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

Key characteristics


VFHSPY
YTD Return23.69%21.01%
1Y Return40.39%32.86%
3Y Return (Ann)6.40%8.37%
5Y Return (Ann)11.39%14.97%
10Y Return (Ann)11.10%12.86%
Sharpe Ratio3.252.83
Sortino Ratio4.243.76
Omega Ratio1.551.53
Calmar Ratio2.494.05
Martin Ratio20.8318.38
Ulcer Index2.05%1.85%
Daily Std Dev13.06%12.02%
Max Drawdown-78.61%-55.19%
Current Drawdown-3.00%-2.53%

Correlation

-0.50.00.51.00.8

The correlation between VFH and SPY 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

VFH vs. SPY - Performance Comparison

In the year-to-date period, VFH achieves a 23.69% return, which is significantly higher than SPY's 21.01% return. Over the past 10 years, VFH has underperformed SPY with an annualized return of 11.10%, while SPY has yielded a comparatively higher 12.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.57%
10.88%
VFH
SPY

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VFH vs. SPY - Expense Ratio Comparison

VFH has a 0.10% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VFH
Vanguard Financials ETF
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%
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%

Risk-Adjusted Performance

VFH vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Financials ETF (VFH) 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.


VFH
Sharpe ratio
The chart of Sharpe ratio for VFH, currently valued at 3.25, compared to the broader market0.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for VFH, currently valued at 4.24, compared to the broader market0.005.0010.004.24
Omega ratio
The chart of Omega ratio for VFH, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for VFH, currently valued at 2.49, compared to the broader market0.005.0010.0015.0020.002.49
Martin ratio
The chart of Martin ratio for VFH, currently valued at 20.83, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.83
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

VFH vs. SPY - Sharpe Ratio Comparison

The current VFH Sharpe Ratio is 3.25, which is comparable to the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of VFH 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.25
2.83
VFH
SPY

Dividends

VFH vs. SPY - Dividend Comparison

VFH's dividend yield for the trailing twelve months is around 1.74%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
VFH
Vanguard Financials ETF
1.74%2.08%2.31%1.87%2.21%2.17%2.30%1.53%1.63%2.00%1.85%1.82%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VFH vs. SPY - Drawdown Comparison

The maximum VFH drawdown since its inception was -78.61%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VFH and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.00%
-2.53%
VFH
SPY

Volatility

VFH vs. SPY - Volatility Comparison

Vanguard Financials ETF (VFH) has a higher volatility of 4.10% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that VFH'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%JuneJulyAugustSeptemberOctoberNovember
4.10%
3.15%
VFH
SPY