PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VEMPX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VEMPXSPY
YTD Return22.24%26.77%
1Y Return44.46%37.43%
3Y Return (Ann)1.44%10.15%
5Y Return (Ann)11.95%15.86%
10Y Return (Ann)10.18%13.33%
Sharpe Ratio2.423.06
Sortino Ratio3.324.08
Omega Ratio1.421.58
Calmar Ratio1.574.44
Martin Ratio14.0720.11
Ulcer Index3.16%1.85%
Daily Std Dev18.34%12.18%
Max Drawdown-41.62%-55.19%
Current Drawdown-1.06%-0.31%

Correlation

-0.50.00.51.00.9

The correlation between VEMPX and SPY is 0.88, 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

VEMPX vs. SPY - Performance Comparison

In the year-to-date period, VEMPX achieves a 22.24% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, VEMPX has underperformed SPY with an annualized return of 10.18%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.84%
13.38%
VEMPX
SPY

Compare stocks, funds, or ETFs

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


VEMPX vs. SPY - Expense Ratio Comparison

VEMPX has a 0.04% expense ratio, which is lower than SPY's 0.09% 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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for VEMPX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VEMPX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Extended Market Index Fund Institutional Plus Shares (VEMPX) and SPDR S&P 500 ETF (SPY). 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.


VEMPX
Sharpe ratio
The chart of Sharpe ratio for VEMPX, currently valued at 2.42, compared to the broader market0.002.004.002.42
Sortino ratio
The chart of Sortino ratio for VEMPX, currently valued at 3.32, compared to the broader market0.005.0010.003.32
Omega ratio
The chart of Omega ratio for VEMPX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for VEMPX, currently valued at 1.57, compared to the broader market0.005.0010.0015.0020.001.57
Martin ratio
The chart of Martin ratio for VEMPX, currently valued at 14.07, compared to the broader market0.0020.0040.0060.0080.00100.0014.07
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.0020.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.0020.11

VEMPX vs. SPY - Sharpe Ratio Comparison

The current VEMPX Sharpe Ratio is 2.42, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of VEMPX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.42
3.06
VEMPX
SPY

Dividends

VEMPX vs. SPY - Dividend Comparison

VEMPX's dividend yield for the trailing twelve months is around 1.11%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
VEMPX
Vanguard Extended Market Index Fund Institutional Plus Shares
1.11%1.28%1.17%1.15%1.09%1.32%1.68%1.27%1.46%1.39%1.36%1.17%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VEMPX vs. SPY - Drawdown Comparison

The maximum VEMPX drawdown since its inception was -41.62%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VEMPX and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.06%
-0.31%
VEMPX
SPY

Volatility

VEMPX vs. SPY - Volatility Comparison

Vanguard Extended Market Index Fund Institutional Plus Shares (VEMPX) has a higher volatility of 5.95% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that VEMPX's price experiences larger fluctuations and is considered to be riskier than SPY 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%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.95%
3.88%
VEMPX
SPY