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RY vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.7

Performance

RY vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royal Bank of Canada (RY) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
422.79%
342.28%
RY
VYM

Key characteristics

Sharpe Ratio

RY:

1.73

VYM:

1.80

Sortino Ratio

RY:

2.54

VYM:

2.54

Omega Ratio

RY:

1.31

VYM:

1.33

Calmar Ratio

RY:

2.11

VYM:

3.24

Martin Ratio

RY:

10.89

VYM:

10.75

Ulcer Index

RY:

2.45%

VYM:

1.80%

Daily Std Dev

RY:

15.46%

VYM:

10.78%

Max Drawdown

RY:

-63.03%

VYM:

-56.98%

Current Drawdown

RY:

-5.70%

VYM:

-4.93%

Returns By Period

In the year-to-date period, RY achieves a 24.00% return, which is significantly higher than VYM's 17.16% return. Both investments have delivered pretty close results over the past 10 years, with RY having a 10.05% annualized return and VYM not far behind at 9.60%.


RY

YTD

24.00%

1M

-0.88%

6M

18.56%

1Y

25.18%

5Y*

13.25%

10Y*

10.05%

VYM

YTD

17.16%

1M

-3.32%

6M

8.47%

1Y

17.88%

5Y*

9.71%

10Y*

9.60%

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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.


Sharpe ratio
The chart of Sharpe ratio for RY, currently valued at 1.73, compared to the broader market-4.00-2.000.002.001.731.80
The chart of Sortino ratio for RY, currently valued at 2.54, compared to the broader market-4.00-2.000.002.004.002.542.54
The chart of Omega ratio for RY, currently valued at 1.31, compared to the broader market0.501.001.502.001.311.33
The chart of Calmar ratio for RY, currently valued at 2.11, compared to the broader market0.002.004.006.002.113.24
The chart of Martin ratio for RY, currently valued at 10.89, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.8910.75
RY
VYM

The current RY Sharpe Ratio is 1.73, which is comparable to the VYM Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of RY and VYM, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.73
1.80
RY
VYM

Dividends

RY vs. VYM - Dividend Comparison

RY's dividend yield for the trailing twelve months is around 3.39%, more than VYM's 2.75% yield.


TTM20232022202120202019201820172016201520142013
RY
Royal Bank of Canada
3.39%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
2.75%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.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.70%
-4.93%
RY
VYM

Volatility

RY vs. VYM - Volatility Comparison

Royal Bank of Canada (RY) has a higher volatility of 5.43% compared to Vanguard High Dividend Yield ETF (VYM) at 3.96%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.43%
3.96%
RY
VYM
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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.

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