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

Key characteristics


VONVVOE
YTD Return20.60%21.05%
1Y Return33.47%35.81%
3Y Return (Ann)7.89%7.23%
5Y Return (Ann)10.66%10.95%
10Y Return (Ann)9.19%9.48%
Sharpe Ratio3.193.08
Sortino Ratio4.474.31
Omega Ratio1.591.55
Calmar Ratio4.173.05
Martin Ratio20.2619.39
Ulcer Index1.72%1.92%
Daily Std Dev10.91%12.05%
Max Drawdown-38.21%-61.55%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VONV and VOE is 0.94, 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. VOE - Performance Comparison

The year-to-date returns for both investments are quite close, with VONV having a 20.60% return and VOE slightly higher at 21.05%. Both investments have delivered pretty close results over the past 10 years, with VONV having a 9.19% annualized return and VOE not far ahead at 9.48%. 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%JuneJulyAugustSeptemberOctoberNovember
11.79%
12.99%
VONV
VOE

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VONV vs. VOE - Expense Ratio Comparison

VONV has a 0.08% expense ratio, which is higher than VOE's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VONV
Vanguard Russell 1000 Value ETF
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%
Expense ratio chart for VOE: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VONV vs. VOE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and Vanguard Mid-Cap Value ETF (VOE). 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 3.19, compared to the broader market-2.000.002.004.003.19
Sortino ratio
The chart of Sortino ratio for VONV, currently valued at 4.47, compared to the broader market0.005.0010.004.47
Omega ratio
The chart of Omega ratio for VONV, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for VONV, currently valued at 4.17, compared to the broader market0.005.0010.0015.004.17
Martin ratio
The chart of Martin ratio for VONV, currently valued at 20.26, compared to the broader market0.0020.0040.0060.0080.00100.0020.26
VOE
Sharpe ratio
The chart of Sharpe ratio for VOE, currently valued at 3.08, compared to the broader market-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for VOE, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for VOE, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for VOE, currently valued at 3.05, compared to the broader market0.005.0010.0015.003.05
Martin ratio
The chart of Martin ratio for VOE, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.0019.39

VONV vs. VOE - Sharpe Ratio Comparison

The current VONV Sharpe Ratio is 3.19, which is comparable to the VOE Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of VONV and VOE, 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
3.19
3.08
VONV
VOE

Dividends

VONV vs. VOE - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.88%, less than VOE's 2.04% 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%
VOE
Vanguard Mid-Cap Value ETF
2.04%2.27%2.27%1.78%2.36%2.05%2.75%1.86%1.92%2.05%1.67%1.53%

Drawdowns

VONV vs. VOE - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, smaller than the maximum VOE drawdown of -61.55%. Use the drawdown chart below to compare losses from any high point for VONV and VOE. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VONV
VOE

Volatility

VONV vs. VOE - Volatility Comparison

Vanguard Russell 1000 Value ETF (VONV) has a higher volatility of 3.76% compared to Vanguard Mid-Cap Value ETF (VOE) at 3.44%. This indicates that VONV's price experiences larger fluctuations and is considered to be riskier than VOE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.76%
3.44%
VONV
VOE