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VFVA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VFVASPY
YTD Return7.85%21.01%
1Y Return21.77%32.86%
3Y Return (Ann)6.43%8.37%
5Y Return (Ann)12.22%14.97%
Sharpe Ratio1.492.83
Sortino Ratio2.163.76
Omega Ratio1.271.53
Calmar Ratio2.314.05
Martin Ratio7.1918.38
Ulcer Index3.40%1.85%
Daily Std Dev16.32%12.02%
Max Drawdown-48.58%-55.19%
Current Drawdown-3.28%-2.53%

Correlation

-0.50.00.51.00.8

The correlation between VFVA and SPY is 0.76, 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.

Performance

VFVA vs. SPY - Performance Comparison

In the year-to-date period, VFVA achieves a 7.85% return, which is significantly lower than SPY's 21.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.06%
11.00%
VFVA
SPY

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VFVA vs. SPY - Expense Ratio Comparison

VFVA has a 0.13% expense ratio, which is higher than SPY's 0.09% 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%.


VFVA
Vanguard U.S. Value Factor ETF
Expense ratio chart for VFVA: 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VFVA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Value Factor ETF (VFVA) and SPDR S&P 500 ETF (SPY). 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.


VFVA
Sharpe ratio
The chart of Sharpe ratio for VFVA, currently valued at 1.49, compared to the broader market0.002.004.006.001.49
Sortino ratio
The chart of Sortino ratio for VFVA, currently valued at 2.16, compared to the broader market0.005.0010.002.16
Omega ratio
The chart of Omega ratio for VFVA, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for VFVA, currently valued at 2.31, compared to the broader market0.005.0010.0015.0020.002.31
Martin ratio
The chart of Martin ratio for VFVA, currently valued at 7.19, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.19
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

VFVA vs. SPY - Sharpe Ratio Comparison

The current VFVA Sharpe Ratio is 1.49, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of VFVA and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.49
2.83
VFVA
SPY

Dividends

VFVA vs. SPY - Dividend Comparison

VFVA's dividend yield for the trailing twelve months is around 2.37%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
VFVA
Vanguard U.S. Value Factor ETF
2.37%2.45%2.21%1.68%2.04%2.08%1.65%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VFVA vs. SPY - Drawdown Comparison

The maximum VFVA drawdown since its inception was -48.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VFVA and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.28%
-2.53%
VFVA
SPY

Volatility

VFVA vs. SPY - Volatility Comparison

Vanguard U.S. Value Factor ETF (VFVA) has a higher volatility of 3.58% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that VFVA's price experiences larger fluctuations and is considered to be riskier than SPY 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%8.00%JuneJulyAugustSeptemberOctoberNovember
3.58%
3.15%
VFVA
SPY