VBR vs. ECML

Last updated Aug 2, 2026

VBR (Vanguard Small-Cap Value ETF) and ECML (Euclidean Fundamental Value ETF) are both Small Cap Value Equities funds. VBR is passively managed, while ECML is actively managed. Over the past 3 years, VBR returned 14.39%/yr vs 12.03%/yr for ECML. Their correlation of 0.89 means they have usually moved in the same direction. VBR charges 0.05%/yr vs 0.95%/yr for ECML.

Performance

VBR vs. ECML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Small-Cap Value ETF (VBR) and Euclidean Fundamental Value ETF (ECML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VBR achieves a 16.70% return, which is significantly lower than ECML's 19.84% return.

VBR

• 1D: -0.20%
• 1M: 0.58%
• 6M: 10.78%
• YTD: 16.70%
• 1Y: 27.67%
• 3Y*: 14.39%
• 5Y*: 9.74%
• 10Y*: 10.75%
• ALL TIME*: 9.66%

ECML

• 1D: -0.08%
• 1M: 2.28%
• 6M: 13.37%
• YTD: 19.84%
• 1Y: 32.00%
• 3Y*: 12.03%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 16.95%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ECML Euclidean Fundamental Value ETF	$548.16K	$300.59K	$261.72K
VBR Vanguard Small-Cap Value ETF	$56.96M	$55.85M	$67.93M

VBR vs. ECML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
VBR Vanguard Small-Cap Value ETF	16.70%	9.09%	12.40%	18.19%
ECML Euclidean Fundamental Value ETF	19.84%	6.82%	2.37%	26.00%

Correlation

The correlation between VBR and ECML is 0.86, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.86
Correlation (3Y) Balances recent behavior with more history.	0.89
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.89

The correlation between VBR and ECML has been stable across timeframes, ranging from 0.86 to 0.89 - a consistent structural relationship.

VBR vs. ECML - Sectors Allocation Comparison

Sectors	VBR	ECML
Financial Services	17.5%	-
Industrials	17.3%	13.0%
Consumer Cyclical	13.6%	24.6%
Real Estate	11.1%	-
Technology	10.9%	7.6%
Healthcare	8.4%	14.4%
Basic Materials	5.3%	11.6%
Utilities	4.9%	1.4%
Energy	4.3%	13.2%
Consumer Defensive	4.2%	12.3%
Communication Services	2.4%	3.3%

Return for Risk

VBR vs. ECML — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

VBR

VBR Risk / Return Rank: 79
VBR Sharpe Ratio Rank: 77
VBR Sortino Ratio Rank: 80
VBR Omega Ratio Rank: 75
VBR Calmar Ratio Rank: 81
VBR Martin Ratio Rank: 82

ECML

ECML Risk / Return Rank: 90
ECML Sharpe Ratio Rank: 90
ECML Sortino Ratio Rank: 92
ECML Omega Ratio Rank: 86
ECML Calmar Ratio Rank: 93
ECML Martin Ratio Rank: 88

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

VBR vs. ECML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap Value ETF (VBR) and Euclidean Fundamental Value ETF (ECML). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	VBR	ECML	Difference
Sharpe ratio: Return per unit of total volatility	1.75	2.23	-0.48
Sortino ratio: Return per unit of downside risk	2.58	3.40	-0.82
Omega ratio: Gain probability vs. loss probability	1.31	1.38	-0.08
Calmar ratio: Return relative to maximum drawdown	2.93	4.46	-1.53
Martin ratio: Return relative to average drawdown	10.70	13.07	-2.37

VBR vs. ECML - Sharpe Ratio Comparison

The current VBR Sharpe Ratio is 1.75, which is comparable to the ECML Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of VBR and ECML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

VBR vs. ECML - Drawdown Comparison

The maximum VBR drawdown since its inception was -61.98%, which is greater than ECML's maximum drawdown of -24.66%. Use the drawdown chart below to compare losses from any high point for VBR and ECML.

Drawdown Indicators

	VBR	ECML	Difference
Max Drawdown Largest peak-to-trough decline	-61.98%	-24.66%	-37.32%
Max Drawdown (1Y) Largest decline over 1 year	-8.85%	-7.01%	-1.84%
Max Drawdown (3Y) Largest decline over 3 years	-24.19%	-24.66%	+0.47%
Max Drawdown (5Y) Largest decline over 5 years	-24.19%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-45.28%	—	—
Current Drawdown Current decline from peak	-1.40%	-1.11%	-0.29%
Average Drawdown Average peak-to-trough decline	-8.21%	-5.62%	-2.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.42%	2.39%	+0.03%

Volatility

VBR vs. ECML - Volatility Comparison

Vanguard Small-Cap Value ETF (VBR) and Euclidean Fundamental Value ETF (ECML) have volatilities of 3.36% and 3.32%, 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.

Volatility by Period

	VBR	ECML	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.36%	3.32%	+0.04%
Volatility (6M) Calculated over the trailing 6-month period	10.22%	9.21%	+1.01%
Volatility (1Y) Calculated over the trailing 1-year period	14.90%	14.05%	+0.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.56%	18.12%	+1.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.66%	18.12%	+3.54%

VBR vs. ECML - Expense Ratio Comparison

VBR has a 0.05% expense ratio, which is lower than ECML's 0.95% expense ratio.

Dividends

VBR vs. ECML - Dividend Comparison

VBR's dividend yield for the trailing twelve months is around 1.77%, more than ECML's 1.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ECML Euclidean Fundamental Value ETF	1.15%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VBR Vanguard Small-Cap Value ETF	1.77%	1.95%	1.98%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%

Frequently Asked Questions

Can I hold both VBR and ECML in my portfolio?

VBR and ECML have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VBR or ECML?

VBR has higher volatility (3.36%) compared to ECML (3.32%). In terms of maximum drawdown, VBR dropped -61.98% vs ECML's -24.66%.

Which ETF is better, VBR or ECML?

On 3-year performance, VBR leads with 14.39% vs 12.03% for ECML. On fees, VBR is cheaper at 0.05% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VBR or ECML?

Over the 3-year period, VBR has performed better with a 14.39% return vs 12.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VBR or ECML?

VBR is cheaper with a 0.05% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, VBR or ECML?

VBR has the higher dividend yield at 1.77%, compared with 1.15% for ECML.

What is the main difference between VBR and ECML?

They also come from different issuers: Vanguard and Euclidean. Their fees differ too: 0.05% for VBR and 0.95% for ECML.

Which has better risk-adjusted returns?

ECML currently has the higher Sharpe Ratio (2.23 vs 1.75), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.