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

Key characteristics


VONEVB
YTD Return26.55%19.30%
1Y Return35.30%33.66%
3Y Return (Ann)9.32%3.60%
5Y Return (Ann)15.52%11.05%
10Y Return (Ann)13.13%9.79%
Sharpe Ratio3.082.25
Sortino Ratio4.103.14
Omega Ratio1.581.39
Calmar Ratio4.462.20
Martin Ratio20.2412.84
Ulcer Index1.88%3.09%
Daily Std Dev12.37%17.65%
Max Drawdown-34.67%-59.58%
Current Drawdown-0.39%-1.66%

Correlation

-0.50.00.51.00.9

The correlation between VONE and VB is 0.89, 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.

Performance

VONE vs. VB - Performance Comparison

In the year-to-date period, VONE achieves a 26.55% return, which is significantly higher than VB's 19.30% return. Over the past 10 years, VONE has outperformed VB with an annualized return of 13.13%, while VB has yielded a comparatively lower 9.79% annualized 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
13.62%
11.81%
VONE
VB

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VONE vs. VB - Expense Ratio Comparison

VONE has a 0.08% expense ratio, which is higher than VB's 0.05% 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%.


VONE
Vanguard Russell 1000 ETF
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%
Expense ratio chart for VB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

VONE vs. VB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 ETF (VONE) and Vanguard Small-Cap ETF (VB). 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.


VONE
Sharpe ratio
The chart of Sharpe ratio for VONE, currently valued at 3.08, compared to the broader market-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for VONE, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for VONE, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for VONE, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for VONE, currently valued at 20.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.24
VB
Sharpe ratio
The chart of Sharpe ratio for VB, currently valued at 2.25, compared to the broader market-2.000.002.004.002.25
Sortino ratio
The chart of Sortino ratio for VB, currently valued at 3.14, compared to the broader market-2.000.002.004.006.008.0010.0012.003.14
Omega ratio
The chart of Omega ratio for VB, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for VB, currently valued at 2.20, compared to the broader market0.005.0010.0015.002.20
Martin ratio
The chart of Martin ratio for VB, currently valued at 12.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.84

VONE vs. VB - Sharpe Ratio Comparison

The current VONE Sharpe Ratio is 3.08, which is higher than the VB Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VONE and VB, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.08
2.25
VONE
VB

Dividends

VONE vs. VB - Dividend Comparison

VONE's dividend yield for the trailing twelve months is around 1.20%, less than VB's 1.31% 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%
VB
Vanguard Small-Cap ETF
1.31%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%

Drawdowns

VONE vs. VB - Drawdown Comparison

The maximum VONE drawdown since its inception was -34.67%, smaller than the maximum VB drawdown of -59.58%. Use the drawdown chart below to compare losses from any high point for VONE and VB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.39%
-1.66%
VONE
VB

Volatility

VONE vs. VB - Volatility Comparison

The current volatility for Vanguard Russell 1000 ETF (VONE) is 3.80%, while Vanguard Small-Cap ETF (VB) has a volatility of 5.47%. This indicates that VONE experiences smaller price fluctuations and is considered to be less risky than VB 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%8.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
5.47%
VONE
VB