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VONE vs. IWD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VONE vs. IWD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Russell 1000 ETF (VONE) and iShares Russell 1000 Value ETF (IWD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.93%
13.05%
VONE
IWD

Returns By Period

In the year-to-date period, VONE achieves a 26.59% return, which is significantly higher than IWD's 21.30% return. Over the past 10 years, VONE has outperformed IWD with an annualized return of 12.96%, while IWD has yielded a comparatively lower 9.00% annualized return.


VONE

YTD

26.59%

1M

3.73%

6M

13.93%

1Y

33.49%

5Y (annualized)

15.55%

10Y (annualized)

12.96%

IWD

YTD

21.30%

1M

3.53%

6M

13.05%

1Y

29.54%

5Y (annualized)

10.58%

10Y (annualized)

9.00%

Key characteristics


VONEIWD
Sharpe Ratio2.722.71
Sortino Ratio3.623.80
Omega Ratio1.511.49
Calmar Ratio3.925.45
Martin Ratio17.6416.99
Ulcer Index1.90%1.74%
Daily Std Dev12.30%10.91%
Max Drawdown-34.67%-60.10%
Current Drawdown-0.36%0.00%

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VONE vs. IWD - Expense Ratio Comparison

VONE has a 0.08% expense ratio, which is lower than IWD's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IWD
iShares Russell 1000 Value ETF
Expense ratio chart for IWD: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VONE: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between VONE and IWD 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.

Risk-Adjusted Performance

VONE vs. IWD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 ETF (VONE) and iShares Russell 1000 Value ETF (IWD). 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 VONE, currently valued at 2.72, compared to the broader market0.002.004.002.722.71
The chart of Sortino ratio for VONE, currently valued at 3.62, compared to the broader market-2.000.002.004.006.008.0010.0012.003.623.80
The chart of Omega ratio for VONE, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.001.511.49
The chart of Calmar ratio for VONE, currently valued at 3.92, compared to the broader market0.005.0010.0015.0020.003.925.45
The chart of Martin ratio for VONE, currently valued at 17.64, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.6416.99
VONE
IWD

The current VONE Sharpe Ratio is 2.72, which is comparable to the IWD Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of VONE and IWD, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.72
2.71
VONE
IWD

Dividends

VONE vs. IWD - Dividend Comparison

VONE's dividend yield for the trailing twelve months is around 1.20%, less than IWD's 1.75% yield.


TTM20232022202120202019201820172016201520142013
VONE
Vanguard Russell 1000 ETF
1.20%1.40%1.59%1.16%1.45%1.66%1.96%1.69%1.89%1.89%1.68%1.70%
IWD
iShares Russell 1000 Value ETF
1.75%2.02%2.15%1.62%2.05%2.45%2.71%2.09%2.25%2.47%2.00%1.95%

Drawdowns

VONE vs. IWD - Drawdown Comparison

The maximum VONE drawdown since its inception was -34.67%, smaller than the maximum IWD drawdown of -60.10%. Use the drawdown chart below to compare losses from any high point for VONE and IWD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.36%
0
VONE
IWD

Volatility

VONE vs. IWD - Volatility Comparison

Vanguard Russell 1000 ETF (VONE) has a higher volatility of 4.03% compared to iShares Russell 1000 Value ETF (IWD) at 3.81%. This indicates that VONE's price experiences larger fluctuations and is considered to be riskier than IWD 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%JuneJulyAugustSeptemberOctoberNovember
4.03%
3.81%
VONE
IWD