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VFQY vs. DWM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VFQY and DWM is 0.75, 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.


-0.50.00.51.00.7

Performance

VFQY vs. DWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Quality Factor ETF (VFQY) and WisdomTree International Equity Fund (DWM). The values are adjusted to include any dividend payments, if applicable.

20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
103.35%
20.82%
VFQY
DWM

Key characteristics

Sharpe Ratio

VFQY:

1.06

DWM:

0.48

Sortino Ratio

VFQY:

1.54

DWM:

0.72

Omega Ratio

VFQY:

1.19

DWM:

1.09

Calmar Ratio

VFQY:

1.91

DWM:

0.62

Martin Ratio

VFQY:

6.08

DWM:

1.90

Ulcer Index

VFQY:

2.47%

DWM:

3.11%

Daily Std Dev

VFQY:

14.21%

DWM:

12.40%

Max Drawdown

VFQY:

-37.41%

DWM:

-62.10%

Current Drawdown

VFQY:

-5.39%

DWM:

-9.48%

Returns By Period

In the year-to-date period, VFQY achieves a 13.62% return, which is significantly higher than DWM's 3.18% return.


VFQY

YTD

13.62%

1M

-2.09%

6M

5.75%

1Y

13.39%

5Y*

11.90%

10Y*

N/A

DWM

YTD

3.18%

1M

-2.25%

6M

-1.07%

1Y

4.18%

5Y*

3.57%

10Y*

4.10%

Compare stocks, funds, or ETFs

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


VFQY vs. DWM - Expense Ratio Comparison

VFQY has a 0.13% expense ratio, which is lower than DWM's 0.48% expense ratio.


DWM
WisdomTree International Equity Fund
Expense ratio chart for DWM: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for VFQY: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VFQY vs. DWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Quality Factor ETF (VFQY) and WisdomTree International Equity Fund (DWM). 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 VFQY, currently valued at 1.06, compared to the broader market0.002.004.001.060.48
The chart of Sortino ratio for VFQY, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.540.72
The chart of Omega ratio for VFQY, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.09
The chart of Calmar ratio for VFQY, currently valued at 1.91, compared to the broader market0.005.0010.0015.001.910.62
The chart of Martin ratio for VFQY, currently valued at 6.08, compared to the broader market0.0020.0040.0060.0080.00100.006.081.90
VFQY
DWM

The current VFQY Sharpe Ratio is 1.06, which is higher than the DWM Sharpe Ratio of 0.48. The chart below compares the historical Sharpe Ratios of VFQY and DWM, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.06
0.48
VFQY
DWM

Dividends

VFQY vs. DWM - Dividend Comparison

VFQY's dividend yield for the trailing twelve months is around 0.96%, less than DWM's 3.85% yield.


TTM20232022202120202019201820172016201520142013
VFQY
Vanguard U.S. Quality Factor ETF
0.96%1.38%1.44%0.98%1.22%1.34%1.31%0.00%0.00%0.00%0.00%0.00%
DWM
WisdomTree International Equity Fund
3.12%4.15%4.36%3.64%2.75%3.46%3.86%2.99%3.43%3.55%4.71%3.30%

Drawdowns

VFQY vs. DWM - Drawdown Comparison

The maximum VFQY drawdown since its inception was -37.41%, smaller than the maximum DWM drawdown of -62.10%. Use the drawdown chart below to compare losses from any high point for VFQY and DWM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.39%
-9.48%
VFQY
DWM

Volatility

VFQY vs. DWM - Volatility Comparison

Vanguard U.S. Quality Factor ETF (VFQY) has a higher volatility of 4.62% compared to WisdomTree International Equity Fund (DWM) at 3.58%. This indicates that VFQY's price experiences larger fluctuations and is considered to be riskier than DWM 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%JulyAugustSeptemberOctoberNovemberDecember
4.62%
3.58%
VFQY
DWM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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