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

Key characteristics


VAWXLB
YTD Return10.41%11.84%
1Y Return23.40%23.36%
3Y Return (Ann)7.30%7.39%
5Y Return (Ann)13.23%13.24%
10Y Return (Ann)9.51%9.61%
Sharpe Ratio1.561.66
Sortino Ratio2.162.28
Omega Ratio1.271.29
Calmar Ratio1.471.57
Martin Ratio7.708.33
Ulcer Index3.06%2.82%
Daily Std Dev15.12%14.20%
Max Drawdown-62.17%-59.83%
Current Drawdown-2.61%-2.72%

Correlation

-0.50.00.51.01.0

The correlation between VAW and XLB is 0.98, 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. XLB - Performance Comparison

In the year-to-date period, VAW achieves a 10.41% return, which is significantly lower than XLB's 11.84% return. Both investments have delivered pretty close results over the past 10 years, with VAW having a 9.51% annualized return and XLB not far ahead at 9.61%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


440.00%460.00%480.00%500.00%520.00%540.00%MayJuneJulyAugustSeptemberOctober
524.33%
482.61%
VAW
XLB

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VAW vs. XLB - Expense Ratio Comparison

VAW has a 0.10% expense ratio, which is lower than XLB's 0.13% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XLB
Materials Select Sector SPDR ETF
Expense ratio chart for XLB: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
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%

Risk-Adjusted Performance

VAW vs. XLB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials ETF (VAW) and Materials Select Sector SPDR ETF (XLB). 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
XLB
Sharpe ratio
The chart of Sharpe ratio for XLB, currently valued at 1.66, compared to the broader market0.002.004.001.66
Sortino ratio
The chart of Sortino ratio for XLB, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.0012.002.28
Omega ratio
The chart of Omega ratio for XLB, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for XLB, currently valued at 1.57, compared to the broader market0.005.0010.0015.001.57
Martin ratio
The chart of Martin ratio for XLB, currently valued at 8.33, compared to the broader market0.0020.0040.0060.0080.00100.008.33

VAW vs. XLB - Sharpe Ratio Comparison

The current VAW Sharpe Ratio is 1.56, which roughly equals the XLB Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of VAW and XLB, 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 Ratio0.501.001.502.00MayJuneJulyAugustSeptemberOctober
1.56
1.66
VAW
XLB

Dividends

VAW vs. XLB - Dividend Comparison

VAW's dividend yield for the trailing twelve months is around 1.56%, less than XLB's 1.86% 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%
XLB
Materials Select Sector SPDR ETF
1.86%2.00%2.26%1.62%1.72%1.98%2.20%1.66%1.95%2.24%1.97%2.08%

Drawdowns

VAW vs. XLB - Drawdown Comparison

The maximum VAW drawdown since its inception was -62.17%, roughly equal to the maximum XLB drawdown of -59.83%. Use the drawdown chart below to compare losses from any high point for VAW and XLB. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.61%
-2.72%
VAW
XLB

Volatility

VAW vs. XLB - Volatility Comparison

Vanguard Materials ETF (VAW) and Materials Select Sector SPDR ETF (XLB) have volatilities of 3.94% and 3.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
3.94%
3.86%
VAW
XLB