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

Performance

VONV vs. IWD - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.65%
9.55%
VONV
IWD

Returns By Period

The year-to-date returns for both stocks are quite close, with VONV having a 19.08% return and IWD slightly lower at 18.98%. Both investments have delivered pretty close results over the past 10 years, with VONV having a 8.89% annualized return and IWD not far behind at 8.80%.


VONV

YTD

19.08%

1M

0.14%

6M

9.73%

1Y

28.07%

5Y (annualized)

10.36%

10Y (annualized)

8.89%

IWD

YTD

18.98%

1M

0.14%

6M

9.71%

1Y

27.89%

5Y (annualized)

10.23%

10Y (annualized)

8.80%

Key characteristics


VONVIWD
Sharpe Ratio2.672.63
Sortino Ratio3.753.70
Omega Ratio1.491.47
Calmar Ratio5.054.85
Martin Ratio16.6116.46
Ulcer Index1.73%1.73%
Daily Std Dev10.76%10.86%
Max Drawdown-38.21%-60.10%
Current Drawdown-1.26%-1.28%

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VONV vs. IWD - Expense Ratio Comparison

VONV 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 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%

Correlation

-0.50.00.51.01.0

The correlation between VONV and IWD is 0.97, 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

VONV vs. IWD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) 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 VONV, currently valued at 2.67, compared to the broader market0.002.004.002.672.63
The chart of Sortino ratio for VONV, currently valued at 3.75, compared to the broader market-2.000.002.004.006.008.0010.003.753.70
The chart of Omega ratio for VONV, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.47
The chart of Calmar ratio for VONV, currently valued at 5.05, compared to the broader market0.005.0010.0015.005.054.85
The chart of Martin ratio for VONV, currently valued at 16.61, compared to the broader market0.0020.0040.0060.0080.00100.0016.6116.46
VONV
IWD

The current VONV Sharpe Ratio is 2.67, which is comparable to the IWD Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of VONV 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.67
2.63
VONV
IWD

Dividends

VONV vs. IWD - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.91%, more than IWD's 1.78% yield.


TTM20232022202120202019201820172016201520142013
VONV
Vanguard Russell 1000 Value ETF
1.91%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%1.92%
IWD
iShares Russell 1000 Value ETF
1.78%2.02%2.15%1.62%2.05%2.45%2.71%2.09%2.25%2.47%2.00%1.95%

Drawdowns

VONV vs. IWD - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, smaller than the maximum IWD drawdown of -60.10%. Use the drawdown chart below to compare losses from any high point for VONV and IWD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.26%
-1.28%
VONV
IWD

Volatility

VONV vs. IWD - Volatility Comparison

Vanguard Russell 1000 Value ETF (VONV) and iShares Russell 1000 Value ETF (IWD) have volatilities of 3.78% and 3.74%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.78%
3.74%
VONV
IWD