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VAW vs. VDE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VAWVDE
YTD Return10.41%11.08%
1Y Return23.40%5.71%
3Y Return (Ann)7.30%21.25%
5Y Return (Ann)13.23%15.84%
10Y Return (Ann)9.51%4.26%
Sharpe Ratio1.560.51
Sortino Ratio2.160.82
Omega Ratio1.271.10
Calmar Ratio1.470.70
Martin Ratio7.701.34
Ulcer Index3.06%7.09%
Daily Std Dev15.12%18.58%
Max Drawdown-62.17%-74.16%
Current Drawdown-2.61%-5.40%

Correlation

-0.50.00.51.00.7

The correlation between VAW and VDE is 0.70, 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.

Performance

VAW vs. VDE - Performance Comparison

In the year-to-date period, VAW achieves a 10.41% return, which is significantly lower than VDE's 11.08% return. Over the past 10 years, VAW has outperformed VDE with an annualized return of 9.51%, while VDE has yielded a comparatively lower 4.26% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


300.00%350.00%400.00%450.00%500.00%MayJuneJulyAugustSeptemberOctober
470.02%
317.07%
VAW
VDE

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VAW vs. VDE - Expense Ratio Comparison

Both VAW and VDE have an expense ratio of 0.10%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VAW
Vanguard Materials ETF
Expense ratio chart for VAW: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VDE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

VAW vs. VDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials ETF (VAW) and Vanguard Energy ETF (VDE). 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.


VAW
Sharpe ratio
The chart of Sharpe ratio for VAW, currently valued at 1.56, compared to the broader market0.002.004.001.56
Sortino ratio
The chart of Sortino ratio for VAW, currently valued at 2.16, compared to the broader market-2.000.002.004.006.008.0010.0012.002.16
Omega ratio
The chart of Omega ratio for VAW, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for VAW, currently valued at 1.47, compared to the broader market0.005.0010.0015.001.47
Martin ratio
The chart of Martin ratio for VAW, currently valued at 7.70, compared to the broader market0.0020.0040.0060.0080.00100.007.70
VDE
Sharpe ratio
The chart of Sharpe ratio for VDE, currently valued at 0.51, compared to the broader market0.002.004.000.51
Sortino ratio
The chart of Sortino ratio for VDE, currently valued at 0.82, compared to the broader market-2.000.002.004.006.008.0010.0012.000.82
Omega ratio
The chart of Omega ratio for VDE, currently valued at 1.10, compared to the broader market1.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for VDE, currently valued at 0.70, compared to the broader market0.005.0010.0015.000.70
Martin ratio
The chart of Martin ratio for VDE, currently valued at 1.34, compared to the broader market0.0020.0040.0060.0080.00100.001.34

VAW vs. VDE - Sharpe Ratio Comparison

The current VAW Sharpe Ratio is 1.56, which is higher than the VDE Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of VAW and VDE, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50MayJuneJulyAugustSeptemberOctober
1.56
0.51
VAW
VDE

Dividends

VAW vs. VDE - Dividend Comparison

VAW's dividend yield for the trailing twelve months is around 1.56%, less than VDE's 3.16% yield.


TTM20232022202120202019201820172016201520142013
VAW
Vanguard Materials ETF
1.56%1.72%1.98%1.44%1.67%1.94%2.03%1.63%1.67%2.30%1.76%1.84%
VDE
Vanguard Energy ETF
3.16%3.34%3.65%4.13%4.76%3.59%3.35%2.90%2.31%3.17%1.98%1.74%

Drawdowns

VAW vs. VDE - Drawdown Comparison

The maximum VAW drawdown since its inception was -62.17%, smaller than the maximum VDE drawdown of -74.16%. Use the drawdown chart below to compare losses from any high point for VAW and VDE. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.61%
-5.40%
VAW
VDE

Volatility

VAW vs. VDE - Volatility Comparison

The current volatility for Vanguard Materials ETF (VAW) is 3.94%, while Vanguard Energy ETF (VDE) has a volatility of 6.49%. This indicates that VAW experiences smaller price fluctuations and is considered to be less risky than VDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
3.94%
6.49%
VAW
VDE