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

Key characteristics


VAWXME
YTD Return11.34%6.00%
1Y Return23.08%22.09%
3Y Return (Ann)7.59%15.53%
5Y Return (Ann)13.00%20.81%
10Y Return (Ann)9.60%8.64%
Sharpe Ratio1.610.94
Sortino Ratio2.231.38
Omega Ratio1.281.17
Calmar Ratio1.520.66
Martin Ratio7.983.58
Ulcer Index3.06%6.61%
Daily Std Dev15.13%25.07%
Max Drawdown-62.17%-85.94%
Current Drawdown-1.80%-16.10%

Correlation

-0.50.00.51.00.8

The correlation between VAW and XME is 0.82, 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. XME - Performance Comparison

In the year-to-date period, VAW achieves a 11.34% return, which is significantly higher than XME's 6.00% return. Over the past 10 years, VAW has outperformed XME with an annualized return of 9.60%, while XME has yielded a comparatively lower 8.64% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%MayJuneJulyAugustSeptemberOctober
4.67%
1.76%
VAW
XME

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VAW vs. XME - Expense Ratio Comparison

VAW has a 0.10% expense ratio, which is lower than XME's 0.35% expense ratio.


XME
SPDR S&P Metals & Mining ETF
Expense ratio chart for XME: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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. XME - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials ETF (VAW) and SPDR S&P Metals & Mining ETF (XME). 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 1.61, compared to the broader market0.002.004.001.61
Sortino ratio
The chart of Sortino ratio for VAW, currently valued at 2.23, compared to the broader market-2.000.002.004.006.008.0010.0012.002.23
Omega ratio
The chart of Omega ratio for VAW, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for VAW, currently valued at 1.52, compared to the broader market0.005.0010.0015.001.52
Martin ratio
The chart of Martin ratio for VAW, currently valued at 7.98, compared to the broader market0.0020.0040.0060.0080.00100.007.98
XME
Sharpe ratio
The chart of Sharpe ratio for XME, currently valued at 0.94, compared to the broader market0.002.004.000.94
Sortino ratio
The chart of Sortino ratio for XME, currently valued at 1.38, compared to the broader market-2.000.002.004.006.008.0010.0012.001.38
Omega ratio
The chart of Omega ratio for XME, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for XME, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.66
Martin ratio
The chart of Martin ratio for XME, currently valued at 3.58, compared to the broader market0.0020.0040.0060.0080.00100.003.58

VAW vs. XME - Sharpe Ratio Comparison

The current VAW Sharpe Ratio is 1.61, which is higher than the XME Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of VAW and XME, 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 Ratio0.000.501.001.502.00MayJuneJulyAugustSeptemberOctober
1.61
0.94
VAW
XME

Dividends

VAW vs. XME - Dividend Comparison

VAW's dividend yield for the trailing twelve months is around 1.54%, more than XME's 0.64% yield.


TTM20232022202120202019201820172016201520142013
VAW
Vanguard Materials ETF
1.54%1.72%1.98%1.44%1.67%1.94%2.03%1.63%1.67%2.30%1.76%1.84%
XME
SPDR S&P Metals & Mining ETF
0.64%1.00%1.64%0.70%0.99%2.43%2.23%1.15%1.02%2.61%2.21%1.32%

Drawdowns

VAW vs. XME - Drawdown Comparison

The maximum VAW drawdown since its inception was -62.17%, smaller than the maximum XME drawdown of -85.94%. Use the drawdown chart below to compare losses from any high point for VAW and XME. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.80%
-16.10%
VAW
XME

Volatility

VAW vs. XME - Volatility Comparison

The current volatility for Vanguard Materials ETF (VAW) is 3.98%, while SPDR S&P Metals & Mining ETF (XME) has a volatility of 7.31%. This indicates that VAW experiences smaller price fluctuations and is considered to be less risky than XME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
3.98%
7.31%
VAW
XME