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

Key characteristics


VONEVONV
YTD Return26.74%19.96%
1Y Return40.36%34.12%
3Y Return (Ann)9.37%7.68%
5Y Return (Ann)15.75%10.46%
10Y Return (Ann)13.15%9.09%
Sharpe Ratio3.153.02
Sortino Ratio4.184.25
Omega Ratio1.591.56
Calmar Ratio4.593.57
Martin Ratio20.8419.23
Ulcer Index1.88%1.72%
Daily Std Dev12.47%10.96%
Max Drawdown-34.67%-38.21%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VONE and VONV 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. VONV - Performance Comparison

In the year-to-date period, VONE achieves a 26.74% return, which is significantly higher than VONV's 19.96% return. Over the past 10 years, VONE has outperformed VONV with an annualized return of 13.15%, while VONV has yielded a comparatively lower 9.09% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


300.00%350.00%400.00%450.00%500.00%550.00%JuneJulyAugustSeptemberOctoberNovember
565.24%
355.97%
VONE
VONV

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VONE vs. VONV - Expense Ratio Comparison

Both VONE and VONV have an expense ratio of 0.08%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 VONV: 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%

Risk-Adjusted Performance

VONE vs. VONV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 ETF (VONE) and Vanguard Russell 1000 Value ETF (VONV). 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 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for VONE, currently valued at 4.18, compared to the broader market0.005.0010.004.18
Omega ratio
The chart of Omega ratio for VONE, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for VONE, currently valued at 4.59, compared to the broader market0.005.0010.0015.004.59
Martin ratio
The chart of Martin ratio for VONE, currently valued at 20.84, compared to the broader market0.0020.0040.0060.0080.00100.0020.84
VONV
Sharpe ratio
The chart of Sharpe ratio for VONV, currently valued at 3.02, compared to the broader market-2.000.002.004.006.003.02
Sortino ratio
The chart of Sortino ratio for VONV, currently valued at 4.25, compared to the broader market0.005.0010.004.25
Omega ratio
The chart of Omega ratio for VONV, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for VONV, currently valued at 3.57, compared to the broader market0.005.0010.0015.003.57
Martin ratio
The chart of Martin ratio for VONV, currently valued at 19.23, compared to the broader market0.0020.0040.0060.0080.00100.0019.23

VONE vs. VONV - Sharpe Ratio Comparison

The current VONE Sharpe Ratio is 3.15, which is comparable to the VONV Sharpe Ratio of 3.02. The chart below compares the historical Sharpe Ratios of VONE and VONV, 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
3.15
3.02
VONE
VONV

Dividends

VONE vs. VONV - Dividend Comparison

VONE's dividend yield for the trailing twelve months is around 1.20%, less than VONV's 1.89% 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%
VONV
Vanguard Russell 1000 Value ETF
1.89%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%1.92%

Drawdowns

VONE vs. VONV - Drawdown Comparison

The maximum VONE drawdown since its inception was -34.67%, smaller than the maximum VONV drawdown of -38.21%. Use the drawdown chart below to compare losses from any high point for VONE and VONV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VONE
VONV

Volatility

VONE vs. VONV - Volatility Comparison

Vanguard Russell 1000 ETF (VONE) and Vanguard Russell 1000 Value ETF (VONV) have volatilities of 3.95% and 3.88%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.95%
3.88%
VONE
VONV