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VMVAX vs. VOE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VMVAX vs. VOE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) and Vanguard Mid-Cap Value ETF (VOE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.92%
14.99%
VMVAX
VOE

Returns By Period

The year-to-date returns for both stocks are quite close, with VMVAX having a 21.26% return and VOE slightly lower at 21.23%. Both investments have delivered pretty close results over the past 10 years, with VMVAX having a 9.23% annualized return and VOE not far ahead at 9.24%.


VMVAX

YTD

21.26%

1M

2.98%

6M

14.92%

1Y

30.85%

5Y (annualized)

10.90%

10Y (annualized)

9.23%

VOE

YTD

21.23%

1M

2.98%

6M

14.99%

1Y

30.91%

5Y (annualized)

10.93%

10Y (annualized)

9.24%

Key characteristics


VMVAXVOE
Sharpe Ratio2.682.69
Sortino Ratio3.713.72
Omega Ratio1.471.47
Calmar Ratio3.703.70
Martin Ratio16.2616.37
Ulcer Index1.94%1.93%
Daily Std Dev11.77%11.77%
Max Drawdown-43.07%-61.55%
Current Drawdown0.00%0.00%

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VMVAX vs. VOE - Expense Ratio Comparison

Both VMVAX and VOE have an expense ratio of 0.07%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VMVAX
Vanguard Mid-Cap Value Index Fund Admiral Shares
Expense ratio chart for VMVAX: 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%
Expense ratio chart for VOE: 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%

Correlation

-0.50.00.51.01.0

The correlation between VMVAX and VOE is 1.00, 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.

Risk-Adjusted Performance

VMVAX vs. VOE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) and Vanguard Mid-Cap Value ETF (VOE). 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 VMVAX, currently valued at 2.68, compared to the broader market-1.000.001.002.003.004.005.002.682.69
The chart of Sortino ratio for VMVAX, currently valued at 3.71, compared to the broader market0.005.0010.003.713.72
The chart of Omega ratio for VMVAX, currently valued at 1.47, compared to the broader market1.002.003.004.001.471.47
The chart of Calmar ratio for VMVAX, currently valued at 3.70, compared to the broader market0.005.0010.0015.0020.003.703.70
The chart of Martin ratio for VMVAX, currently valued at 16.26, compared to the broader market0.0020.0040.0060.0080.00100.0016.2616.37
VMVAX
VOE

The current VMVAX Sharpe Ratio is 2.68, which is comparable to the VOE Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of VMVAX and VOE, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.68
2.69
VMVAX
VOE

Dividends

VMVAX vs. VOE - Dividend Comparison

VMVAX's dividend yield for the trailing twelve months is around 2.04%, which matches VOE's 2.04% yield.


TTM20232022202120202019201820172016201520142013
VMVAX
Vanguard Mid-Cap Value Index Fund Admiral Shares
2.04%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.91%2.04%1.67%1.54%
VOE
Vanguard Mid-Cap Value ETF
2.04%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.92%2.05%1.67%1.53%

Drawdowns

VMVAX vs. VOE - Drawdown Comparison

The maximum VMVAX drawdown since its inception was -43.07%, smaller than the maximum VOE drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for VMVAX and VOE. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VMVAX
VOE

Volatility

VMVAX vs. VOE - Volatility Comparison

Vanguard Mid-Cap Value Index Fund Admiral Shares (VMVAX) and Vanguard Mid-Cap Value ETF (VOE) have volatilities of 3.60% and 3.59%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.60%
3.59%
VMVAX
VOE