VFVA vs. FAB
VFVA (Vanguard U.S. Value Factor ETF) and FAB (First Trust Multi Cap Value AlphaDEX Fund) are both Mid Cap Value Equities funds. VFVA is actively managed, while FAB is passively managed. Over the past 5 years, VFVA returned 12.45%/yr vs 10.19%/yr for FAB. Their 0.96 correlation means they have historically moved very closely together. VFVA charges 0.13%/yr vs 0.64%/yr for FAB.
Performance
VFVA vs. FAB - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with VFVA having a 19.47% return and FAB slightly lower at 19.04%.
VFVA
- 1D
- -0.14%
- 1M
- 4.08%
- 6M
- 14.51%
- YTD
- 19.47%
- 1Y
- 37.96%
- 3Y*
- 16.39%
- 5Y*
- 12.45%
- 10Y*
- —
- ALL TIME*
- 10.75%
FAB
- 1D
- -0.25%
- 1M
- 2.66%
- 6M
- 13.00%
- YTD
- 19.04%
- 1Y
- 32.09%
- 3Y*
- 13.91%
- 5Y*
- 10.19%
- 10Y*
- 11.09%
- ALL TIME*
- 8.42%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $2.74M | $2.85M | $1.08M | |
| $2.76M | $2.45M | $1.67M |
VFVA vs. FAB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VFVA Vanguard U.S. Value Factor ETF | 19.47% | 14.77% | 7.67% | 17.37% | -3.96% | 36.94% | 2.28% | 25.42% | -18.90% |
FAB First Trust Multi Cap Value AlphaDEX Fund | 19.04% | 9.86% | 7.82% | 15.81% | -6.79% | 30.83% | 2.40% | 23.73% | -12.33% |
Correlation
The correlation between VFVA and FAB is 0.94, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.94 |
Correlation (3Y) Balances recent behavior with more history. | 0.97 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.97 |
Correlation (All Time) Calculated using the full available price history since Feb 15, 2018 | 0.96 |
The correlation between VFVA and FAB has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.
VFVA vs. FAB - Sectors Allocation Comparison
Sectors
VFVA
FAB
Financial Services
Healthcare
Technology
Consumer Cyclical
Industrials
Energy
Consumer Defensive
Communication Services
Basic Materials
Real Estate
Utilities
-
Financial Services
VFVA
FAB
Healthcare
VFVA
FAB
Technology
VFVA
FAB
Consumer Cyclical
VFVA
FAB
Industrials
VFVA
FAB
Energy
VFVA
FAB
Consumer Defensive
VFVA
FAB
Communication Services
VFVA
FAB
Basic Materials
VFVA
FAB
Real Estate
VFVA
FAB
Utilities
VFVA
-
FAB
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Return for Risk
VFVA vs. FAB — Risk / Return Rank
VFVA
FAB
VFVA vs. FAB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Value Factor ETF (VFVA) and First Trust Multi Cap Value AlphaDEX Fund (FAB). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| VFVA | FAB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.12 | ||
| Sortino ratioReturn per unit of downside risk | +0.04 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.40 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 4.19 | 4.59 | -0.40 |
| Martin ratioReturn relative to average drawdown | 14.15 | 15.16 | -1.00 |
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Drawdowns
VFVA vs. FAB - Drawdown Comparison
The maximum VFVA drawdown since its inception was -48.58%, smaller than the maximum FAB drawdown of -63.29%. Use the drawdown chart below to compare losses from any high point for VFVA and FAB.
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Drawdown Indicators
| VFVA | FAB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.58% | -63.29% | +14.71% |
Max Drawdown (1Y)Largest decline over 1 year | -8.55% | -6.65% | -1.90% |
Max Drawdown (3Y)Largest decline over 3 years | -24.07% | -22.91% | -1.16% |
Max Drawdown (5Y)Largest decline over 5 years | -24.07% | -22.91% | -1.16% |
Max Drawdown (10Y)Largest decline over 10 years | — | -47.08% | — |
Current DrawdownCurrent decline from peak | -1.29% | -1.48% | +0.19% |
Average DrawdownAverage peak-to-trough decline | -7.24% | -9.18% | +1.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.52% | 2.01% | +0.51% |
Volatility
VFVA vs. FAB - Volatility Comparison
Vanguard U.S. Value Factor ETF (VFVA) has a higher volatility of 4.31% compared to First Trust Multi Cap Value AlphaDEX Fund (FAB) at 3.83%. This indicates that VFVA's price experiences larger fluctuations and is considered to be riskier than FAB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VFVA | FAB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.31% | 3.83% | +0.48% |
Volatility (6M)Calculated over the trailing 6-month period | 10.12% | 8.66% | +1.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.96% | 13.38% | +1.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.05% | 18.61% | +1.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.20% | 21.95% | +2.25% |
VFVA vs. FAB - Expense Ratio Comparison
VFVA has a 0.13% expense ratio, which is lower than FAB's 0.64% expense ratio.
Dividends
VFVA vs. FAB - Dividend Comparison
VFVA's dividend yield for the trailing twelve months is around 1.77%, more than FAB's 1.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FAB First Trust Multi Cap Value AlphaDEX Fund | 1.52% | 1.57% | 2.00% | 1.94% | 1.80% | 1.32% | 1.59% | 1.75% | 1.96% | 1.42% | 1.40% | 1.62% |
VFVA Vanguard U.S. Value Factor ETF | 1.77% | 2.13% | 2.40% | 2.45% | 2.21% | 1.68% | 2.04% | 2.08% | 1.65% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.94, VFVA and FAB move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VFVA has higher volatility (4.31%) compared to FAB (3.83%). In terms of maximum drawdown, VFVA dropped -48.58% vs FAB's -63.29%.
On 5-year performance, VFVA leads with 12.45% vs 10.19% for FAB. On fees, VFVA is cheaper at 0.13% per year. On volatility, FAB has been the lower-risk option at 3.83%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VFVA has performed better with a 12.45% return vs 10.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VFVA is cheaper with a 0.13% expense ratio, compared with 0.64% for FAB.
VFVA has the higher dividend yield at 1.77%, compared with 1.52% for FAB.
They also come from different issuers: Vanguard and First Trust. Their fees differ too: 0.13% for VFVA and 0.64% for FAB.
VFVA currently has the higher Sharpe Ratio (2.40 vs 2.29), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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