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

Performance

VFQY vs. SCHD - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.27%
10.89%
VFQY
SCHD

Returns By Period

In the year-to-date period, VFQY achieves a 14.46% return, which is significantly lower than SCHD's 16.26% return.


VFQY

YTD

14.46%

1M

0.29%

6M

7.27%

1Y

24.94%

5Y (annualized)

13.14%

10Y (annualized)

N/A

SCHD

YTD

16.26%

1M

0.84%

6M

10.89%

1Y

25.41%

5Y (annualized)

12.67%

10Y (annualized)

11.40%

Key characteristics


VFQYSCHD
Sharpe Ratio1.742.27
Sortino Ratio2.473.27
Omega Ratio1.311.40
Calmar Ratio3.103.34
Martin Ratio10.2512.25
Ulcer Index2.38%2.05%
Daily Std Dev14.02%11.06%
Max Drawdown-37.41%-33.37%
Current Drawdown-3.21%-1.54%

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VFQY vs. SCHD - Expense Ratio Comparison

VFQY has a 0.13% expense ratio, which is higher than SCHD'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%.


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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.8

The correlation between VFQY and SCHD is 0.84, 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. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Quality Factor ETF (VFQY) and Schwab US Dividend Equity ETF (SCHD). 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 1.74, compared to the broader market0.002.004.001.742.27
The chart of Sortino ratio for VFQY, currently valued at 2.47, compared to the broader market-2.000.002.004.006.008.0010.0012.002.473.27
The chart of Omega ratio for VFQY, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.311.40
The chart of Calmar ratio for VFQY, currently valued at 3.10, compared to the broader market0.005.0010.0015.003.103.34
The chart of Martin ratio for VFQY, currently valued at 10.25, compared to the broader market0.0020.0040.0060.0080.00100.0010.2512.25
VFQY
SCHD

The current VFQY Sharpe Ratio is 1.74, which is comparable to the SCHD Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of VFQY and SCHD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.74
2.27
VFQY
SCHD

Dividends

VFQY vs. SCHD - Dividend Comparison

VFQY's dividend yield for the trailing twelve months is around 1.30%, less than SCHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
VFQY
Vanguard U.S. Quality Factor ETF
1.30%1.38%1.44%0.98%1.22%1.34%1.31%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.40%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

VFQY vs. SCHD - Drawdown Comparison

The maximum VFQY drawdown since its inception was -37.41%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for VFQY and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.21%
-1.54%
VFQY
SCHD

Volatility

VFQY vs. SCHD - Volatility Comparison

Vanguard U.S. Quality Factor ETF (VFQY) has a higher volatility of 4.66% compared to Schwab US Dividend Equity ETF (SCHD) at 3.39%. This indicates that VFQY's price experiences larger fluctuations and is considered to be riskier than SCHD 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%JuneJulyAugustSeptemberOctoberNovember
4.66%
3.39%
VFQY
SCHD