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VSPVX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VSPVXSPY
YTD Return17.97%27.04%
1Y Return32.15%39.75%
3Y Return (Ann)11.62%10.21%
5Y Return (Ann)12.39%15.93%
10Y Return (Ann)10.66%13.36%
Sharpe Ratio3.053.15
Sortino Ratio4.314.19
Omega Ratio1.561.59
Calmar Ratio5.254.60
Martin Ratio18.4320.85
Ulcer Index1.70%1.85%
Daily Std Dev10.25%12.29%
Max Drawdown-37.05%-55.19%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VSPVX and SPY is 0.92, 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

VSPVX vs. SPY - Performance Comparison

In the year-to-date period, VSPVX achieves a 17.97% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, VSPVX has underperformed SPY with an annualized return of 10.66%, while SPY has yielded a comparatively higher 13.36% 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
10.72%
15.57%
VSPVX
SPY

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VSPVX vs. SPY - Expense Ratio Comparison

VSPVX has a 0.08% expense ratio, which is lower than SPY's 0.09% 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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for VSPVX: 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

VSPVX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 Value Index Fund Institutional Shares (VSPVX) and SPDR S&P 500 ETF (SPY). 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.


VSPVX
Sharpe ratio
The chart of Sharpe ratio for VSPVX, currently valued at 3.05, compared to the broader market0.002.004.003.05
Sortino ratio
The chart of Sortino ratio for VSPVX, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for VSPVX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for VSPVX, currently valued at 5.25, compared to the broader market0.005.0010.0015.0020.0025.005.25
Martin ratio
The chart of Martin ratio for VSPVX, currently valued at 18.43, compared to the broader market0.0020.0040.0060.0080.00100.0018.43
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

VSPVX vs. SPY - Sharpe Ratio Comparison

The current VSPVX Sharpe Ratio is 3.05, which is comparable to the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of VSPVX and SPY, 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
3.05
3.15
VSPVX
SPY

Dividends

VSPVX vs. SPY - Dividend Comparison

VSPVX's dividend yield for the trailing twelve months is around 1.93%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
VSPVX
Vanguard S&P 500 Value Index Fund Institutional Shares
1.93%1.71%2.21%1.88%2.46%2.11%2.73%2.18%2.30%2.47%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VSPVX vs. SPY - Drawdown Comparison

The maximum VSPVX drawdown since its inception was -37.05%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VSPVX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VSPVX
SPY

Volatility

VSPVX vs. SPY - Volatility Comparison

The current volatility for Vanguard S&P 500 Value Index Fund Institutional Shares (VSPVX) is 3.53%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that VSPVX experiences smaller price fluctuations and is considered to be less risky than SPY 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
3.53%
3.95%
VSPVX
SPY