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VHYG.L vs. SPYD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VHYG.LSPYD
YTD Return12.19%20.52%
1Y Return17.69%34.92%
3Y Return (Ann)7.88%7.98%
5Y Return (Ann)7.78%8.16%
Sharpe Ratio0.542.96
Sortino Ratio1.044.19
Omega Ratio1.321.54
Calmar Ratio0.862.46
Martin Ratio1.4220.60
Ulcer Index11.98%1.96%
Daily Std Dev31.53%13.64%
Max Drawdown-28.15%-46.42%
Current Drawdown-5.43%-1.02%

Correlation

-0.50.00.51.00.6

The correlation between VHYG.L and SPYD is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VHYG.L vs. SPYD - Performance Comparison

In the year-to-date period, VHYG.L achieves a 12.19% return, which is significantly lower than SPYD's 20.52% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.36%
13.06%
VHYG.L
SPYD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VHYG.L vs. SPYD - Expense Ratio Comparison

VHYG.L has a 0.29% expense ratio, which is higher than SPYD's 0.07% expense ratio.


VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF
Expense ratio chart for VHYG.L: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for SPYD: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VHYG.L vs. SPYD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE All-World High Dividend Yield UCITS ETF (VHYG.L) and SPDR Portfolio S&P 500 High Dividend ETF (SPYD). 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.


VHYG.L
Sharpe ratio
The chart of Sharpe ratio for VHYG.L, currently valued at 1.90, compared to the broader market-2.000.002.004.001.90
Sortino ratio
The chart of Sortino ratio for VHYG.L, currently valued at 2.64, compared to the broader market-2.000.002.004.006.008.0010.0012.002.64
Omega ratio
The chart of Omega ratio for VHYG.L, currently valued at 1.35, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for VHYG.L, currently valued at 1.03, compared to the broader market0.005.0010.0015.001.03
Martin ratio
The chart of Martin ratio for VHYG.L, currently valued at 11.59, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.59
SPYD
Sharpe ratio
The chart of Sharpe ratio for SPYD, currently valued at 2.64, compared to the broader market-2.000.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SPYD, currently valued at 3.66, compared to the broader market-2.000.002.004.006.008.0010.0012.003.66
Omega ratio
The chart of Omega ratio for SPYD, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SPYD, currently valued at 2.18, compared to the broader market0.005.0010.0015.002.18
Martin ratio
The chart of Martin ratio for SPYD, currently valued at 17.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.30

VHYG.L vs. SPYD - Sharpe Ratio Comparison

The current VHYG.L Sharpe Ratio is 0.54, which is lower than the SPYD Sharpe Ratio of 2.96. The chart below compares the historical Sharpe Ratios of VHYG.L and SPYD, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.90
2.64
VHYG.L
SPYD

Dividends

VHYG.L vs. SPYD - Dividend Comparison

VHYG.L has not paid dividends to shareholders, while SPYD's dividend yield for the trailing twelve months is around 4.05%.


TTM202320222021202020192018201720162015
VHYG.L
Vanguard FTSE All-World High Dividend Yield UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
4.05%4.66%5.01%3.69%4.96%4.42%4.75%4.64%4.34%1.13%

Drawdowns

VHYG.L vs. SPYD - Drawdown Comparison

The maximum VHYG.L drawdown since its inception was -28.15%, smaller than the maximum SPYD drawdown of -46.42%. Use the drawdown chart below to compare losses from any high point for VHYG.L and SPYD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.15%
-1.02%
VHYG.L
SPYD

Volatility

VHYG.L vs. SPYD - Volatility Comparison

The current volatility for Vanguard FTSE All-World High Dividend Yield UCITS ETF (VHYG.L) is 2.63%, while SPDR Portfolio S&P 500 High Dividend ETF (SPYD) has a volatility of 3.59%. This indicates that VHYG.L experiences smaller price fluctuations and is considered to be less risky than SPYD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
2.63%
3.59%
VHYG.L
SPYD