VFVA vs. VFQY
Compare and contrast key facts about Vanguard U.S. Value Factor ETF (VFVA) and Vanguard U.S. Quality Factor ETF (VFQY).
VFVA and VFQY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFVA is managed by Vanguard. It was launched on Feb 13, 2018. VFQY is an actively managed fund 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: VFVA or VFQY.
Key characteristics
| VFVA | VFQY | |
|---|---|---|
| YTD Return | 7.85% | 11.75% |
| 1Y Return | 21.77% | 25.62% |
| 3Y Return (Ann) | 6.43% | 4.41% |
| 5Y Return (Ann) | 12.22% | 12.69% |
| Sharpe Ratio | 1.49 | 1.98 |
| Sortino Ratio | 2.16 | 2.79 |
| Omega Ratio | 1.27 | 1.35 |
| Calmar Ratio | 2.31 | 2.37 |
| Martin Ratio | 7.19 | 11.89 |
| Ulcer Index | 3.40% | 2.34% |
| Daily Std Dev | 16.32% | 13.98% |
| Max Drawdown | -48.58% | -37.41% |
| Current Drawdown | -3.28% | -3.49% |
Correlation
The correlation between VFVA and VFQY 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.
Performance
VFVA vs. VFQY - Performance Comparison
In the year-to-date period, VFVA achieves a 7.85% return, which is significantly lower than VFQY's 11.75% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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VFVA vs. VFQY - Expense Ratio Comparison
Both VFVA and VFQY 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%.
Risk-Adjusted Performance
VFVA vs. VFQY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Value Factor ETF (VFVA) and Vanguard U.S. Quality Factor ETF (VFQY). 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
VFVA vs. VFQY - Dividend Comparison
VFVA's dividend yield for the trailing twelve months is around 2.37%, more than VFQY's 1.33% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
VFVA Vanguard U.S. Value Factor ETF | 2.37% | 2.45% | 2.21% | 1.68% | 2.04% | 2.08% | 1.65% |
VFQY Vanguard U.S. Quality Factor ETF | 1.33% | 1.38% | 1.43% | 0.98% | 1.22% | 1.34% | 1.31% |
Drawdowns
VFVA vs. VFQY - Drawdown Comparison
The maximum VFVA drawdown since its inception was -48.58%, which is greater than VFQY's maximum drawdown of -37.41%. Use the drawdown chart below to compare losses from any high point for VFVA and VFQY. For additional features, visit the drawdowns tool.
Volatility
VFVA vs. VFQY - Volatility Comparison
Vanguard U.S. Value Factor ETF (VFVA) has a higher volatility of 3.58% compared to Vanguard U.S. Quality Factor ETF (VFQY) at 3.25%. This indicates that VFVA's price experiences larger fluctuations and is considered to be riskier than VFQY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.