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VLUE vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VLUE and VOO is 0.83, 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.


-0.50.00.51.00.8

Performance

VLUE vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Edge MSCI USA Value Factor ETF (VLUE) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
186.59%
377.33%
VLUE
VOO

Key characteristics

Sharpe Ratio

VLUE:

0.74

VOO:

2.25

Sortino Ratio

VLUE:

1.11

VOO:

2.98

Omega Ratio

VLUE:

1.14

VOO:

1.42

Calmar Ratio

VLUE:

1.05

VOO:

3.31

Martin Ratio

VLUE:

2.87

VOO:

14.77

Ulcer Index

VLUE:

3.43%

VOO:

1.90%

Daily Std Dev

VLUE:

13.24%

VOO:

12.46%

Max Drawdown

VLUE:

-39.47%

VOO:

-33.99%

Current Drawdown

VLUE:

-7.84%

VOO:

-2.47%

Returns By Period

In the year-to-date period, VLUE achieves a 7.24% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, VLUE has underperformed VOO with an annualized return of 7.53%, while VOO has yielded a comparatively higher 13.08% annualized return.


VLUE

YTD

7.24%

1M

-5.79%

6M

3.92%

1Y

8.03%

5Y*

6.21%

10Y*

7.53%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


VLUE vs. VOO - Expense Ratio Comparison

VLUE has a 0.15% expense ratio, which is higher than VOO's 0.03% 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%.


VLUE
iShares Edge MSCI USA Value Factor ETF
Expense ratio chart for VLUE: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VLUE vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Value Factor ETF (VLUE) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for VLUE, currently valued at 0.74, compared to the broader market0.002.004.000.742.25
The chart of Sortino ratio for VLUE, currently valued at 1.11, compared to the broader market-2.000.002.004.006.008.0010.001.112.98
The chart of Omega ratio for VLUE, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.42
The chart of Calmar ratio for VLUE, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.053.31
The chart of Martin ratio for VLUE, currently valued at 2.87, compared to the broader market0.0020.0040.0060.0080.00100.002.8714.77
VLUE
VOO

The current VLUE Sharpe Ratio is 0.74, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VLUE and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.74
2.25
VLUE
VOO

Dividends

VLUE vs. VOO - Dividend Comparison

VLUE's dividend yield for the trailing twelve months is around 2.73%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
VLUE
iShares Edge MSCI USA Value Factor ETF
2.73%2.66%3.19%2.22%2.42%2.60%2.70%2.14%2.07%2.39%1.64%1.33%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

VLUE vs. VOO - Drawdown Comparison

The maximum VLUE drawdown since its inception was -39.47%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VLUE and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.84%
-2.47%
VLUE
VOO

Volatility

VLUE vs. VOO - Volatility Comparison

iShares Edge MSCI USA Value Factor ETF (VLUE) has a higher volatility of 4.32% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that VLUE's price experiences larger fluctuations and is considered to be riskier than VOO 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%JulyAugustSeptemberOctoberNovemberDecember
4.32%
3.75%
VLUE
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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