VFMF vs. VYM
Compare and contrast key facts about Vanguard U.S. Multifactor ETF (VFMF) and Vanguard High Dividend Yield ETF (VYM).
VFMF and VYM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFMF is managed by Vanguard. It was launched on Feb 13, 2018. VYM is a passively managed fund by Vanguard that tracks the performance of the FTSE High Dividend Yield Index. It was launched on Nov 10, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFMF or VYM.
Performance
VFMF vs. VYM - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with VFMF having a 21.52% return and VYM slightly lower at 21.19%.
VFMF
21.52%
4.74%
12.86%
32.18%
14.05%
N/A
VYM
21.19%
1.79%
13.08%
29.30%
11.22%
10.00%
Key characteristics
| VFMF | VYM | |
|---|---|---|
| Sharpe Ratio | 2.13 | 2.81 |
| Sortino Ratio | 3.00 | 3.99 |
| Omega Ratio | 1.38 | 1.51 |
| Calmar Ratio | 3.79 | 5.74 |
| Martin Ratio | 12.08 | 18.14 |
| Ulcer Index | 2.71% | 1.64% |
| Daily Std Dev | 15.35% | 10.61% |
| Max Drawdown | -41.34% | -56.98% |
| Current Drawdown | -1.12% | -0.23% |
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VFMF vs. VYM - Expense Ratio Comparison
VFMF has a 0.18% expense ratio, which is higher than VYM's 0.06% 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%.
Correlation
The correlation between VFMF and VYM 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.
Risk-Adjusted Performance
VFMF vs. VYM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Multifactor ETF (VFMF) and Vanguard High Dividend Yield ETF (VYM). 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.
Dividends
VFMF vs. VYM - Dividend Comparison
VFMF's dividend yield for the trailing twelve months is around 1.49%, less than VYM's 2.74% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VFMF Vanguard U.S. Multifactor ETF | 1.49% | 1.78% | 2.21% | 1.39% | 1.56% | 1.61% | 1.22% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VYM Vanguard High Dividend Yield ETF | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% | 2.78% | 2.81% |
Drawdowns
VFMF vs. VYM - Drawdown Comparison
The maximum VFMF drawdown since its inception was -41.34%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for VFMF and VYM. For additional features, visit the drawdowns tool.
Volatility
VFMF vs. VYM - Volatility Comparison
Vanguard U.S. Multifactor ETF (VFMF) has a higher volatility of 5.88% compared to Vanguard High Dividend Yield ETF (VYM) at 3.90%. This indicates that VFMF's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.