VFQY vs. DWM
Compare and contrast key facts about Vanguard U.S. Quality Factor ETF (VFQY) and WisdomTree International Equity Fund (DWM).
VFQY and DWM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFQY is an actively managed fund by Vanguard. It was launched on Feb 13, 2018. DWM is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree International Equity Index. It was launched on Jun 16, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFQY or DWM.
Performance
VFQY vs. DWM - Performance Comparison
Returns By Period
In the year-to-date period, VFQY achieves a 16.04% return, which is significantly higher than DWM's 5.61% return.
VFQY
16.04%
2.18%
9.77%
26.15%
13.45%
N/A
DWM
5.61%
-3.32%
-0.40%
11.87%
4.75%
4.05%
Key characteristics
| VFQY | DWM | |
|---|---|---|
| Sharpe Ratio | 1.90 | 0.97 |
| Sortino Ratio | 2.67 | 1.38 |
| Omega Ratio | 1.34 | 1.17 |
| Calmar Ratio | 3.40 | 1.56 |
| Martin Ratio | 11.21 | 4.77 |
| Ulcer Index | 2.38% | 2.50% |
| Daily Std Dev | 14.07% | 12.26% |
| Max Drawdown | -37.41% | -62.10% |
| Current Drawdown | -1.87% | -7.35% |
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VFQY vs. DWM - Expense Ratio Comparison
VFQY has a 0.13% expense ratio, which is lower than DWM's 0.48% expense ratio.
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.
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.
Dividends
VFQY vs. DWM - Dividend Comparison
VFQY's dividend yield for the trailing twelve months is around 1.28%, less than DWM's 3.76% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VFQY Vanguard U.S. Quality Factor ETF | 1.28% | 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 | 3.76% | 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.
Volatility
VFQY vs. DWM - Volatility Comparison
Vanguard U.S. Quality Factor ETF (VFQY) has a higher volatility of 4.74% compared to WisdomTree International Equity Fund (DWM) at 4.07%. 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.