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VNQ vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VNQVYM
YTD Return11.11%17.60%
1Y Return38.62%32.84%
3Y Return (Ann)-0.53%9.21%
5Y Return (Ann)4.10%10.95%
10Y Return (Ann)6.10%10.00%
Sharpe Ratio2.283.24
Sortino Ratio3.264.51
Omega Ratio1.411.58
Calmar Ratio1.173.84
Martin Ratio8.9421.51
Ulcer Index4.42%1.60%
Daily Std Dev17.31%10.59%
Max Drawdown-73.07%-56.98%
Current Drawdown-8.34%-2.21%

Correlation

-0.50.00.51.00.7

The correlation between VNQ and VYM is 0.69, 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

VNQ vs. VYM - Performance Comparison

In the year-to-date period, VNQ achieves a 11.11% return, which is significantly lower than VYM's 17.60% return. Over the past 10 years, VNQ has underperformed VYM with an annualized return of 6.10%, while VYM has yielded a comparatively higher 10.00% annualized 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%15.00%20.00%25.00%MayJuneJulyAugustSeptemberOctober
22.28%
12.08%
VNQ
VYM

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VNQ vs. VYM - Expense Ratio Comparison

VNQ has a 0.12% expense ratio, which is higher than VYM's 0.06% 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%.


VNQ
Vanguard Real Estate ETF
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

VNQ vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Real Estate ETF (VNQ) and Vanguard High Dividend Yield ETF (VYM). 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.


VNQ
Sharpe ratio
The chart of Sharpe ratio for VNQ, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Sortino ratio
The chart of Sortino ratio for VNQ, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for VNQ, currently valued at 1.41, compared to the broader market1.001.502.002.503.003.501.41
Calmar ratio
The chart of Calmar ratio for VNQ, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.17
Martin ratio
The chart of Martin ratio for VNQ, currently valued at 8.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.94
VYM
Sharpe ratio
The chart of Sharpe ratio for VYM, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Sortino ratio
The chart of Sortino ratio for VYM, currently valued at 4.51, compared to the broader market0.005.0010.004.51
Omega ratio
The chart of Omega ratio for VYM, currently valued at 1.58, compared to the broader market1.001.502.002.503.003.501.58
Calmar ratio
The chart of Calmar ratio for VYM, currently valued at 3.84, compared to the broader market0.005.0010.0015.003.84
Martin ratio
The chart of Martin ratio for VYM, currently valued at 21.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.51

VNQ vs. VYM - Sharpe Ratio Comparison

The current VNQ Sharpe Ratio is 2.28, which is comparable to the VYM Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of VNQ and VYM, 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 Ratio0.001.002.003.00MayJuneJulyAugustSeptemberOctober
2.28
3.24
VNQ
VYM

Dividends

VNQ vs. VYM - Dividend Comparison

VNQ's dividend yield for the trailing twelve months is around 3.82%, more than VYM's 2.82% yield.


TTM20232022202120202019201820172016201520142013
VNQ
Vanguard Real Estate ETF
3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VYM
Vanguard High Dividend Yield ETF
2.82%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

VNQ vs. VYM - Drawdown Comparison

The maximum VNQ drawdown since its inception was -73.07%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for VNQ and VYM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-8.34%
-2.21%
VNQ
VYM

Volatility

VNQ vs. VYM - Volatility Comparison

Vanguard Real Estate ETF (VNQ) has a higher volatility of 3.90% compared to Vanguard High Dividend Yield ETF (VYM) at 2.72%. This indicates that VNQ's price experiences larger fluctuations and is considered to be riskier than VYM 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%MayJuneJulyAugustSeptemberOctober
3.90%
2.72%
VNQ
VYM