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

Performance

VONV vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Russell 1000 Value ETF (VONV) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.56%
13.45%
VONV
VTI

Returns By Period

In the year-to-date period, VONV achieves a 19.07% return, which is significantly lower than VTI's 24.77% return. Over the past 10 years, VONV has underperformed VTI with an annualized return of 8.88%, while VTI has yielded a comparatively higher 12.63% annualized return.


VONV

YTD

19.07%

1M

1.04%

6M

9.93%

1Y

27.74%

5Y (annualized)

10.29%

10Y (annualized)

8.88%

VTI

YTD

24.77%

1M

1.74%

6M

12.48%

1Y

32.60%

5Y (annualized)

14.96%

10Y (annualized)

12.63%

Key characteristics


VONVVTI
Sharpe Ratio2.562.58
Sortino Ratio3.613.45
Omega Ratio1.471.48
Calmar Ratio5.063.76
Martin Ratio15.9016.48
Ulcer Index1.73%1.96%
Daily Std Dev10.75%12.50%
Max Drawdown-38.21%-55.45%
Current Drawdown-1.28%-1.53%

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VONV vs. VTI - Expense Ratio Comparison

VONV has a 0.08% expense ratio, which is higher than VTI's 0.03% 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.9

The correlation between VONV and VTI is 0.90, 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.

Risk-Adjusted Performance

VONV vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 1000 Value ETF (VONV) and Vanguard Total Stock Market ETF (VTI). 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 2.56, compared to the broader market0.002.004.002.562.58
The chart of Sortino ratio for VONV, currently valued at 3.61, compared to the broader market-2.000.002.004.006.008.0010.0012.003.613.45
The chart of Omega ratio for VONV, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.48
The chart of Calmar ratio for VONV, currently valued at 5.06, compared to the broader market0.005.0010.0015.005.063.76
The chart of Martin ratio for VONV, currently valued at 15.90, compared to the broader market0.0020.0040.0060.0080.00100.0015.9016.48
VONV
VTI

The current VONV Sharpe Ratio is 2.56, which is comparable to the VTI Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of VONV and VTI, 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
2.56
2.58
VONV
VTI

Dividends

VONV vs. VTI - Dividend Comparison

VONV's dividend yield for the trailing twelve months is around 1.91%, more than VTI's 1.28% yield.


TTM20232022202120202019201820172016201520142013
VONV
Vanguard Russell 1000 Value ETF
1.91%2.09%2.23%1.67%2.25%2.30%2.56%2.18%2.39%2.38%2.10%1.92%
VTI
Vanguard Total Stock Market ETF
1.28%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

VONV vs. VTI - Drawdown Comparison

The maximum VONV drawdown since its inception was -38.21%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for VONV and VTI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.28%
-1.53%
VONV
VTI

Volatility

VONV vs. VTI - Volatility Comparison

The current volatility for Vanguard Russell 1000 Value ETF (VONV) is 3.67%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 4.28%. This indicates that VONV experiences smaller price fluctuations and is considered to be less risky than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.67%
4.28%
VONV
VTI