VFQY vs. VFVA
Compare and contrast key facts about Vanguard U.S. Quality Factor ETF (VFQY) and Vanguard U.S. Value Factor ETF (VFVA).
VFQY and VFVA 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. VFVA is managed by Vanguard. It was launched on Feb 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFQY or VFVA.
Performance
VFQY vs. VFVA - Performance Comparison
Returns By Period
In the year-to-date period, VFQY achieves a 14.46% return, which is significantly higher than VFVA's 12.67% return.
VFQY
14.46%
0.29%
7.27%
24.94%
13.14%
N/A
VFVA
12.67%
2.99%
8.88%
25.72%
13.44%
N/A
Key characteristics
| VFQY | VFVA | |
|---|---|---|
| Sharpe Ratio | 1.74 | 1.48 |
| Sortino Ratio | 2.47 | 2.21 |
| Omega Ratio | 1.31 | 1.27 |
| Calmar Ratio | 3.10 | 2.72 |
| Martin Ratio | 10.25 | 7.29 |
| Ulcer Index | 2.38% | 3.39% |
| Daily Std Dev | 14.02% | 16.67% |
| Max Drawdown | -37.41% | -48.58% |
| Current Drawdown | -3.21% | -2.42% |
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VFQY vs. VFVA - Expense Ratio Comparison
Both VFQY and VFVA have an expense ratio of 0.13%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Correlation
The correlation between VFQY and VFVA is 0.90, 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. VFVA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Quality Factor ETF (VFQY) and Vanguard U.S. Value Factor ETF (VFVA). 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. VFVA - Dividend Comparison
VFQY's dividend yield for the trailing twelve months is around 1.30%, less than VFVA's 2.27% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
VFQY Vanguard U.S. Quality Factor ETF | 1.30% | 1.38% | 1.44% | 0.98% | 1.22% | 1.34% | 1.31% |
VFVA Vanguard U.S. Value Factor ETF | 2.27% | 2.45% | 2.21% | 1.68% | 2.04% | 2.09% | 1.65% |
Drawdowns
VFQY vs. VFVA - Drawdown Comparison
The maximum VFQY drawdown since its inception was -37.41%, smaller than the maximum VFVA drawdown of -48.58%. Use the drawdown chart below to compare losses from any high point for VFQY and VFVA. For additional features, visit the drawdowns tool.
Volatility
VFQY vs. VFVA - Volatility Comparison
The current volatility for Vanguard U.S. Quality Factor ETF (VFQY) is 4.66%, while Vanguard U.S. Value Factor ETF (VFVA) has a volatility of 6.39%. This indicates that VFQY experiences smaller price fluctuations and is considered to be less risky than VFVA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.