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

Key characteristics


VONVVONE
YTD Return19.78%26.55%
1Y Return29.73%35.30%
3Y Return (Ann)7.62%9.32%
5Y Return (Ann)10.37%15.52%
10Y Return (Ann)9.10%13.13%
Sharpe Ratio2.983.08
Sortino Ratio4.204.10
Omega Ratio1.551.58
Calmar Ratio5.154.46
Martin Ratio18.9420.24
Ulcer Index1.72%1.88%
Daily Std Dev10.92%12.37%
Max Drawdown-38.21%-34.67%
Current Drawdown-0.68%-0.39%

Correlation

-0.50.00.51.00.9

The correlation between VONV and VONE is 0.89, 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. VONE - Performance Comparison

In the year-to-date period, VONV achieves a 19.78% return, which is significantly lower than VONE's 26.55% return. Over the past 10 years, VONV has underperformed VONE with an annualized return of 9.10%, while VONE has yielded a comparatively higher 13.13% 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%JuneJulyAugustSeptemberOctoberNovember
10.24%
13.62%
VONV
VONE

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VONV vs. VONE - Expense Ratio Comparison

Both VONV and VONE have an expense ratio of 0.08%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 VONE: 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. VONE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and Vanguard Russell 1000 ETF (VONE). 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 4.20, compared to the broader market-2.000.002.004.006.008.0010.0012.004.20
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 5.15, compared to the broader market0.005.0010.0015.005.15
Martin ratio
The chart of Martin ratio for VONV, currently valued at 18.94, compared to the broader market0.0020.0040.0060.0080.00100.0018.94
VONE
Sharpe ratio
The chart of Sharpe ratio for VONE, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for VONE, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for VONE, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for VONE, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for VONE, currently valued at 20.24, compared to the broader market0.0020.0040.0060.0080.00100.0020.24

VONV vs. VONE - Sharpe Ratio Comparison

The current VONV Sharpe Ratio is 2.98, which is comparable to the VONE Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of VONV and VONE, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.98
3.08
VONV
VONE

Dividends

VONV vs. VONE - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.90%, more than VONE's 1.20% 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%
VONE
Vanguard Russell 1000 ETF
1.20%1.40%1.59%1.16%1.45%1.66%1.96%1.69%1.89%1.89%1.68%1.70%

Drawdowns

VONV vs. VONE - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, which is greater than VONE's maximum drawdown of -34.67%. Use the drawdown chart below to compare losses from any high point for VONV and VONE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.68%
-0.39%
VONV
VONE

Volatility

VONV vs. VONE - Volatility Comparison

Vanguard Russell 1000 Value ETF (VONV) and Vanguard Russell 1000 ETF (VONE) have volatilities of 3.76% and 3.80%, 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.76%
3.80%
VONV
VONE