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

Key characteristics


VAWVOO
YTD Return10.41%21.81%
1Y Return23.40%34.51%
3Y Return (Ann)7.30%11.13%
5Y Return (Ann)13.23%16.25%
10Y Return (Ann)9.51%13.74%
Sharpe Ratio1.562.84
Sortino Ratio2.163.79
Omega Ratio1.271.52
Calmar Ratio1.473.05
Martin Ratio7.7017.65
Ulcer Index3.06%2.01%
Daily Std Dev15.12%12.46%
Max Drawdown-62.17%-33.99%
Current Drawdown-2.61%-0.16%

Correlation

-0.50.00.51.00.8

The correlation between VAW and VOO is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VAW vs. VOO - Performance Comparison

In the year-to-date period, VAW achieves a 10.41% return, which is significantly lower than VOO's 21.81% return. Over the past 10 years, VAW has underperformed VOO with an annualized return of 9.51%, while VOO has yielded a comparatively higher 13.74% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


250.00%300.00%350.00%400.00%450.00%500.00%550.00%600.00%MayJuneJulyAugustSeptemberOctober
300.07%
579.47%
VAW
VOO

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VAW vs. VOO - Expense Ratio Comparison

VAW has a 0.10% expense ratio, which is higher than VOO's 0.03% 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%.


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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VAW vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials ETF (VAW) and Vanguard S&P 500 ETF (VOO). 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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.79, compared to the broader market-2.000.002.004.006.008.0010.0012.003.79
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 3.05, compared to the broader market0.005.0010.0015.003.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 17.65, compared to the broader market0.0020.0040.0060.0080.00100.0017.65

VAW vs. VOO - Sharpe Ratio Comparison

The current VAW Sharpe Ratio is 1.56, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of VAW and VOO, 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 Ratio0.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.56
2.84
VAW
VOO

Dividends

VAW vs. VOO - Dividend Comparison

VAW's dividend yield for the trailing twelve months is around 1.56%, more than VOO's 1.28% 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%
VOO
Vanguard S&P 500 ETF
1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

VAW vs. VOO - Drawdown Comparison

The maximum VAW drawdown since its inception was -62.17%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VAW and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.61%
-0.16%
VAW
VOO

Volatility

VAW vs. VOO - Volatility Comparison

Vanguard Materials ETF (VAW) has a higher volatility of 3.94% compared to Vanguard S&P 500 ETF (VOO) at 2.93%. This indicates that VAW's price experiences larger fluctuations and is considered to be riskier than VOO 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%MayJuneJulyAugustSeptemberOctober
3.94%
2.93%
VAW
VOO