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

Correlation

The correlation between VFQY and IVV 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.


-0.50.00.51.00.9

Performance

VFQY vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Quality Factor ETF (VFQY) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
103.35%
143.16%
VFQY
IVV

Key characteristics

Sharpe Ratio

VFQY:

1.06

IVV:

2.25

Sortino Ratio

VFQY:

1.54

IVV:

2.98

Omega Ratio

VFQY:

1.19

IVV:

1.42

Calmar Ratio

VFQY:

1.91

IVV:

3.32

Martin Ratio

VFQY:

6.08

IVV:

14.68

Ulcer Index

VFQY:

2.47%

IVV:

1.90%

Daily Std Dev

VFQY:

14.21%

IVV:

12.43%

Max Drawdown

VFQY:

-37.41%

IVV:

-55.25%

Current Drawdown

VFQY:

-5.39%

IVV:

-2.52%

Returns By Period

In the year-to-date period, VFQY achieves a 13.62% return, which is significantly lower than IVV's 25.92% return.


VFQY

YTD

13.62%

1M

-2.09%

6M

5.75%

1Y

13.39%

5Y*

11.90%

10Y*

N/A

IVV

YTD

25.92%

1M

0.33%

6M

9.27%

1Y

26.64%

5Y*

14.77%

10Y*

13.05%

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. IVV - Expense Ratio Comparison

VFQY has a 0.13% expense ratio, which is higher than IVV's 0.03% 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%.


VFQY
Vanguard U.S. Quality Factor ETF
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%
Expense ratio chart for IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VFQY vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Quality Factor ETF (VFQY) and iShares Core S&P 500 ETF (IVV). 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 market0.002.004.001.062.25
The chart of Sortino ratio for VFQY, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.542.98
The chart of Omega ratio for VFQY, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.42
The chart of Calmar ratio for VFQY, currently valued at 1.91, compared to the broader market0.005.0010.0015.001.913.32
The chart of Martin ratio for VFQY, currently valued at 6.08, compared to the broader market0.0020.0040.0060.0080.00100.006.0814.68
VFQY
IVV

The current VFQY Sharpe Ratio is 1.06, which is lower than the IVV Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VFQY and IVV, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.06
2.25
VFQY
IVV

Dividends

VFQY vs. IVV - Dividend Comparison

VFQY's dividend yield for the trailing twelve months is around 0.96%, less than IVV's 1.29% 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%
IVV
iShares Core S&P 500 ETF
1.29%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%

Drawdowns

VFQY vs. IVV - Drawdown Comparison

The maximum VFQY drawdown since its inception was -37.41%, smaller than the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for VFQY and IVV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.39%
-2.52%
VFQY
IVV

Volatility

VFQY vs. IVV - Volatility Comparison

Vanguard U.S. Quality Factor ETF (VFQY) has a higher volatility of 4.62% compared to iShares Core S&P 500 ETF (IVV) at 3.75%. This indicates that VFQY's price experiences larger fluctuations and is considered to be riskier than IVV 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%
3.75%
VFQY
IVV
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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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