PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VONV vs. RPV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VONV and RPV is 0.91, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

VONV vs. RPV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Russell 1000 Value ETF (VONV) and Invesco S&P 500® Pure Value ETF (RPV). The values are adjusted to include any dividend payments, if applicable.

320.00%340.00%360.00%380.00%400.00%NovemberDecember2025FebruaryMarchApril
346.38%
393.27%
VONV
RPV

Key characteristics

Sharpe Ratio

VONV:

0.73

RPV:

0.56

Sortino Ratio

VONV:

1.10

RPV:

0.90

Omega Ratio

VONV:

1.13

RPV:

1.10

Calmar Ratio

VONV:

1.05

RPV:

0.95

Martin Ratio

VONV:

2.80

RPV:

2.18

Ulcer Index

VONV:

3.02%

RPV:

3.80%

Daily Std Dev

VONV:

11.67%

RPV:

14.79%

Max Drawdown

VONV:

-38.21%

RPV:

-75.32%

Current Drawdown

VONV:

-4.27%

RPV:

-3.18%

Returns By Period

In the year-to-date period, VONV achieves a 2.76% return, which is significantly lower than RPV's 3.75% return. Over the past 10 years, VONV has outperformed RPV with an annualized return of 8.78%, while RPV has yielded a comparatively lower 8.00% annualized return.


VONV

YTD

2.76%

1M

-1.16%

6M

1.21%

1Y

9.02%

5Y*

17.27%

10Y*

8.78%

RPV

YTD

3.75%

1M

2.26%

6M

7.20%

1Y

9.34%

5Y*

23.06%

10Y*

8.00%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VONV vs. RPV - Expense Ratio Comparison

VONV has a 0.08% expense ratio, which is lower than RPV's 0.35% expense ratio.


RPV
Invesco S&P 500® Pure Value ETF
Expense ratio chart for RPV: current value is 0.35%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
RPV: 0.35%
Expense ratio chart for VONV: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VONV: 0.08%

Risk-Adjusted Performance

VONV vs. RPV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VONV
The Risk-Adjusted Performance Rank of VONV is 6666
Overall Rank
The Sharpe Ratio Rank of VONV is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of VONV is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VONV is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VONV is 7575
Calmar Ratio Rank
The Martin Ratio Rank of VONV is 6363
Martin Ratio Rank

RPV
The Risk-Adjusted Performance Rank of RPV is 5757
Overall Rank
The Sharpe Ratio Rank of RPV is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of RPV is 5454
Sortino Ratio Rank
The Omega Ratio Rank of RPV is 5050
Omega Ratio Rank
The Calmar Ratio Rank of RPV is 7272
Calmar Ratio Rank
The Martin Ratio Rank of RPV is 5454
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VONV vs. RPV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and Invesco S&P 500® Pure Value ETF (RPV). 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 0.73, compared to the broader market-1.000.001.002.003.004.005.00
VONV: 0.73
RPV: 0.56
The chart of Sortino ratio for VONV, currently valued at 1.10, compared to the broader market-2.000.002.004.006.008.0010.0012.00
VONV: 1.10
RPV: 0.90
The chart of Omega ratio for VONV, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.00
VONV: 1.13
RPV: 1.10
The chart of Calmar ratio for VONV, currently valued at 1.05, compared to the broader market0.005.0010.0015.00
VONV: 1.05
RPV: 0.95
The chart of Martin ratio for VONV, currently valued at 2.80, compared to the broader market0.0020.0040.0060.0080.00100.00
VONV: 2.80
RPV: 2.18

The current VONV Sharpe Ratio is 0.73, which is comparable to the RPV Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of VONV and RPV, 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 Ratio0.501.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
0.73
0.56
VONV
RPV

Dividends

VONV vs. RPV - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.98%, less than RPV's 2.25% yield.


TTM20242023202220212020201920182017201620152014
VONV
Vanguard Russell 1000 Value ETF
1.98%1.97%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%
RPV
Invesco S&P 500® Pure Value ETF
2.25%2.16%2.38%2.29%1.92%2.11%2.28%2.49%1.73%1.73%2.39%1.57%

Drawdowns

VONV vs. RPV - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, smaller than the maximum RPV drawdown of -75.32%. Use the drawdown chart below to compare losses from any high point for VONV and RPV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-4.27%
-3.18%
VONV
RPV

Volatility

VONV vs. RPV - Volatility Comparison

Vanguard Russell 1000 Value ETF (VONV) and Invesco S&P 500® Pure Value ETF (RPV) have volatilities of 4.25% and 4.17%, 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%NovemberDecember2025FebruaryMarchApril
4.25%
4.17%
VONV
RPV
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2025 PortfoliosLab