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

Key characteristics


VONVIWY
YTD Return20.60%32.94%
1Y Return33.47%42.23%
3Y Return (Ann)7.89%11.84%
5Y Return (Ann)10.66%21.39%
10Y Return (Ann)9.19%17.82%
Sharpe Ratio3.192.44
Sortino Ratio4.473.14
Omega Ratio1.591.44
Calmar Ratio4.173.03
Martin Ratio20.2611.56
Ulcer Index1.72%3.64%
Daily Std Dev10.91%17.22%
Max Drawdown-38.21%-32.68%
Current Drawdown0.00%-0.09%

Correlation

-0.50.00.51.00.7

The correlation between VONV and IWY is 0.73, 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

VONV vs. IWY - Performance Comparison

In the year-to-date period, VONV achieves a 20.60% return, which is significantly lower than IWY's 32.94% return. Over the past 10 years, VONV has underperformed IWY with an annualized return of 9.19%, while IWY has yielded a comparatively higher 17.82% 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%JuneJulyAugustSeptemberOctoberNovember
11.79%
17.94%
VONV
IWY

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VONV vs. IWY - Expense Ratio Comparison

VONV has a 0.08% expense ratio, which is lower than IWY's 0.20% 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%.


IWY
iShares Russell Top 200 Growth ETF
Expense ratio chart for IWY: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

VONV vs. IWY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and iShares Russell Top 200 Growth ETF (IWY). 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.


VONV
Sharpe ratio
The chart of Sharpe ratio for VONV, currently valued at 3.07, compared to the broader market-2.000.002.004.003.07
Sortino ratio
The chart of Sortino ratio for VONV, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for VONV, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for VONV, currently valued at 4.00, compared to the broader market0.005.0010.0015.004.00
Martin ratio
The chart of Martin ratio for VONV, currently valued at 19.46, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.46
IWY
Sharpe ratio
The chart of Sharpe ratio for IWY, currently valued at 2.44, compared to the broader market-2.000.002.004.002.44
Sortino ratio
The chart of Sortino ratio for IWY, currently valued at 3.14, compared to the broader market0.005.0010.003.14
Omega ratio
The chart of Omega ratio for IWY, currently valued at 1.44, compared to the broader market1.001.502.002.503.001.44
Calmar ratio
The chart of Calmar ratio for IWY, currently valued at 3.03, compared to the broader market0.005.0010.0015.003.03
Martin ratio
The chart of Martin ratio for IWY, currently valued at 11.55, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.56

VONV vs. IWY - Sharpe Ratio Comparison

The current VONV Sharpe Ratio is 3.19, which is higher than the IWY Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of VONV and IWY, 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
3.07
2.44
VONV
IWY

Dividends

VONV vs. IWY - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.88%, more than IWY's 0.49% yield.


TTM20232022202120202019201820172016201520142013
VONV
Vanguard Russell 1000 Value ETF
1.88%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%1.92%
IWY
iShares Russell Top 200 Growth ETF
0.49%0.68%0.88%0.50%0.71%1.06%1.32%1.26%1.51%1.58%1.44%1.56%

Drawdowns

VONV vs. IWY - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, which is greater than IWY's maximum drawdown of -32.68%. Use the drawdown chart below to compare losses from any high point for VONV and IWY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.09%
VONV
IWY

Volatility

VONV vs. IWY - Volatility Comparison

The current volatility for Vanguard Russell 1000 Value ETF (VONV) is 3.72%, while iShares Russell Top 200 Growth ETF (IWY) has a volatility of 5.21%. This indicates that VONV experiences smaller price fluctuations and is considered to be less risky than IWY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.72%
5.21%
VONV
IWY