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

Key characteristics


VONVVIOV
YTD Return19.74%13.40%
1Y Return32.55%36.60%
3Y Return (Ann)7.62%3.48%
5Y Return (Ann)10.48%10.09%
10Y Return (Ann)9.10%8.99%
Sharpe Ratio2.981.66
Sortino Ratio4.192.47
Omega Ratio1.551.30
Calmar Ratio3.891.85
Martin Ratio18.907.77
Ulcer Index1.72%4.66%
Daily Std Dev10.92%21.80%
Max Drawdown-38.21%-47.36%
Current Drawdown-0.72%-1.70%

Correlation

-0.50.00.51.00.8

The correlation between VONV and VIOV is 0.82, 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. VIOV - Performance Comparison

In the year-to-date period, VONV achieves a 19.74% return, which is significantly higher than VIOV's 13.40% return. Both investments have delivered pretty close results over the past 10 years, with VONV having a 9.10% annualized return and VIOV not far behind at 8.99%. 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
10.20%
13.96%
VONV
VIOV

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VONV vs. VIOV - Expense Ratio Comparison

VONV has a 0.08% expense ratio, which is lower than VIOV's 0.15% 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%.


VIOV
Vanguard S&P Small-Cap 600 Value ETF
Expense ratio chart for VIOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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. VIOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and Vanguard S&P Small-Cap 600 Value ETF (VIOV). 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 2.98, compared to the broader market-2.000.002.004.006.002.98
Sortino ratio
The chart of Sortino ratio for VONV, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for VONV, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for VONV, currently valued at 3.89, compared to the broader market0.005.0010.0015.003.89
Martin ratio
The chart of Martin ratio for VONV, currently valued at 18.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.90
VIOV
Sharpe ratio
The chart of Sharpe ratio for VIOV, currently valued at 1.66, compared to the broader market-2.000.002.004.006.001.66
Sortino ratio
The chart of Sortino ratio for VIOV, currently valued at 2.47, compared to the broader market-2.000.002.004.006.008.0010.0012.002.47
Omega ratio
The chart of Omega ratio for VIOV, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for VIOV, currently valued at 1.85, compared to the broader market0.005.0010.0015.001.85
Martin ratio
The chart of Martin ratio for VIOV, currently valued at 7.77, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.77

VONV vs. VIOV - Sharpe Ratio Comparison

The current VONV Sharpe Ratio is 2.98, which is higher than the VIOV Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of VONV and VIOV, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.98
1.66
VONV
VIOV

Dividends

VONV vs. VIOV - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.90%, less than VIOV's 2.16% yield.


TTM20232022202120202019201820172016201520142013
VONV
Vanguard Russell 1000 Value ETF
1.90%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%1.92%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
2.16%2.18%1.81%1.59%1.42%1.60%1.76%1.43%1.17%1.32%1.27%0.91%

Drawdowns

VONV vs. VIOV - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, smaller than the maximum VIOV drawdown of -47.36%. Use the drawdown chart below to compare losses from any high point for VONV and VIOV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.72%
-1.70%
VONV
VIOV

Volatility

VONV vs. VIOV - Volatility Comparison

The current volatility for Vanguard Russell 1000 Value ETF (VONV) is 3.80%, while Vanguard S&P Small-Cap 600 Value ETF (VIOV) has a volatility of 7.72%. This indicates that VONV experiences smaller price fluctuations and is considered to be less risky than VIOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
7.72%
VONV
VIOV