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THYF vs. VYMI
Performance
Return for Risk
Dividends
Drawdowns
Volatility

Performance

THYF vs. VYMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price U.S. High Yield ETF (THYF) and Vanguard International High Dividend Yield ETF (VYMI). The values are adjusted to include any dividend payments, if applicable.

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THYF vs. VYMI - Yearly Performance Comparison


2026 (YTD)2025202420232022
THYF
T. Rowe Price U.S. High Yield ETF
-0.37%7.77%8.51%11.32%1.53%
VYMI
Vanguard International High Dividend Yield ETF
6.37%38.05%7.06%17.07%9.22%

Returns By Period

In the year-to-date period, THYF achieves a -0.37% return, which is significantly lower than VYMI's 6.37% return.


THYF

1D
0.41%
1M
-0.76%
YTD
-0.37%
6M
0.94%
1Y
6.47%
3Y*
7.93%
5Y*
10Y*

VYMI

1D
0.82%
1M
-3.79%
YTD
6.37%
6M
13.78%
1Y
33.76%
3Y*
20.74%
5Y*
12.62%
10Y*
10.30%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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THYF vs. VYMI - Expense Ratio Comparison

THYF has a 0.56% expense ratio, which is higher than VYMI's 0.07% expense ratio.


Return for Risk

THYF vs. VYMI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

THYF
THYF Risk / Return Rank: 6767
Overall Rank
THYF Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
THYF Sortino Ratio Rank: 6565
Sortino Ratio Rank
THYF Omega Ratio Rank: 7373
Omega Ratio Rank
THYF Calmar Ratio Rank: 6464
Calmar Ratio Rank
THYF Martin Ratio Rank: 7171
Martin Ratio Rank

VYMI
VYMI Risk / Return Rank: 9292
Overall Rank
VYMI Sharpe Ratio Rank: 9292
Sharpe Ratio Rank
VYMI Sortino Ratio Rank: 9292
Sortino Ratio Rank
VYMI Omega Ratio Rank: 9494
Omega Ratio Rank
VYMI Calmar Ratio Rank: 9090
Calmar Ratio Rank
VYMI Martin Ratio Rank: 9191
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

THYF vs. VYMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price U.S. High Yield ETF (THYF) and Vanguard International High Dividend Yield ETF (VYMI). 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.


THYFVYMIDifference

Sharpe ratio

Return per unit of total volatility

1.18

2.13

-0.95

Sortino ratio

Return per unit of downside risk

1.72

2.82

-1.10

Omega ratio

Gain probability vs. loss probability

1.28

1.44

-0.16

Calmar ratio

Return relative to maximum drawdown

1.73

3.09

-1.35

Martin ratio

Return relative to average drawdown

7.85

12.68

-4.83

THYF vs. VYMI - Sharpe Ratio Comparison

The current THYF Sharpe Ratio is 1.18, which is lower than the VYMI Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of THYF and VYMI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


THYFVYMIDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.18

2.13

-0.95

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.86

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.61

Sharpe Ratio (All Time)

Calculated using the full available price history

1.43

0.63

+0.80

Correlation

The correlation between THYF and VYMI is 0.58, 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.


Dividends

THYF vs. VYMI - Dividend Comparison

THYF's dividend yield for the trailing twelve months is around 7.19%, more than VYMI's 3.60% yield.


TTM2025202420232022202120202019201820172016
THYF
T. Rowe Price U.S. High Yield ETF
7.19%7.17%7.30%8.02%1.50%0.00%0.00%0.00%0.00%0.00%0.00%
VYMI
Vanguard International High Dividend Yield ETF
3.60%3.68%4.84%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%

Drawdowns

THYF vs. VYMI - Drawdown Comparison

The maximum THYF drawdown since its inception was -5.24%, smaller than the maximum VYMI drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for THYF and VYMI.


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Drawdown Indicators


THYFVYMIDifference

Max Drawdown

Largest peak-to-trough decline

-5.24%

-40.00%

+34.76%

Max Drawdown (1Y)

Largest decline over 1 year

-3.85%

-11.08%

+7.23%

Max Drawdown (5Y)

Largest decline over 5 years

-24.05%

Max Drawdown (10Y)

Largest decline over 10 years

-40.00%

Current Drawdown

Current decline from peak

-1.36%

-5.77%

+4.41%

Average Drawdown

Average peak-to-trough decline

-0.84%

-6.39%

+5.55%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.89%

2.70%

-1.81%

Volatility

THYF vs. VYMI - Volatility Comparison

The current volatility for T. Rowe Price U.S. High Yield ETF (THYF) is 1.89%, while Vanguard International High Dividend Yield ETF (VYMI) has a volatility of 6.40%. This indicates that THYF experiences smaller price fluctuations and is considered to be less risky than VYMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


THYFVYMIDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.89%

6.40%

-4.51%

Volatility (6M)

Calculated over the trailing 6-month period

2.62%

9.90%

-7.28%

Volatility (1Y)

Calculated over the trailing 1-year period

5.51%

15.90%

-10.39%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

5.90%

14.75%

-8.85%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

5.90%

16.89%

-10.99%