RY vs. VYM
Compare and contrast key facts about Royal Bank of Canada (RY) and Vanguard High Dividend Yield ETF (VYM).
VYM is a passively managed fund by Vanguard that tracks the performance of the FTSE High Dividend Yield Index. It was launched on Nov 10, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RY or VYM.
Performance
RY vs. VYM - Performance Comparison
Returns By Period
In the year-to-date period, RY achieves a 28.50% return, which is significantly higher than VYM's 21.19% return. Both investments have delivered pretty close results over the past 10 years, with RY having a 9.80% annualized return and VYM not far ahead at 10.00%.
RY
28.50%
0.83%
21.70%
49.56%
13.24%
9.80%
VYM
21.19%
1.79%
13.08%
29.30%
11.22%
10.00%
Key characteristics
| RY | VYM | |
|---|---|---|
| Sharpe Ratio | 3.07 | 2.81 |
| Sortino Ratio | 4.45 | 3.99 |
| Omega Ratio | 1.54 | 1.51 |
| Calmar Ratio | 2.30 | 5.74 |
| Martin Ratio | 20.94 | 18.14 |
| Ulcer Index | 2.32% | 1.64% |
| Daily Std Dev | 15.84% | 10.61% |
| Max Drawdown | -63.03% | -56.98% |
| Current Drawdown | -0.27% | -0.23% |
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Correlation
The correlation between RY and VYM is 0.66, 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.
Risk-Adjusted Performance
RY vs. VYM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Royal Bank of Canada (RY) and Vanguard High Dividend Yield ETF (VYM). 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
RY vs. VYM - Dividend Comparison
RY's dividend yield for the trailing twelve months is around 3.27%, more than VYM's 2.74% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RY Royal Bank of Canada | 3.27% | 3.93% | 4.12% | 3.28% | 3.86% | 3.88% | 4.29% | 3.28% | 3.59% | 4.54% | 3.73% | 3.69% |
VYM Vanguard High Dividend Yield ETF | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% | 2.78% | 2.81% |
Drawdowns
RY vs. VYM - Drawdown Comparison
The maximum RY drawdown since its inception was -63.03%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for RY and VYM. For additional features, visit the drawdowns tool.
Volatility
RY vs. VYM - Volatility Comparison
Royal Bank of Canada (RY) has a higher volatility of 4.80% compared to Vanguard High Dividend Yield ETF (VYM) at 3.90%. This indicates that RY's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.