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VFH vs. KBWB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VFH vs. KBWB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Financials ETF (VFH) and Invesco KBW Bank ETF (KBWB). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
23.99%
32.07%
VFH
KBWB

Returns By Period

In the year-to-date period, VFH achieves a 35.42% return, which is significantly lower than KBWB's 44.70% return. Over the past 10 years, VFH has outperformed KBWB with an annualized return of 12.02%, while KBWB has yielded a comparatively lower 8.97% annualized return.


VFH

YTD

35.42%

1M

7.44%

6M

23.99%

1Y

47.35%

5Y (annualized)

13.20%

10Y (annualized)

12.02%

KBWB

YTD

44.70%

1M

11.89%

6M

32.07%

1Y

69.36%

5Y (annualized)

7.52%

10Y (annualized)

8.97%

Key characteristics


VFHKBWB
Sharpe Ratio3.263.09
Sortino Ratio4.614.38
Omega Ratio1.601.55
Calmar Ratio3.791.71
Martin Ratio23.3722.74
Ulcer Index2.05%3.07%
Daily Std Dev14.72%22.57%
Max Drawdown-78.61%-50.27%
Current Drawdown0.00%0.00%

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VFH vs. KBWB - Expense Ratio Comparison

VFH has a 0.10% expense ratio, which is lower than KBWB's 0.35% expense ratio.


KBWB
Invesco KBW Bank ETF
Expense ratio chart for KBWB: 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 VFH: 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%

Correlation

-0.50.00.51.00.9

The correlation between VFH and KBWB is 0.94, 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.

Risk-Adjusted Performance

VFH vs. KBWB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Financials ETF (VFH) and Invesco KBW Bank ETF (KBWB). 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.


Sharpe ratio
The chart of Sharpe ratio for VFH, currently valued at 3.26, compared to the broader market0.002.004.003.263.09
The chart of Sortino ratio for VFH, currently valued at 4.61, compared to the broader market-2.000.002.004.006.008.0010.0012.004.614.38
The chart of Omega ratio for VFH, currently valued at 1.60, compared to the broader market0.501.001.502.002.503.001.601.55
The chart of Calmar ratio for VFH, currently valued at 3.79, compared to the broader market0.005.0010.0015.003.791.71
The chart of Martin ratio for VFH, currently valued at 23.37, compared to the broader market0.0020.0040.0060.0080.00100.0023.3722.74
VFH
KBWB

The current VFH Sharpe Ratio is 3.26, which is comparable to the KBWB Sharpe Ratio of 3.09. The chart below compares the historical Sharpe Ratios of VFH and KBWB, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
3.26
3.09
VFH
KBWB

Dividends

VFH vs. KBWB - Dividend Comparison

VFH's dividend yield for the trailing twelve months is around 1.59%, less than KBWB's 2.35% yield.


TTM20232022202120202019201820172016201520142013
VFH
Vanguard Financials ETF
1.59%2.08%2.31%1.87%2.21%2.17%2.30%1.53%1.63%2.00%1.85%1.82%
KBWB
Invesco KBW Bank ETF
2.35%3.20%3.05%2.13%2.63%2.38%2.54%1.35%1.53%1.53%1.52%1.43%

Drawdowns

VFH vs. KBWB - Drawdown Comparison

The maximum VFH drawdown since its inception was -78.61%, which is greater than KBWB's maximum drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for VFH and KBWB. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VFH
KBWB

Volatility

VFH vs. KBWB - Volatility Comparison

The current volatility for Vanguard Financials ETF (VFH) is 7.75%, while Invesco KBW Bank ETF (KBWB) has a volatility of 11.48%. This indicates that VFH experiences smaller price fluctuations and is considered to be less risky than KBWB 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%12.00%JuneJulyAugustSeptemberOctoberNovember
7.75%
11.48%
VFH
KBWB