%

Returns By Period

In the year-to-date period, PY achieves a 17.03% return, which is significantly higher than VTV's 15.96% return.


PY

YTD

17.03%

1M

-2.15%

6M

9.57%

1Y

17.78%

5Y*

11.28%

10Y*

N/A

VTV

YTD

15.96%

1M

-4.74%

6M

6.38%

1Y

16.73%

5Y*

9.98%

10Y*

9.89%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PY vs. VTV - Expense Ratio Comparison

PY has a 0.15% expense ratio, which is higher than VTV's 0.04% 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%.


PY
Principal Value ETF
Expense ratio chart for PY: 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 VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

PY vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Principal Value ETF (PY) and Vanguard Value ETF (VTV). 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 PY, currently valued at 1.60, compared to the broader market0.002.004.001.601.77
The chart of Sortino ratio for PY, currently valued at 2.26, compared to the broader market-2.000.002.004.006.008.0010.002.262.51
The chart of Omega ratio for PY, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.32
The chart of Calmar ratio for PY, currently valued at 2.97, compared to the broader market0.005.0010.0015.002.972.46
The chart of Martin ratio for PY, currently valued at 8.98, compared to the broader market0.0020.0040.0060.0080.00100.008.989.75
PY
VTV

The current PY Sharpe Ratio is 1.60, which is comparable to the VTV Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of PY and VTV, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.60
1.77
PY
VTV

Dividends

PY vs. VTV - Dividend Comparison

PY's dividend yield for the trailing twelve months is around 2.20%, more than VTV's 1.72% yield.


TTM20232022202120202019201820172016201520142013
PY
Principal Value ETF
2.20%2.68%3.02%2.83%2.95%2.29%2.35%1.69%1.95%0.00%0.00%0.00%
VTV
Vanguard Value ETF
1.72%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

PY vs. VTV - Drawdown Comparison

The maximum PY drawdown since its inception was -45.44%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for PY and VTV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.98%
-6.37%
PY
VTV

Volatility

PY vs. VTV - Volatility Comparison

Principal Value ETF (PY) has a higher volatility of 3.87% compared to Vanguard Value ETF (VTV) at 3.63%. This indicates that PY's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.87%
3.63%
PY
VTV
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab