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VWEAX vs. FDHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VWEAXFDHY
YTD Return6.48%7.81%
1Y Return12.98%13.88%
3Y Return (Ann)2.78%2.05%
5Y Return (Ann)3.86%4.62%
Sharpe Ratio3.442.86
Sortino Ratio5.914.63
Omega Ratio1.901.56
Calmar Ratio3.071.93
Martin Ratio22.4523.59
Ulcer Index0.56%0.57%
Daily Std Dev3.64%4.69%
Max Drawdown-30.03%-20.01%
Current Drawdown-0.20%-0.21%

Correlation

-0.50.00.51.00.6

The correlation between VWEAX and FDHY is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VWEAX vs. FDHY - Performance Comparison

In the year-to-date period, VWEAX achieves a 6.48% return, which is significantly lower than FDHY's 7.81% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%35.00%40.00%JuneJulyAugustSeptemberOctoberNovember
34.48%
41.13%
VWEAX
FDHY

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VWEAX vs. FDHY - Expense Ratio Comparison

VWEAX has a 0.13% expense ratio, which is lower than FDHY's 0.45% expense ratio.


FDHY
Fidelity High Yield Factor ETF
Expense ratio chart for FDHY: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VWEAX: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VWEAX vs. FDHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard High-Yield Corporate Fund Admiral Shares (VWEAX) and Fidelity High Yield Factor ETF (FDHY). 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.


VWEAX
Sharpe ratio
The chart of Sharpe ratio for VWEAX, currently valued at 3.44, compared to the broader market0.002.004.003.44
Sortino ratio
The chart of Sortino ratio for VWEAX, currently valued at 5.91, compared to the broader market0.005.0010.005.91
Omega ratio
The chart of Omega ratio for VWEAX, currently valued at 1.90, compared to the broader market1.002.003.004.001.90
Calmar ratio
The chart of Calmar ratio for VWEAX, currently valued at 3.07, compared to the broader market0.005.0010.0015.0020.0025.003.07
Martin ratio
The chart of Martin ratio for VWEAX, currently valued at 22.45, compared to the broader market0.0020.0040.0060.0080.00100.0022.45
FDHY
Sharpe ratio
The chart of Sharpe ratio for FDHY, currently valued at 2.86, compared to the broader market0.002.004.002.86
Sortino ratio
The chart of Sortino ratio for FDHY, currently valued at 4.63, compared to the broader market0.005.0010.004.63
Omega ratio
The chart of Omega ratio for FDHY, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for FDHY, currently valued at 1.93, compared to the broader market0.005.0010.0015.0020.0025.001.93
Martin ratio
The chart of Martin ratio for FDHY, currently valued at 23.59, compared to the broader market0.0020.0040.0060.0080.00100.0023.59

VWEAX vs. FDHY - Sharpe Ratio Comparison

The current VWEAX Sharpe Ratio is 3.44, which is comparable to the FDHY Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of VWEAX and FDHY, 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 Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.44
2.86
VWEAX
FDHY

Dividends

VWEAX vs. FDHY - Dividend Comparison

VWEAX's dividend yield for the trailing twelve months is around 6.08%, less than FDHY's 6.41% yield.


TTM20232022202120202019201820172016201520142013
VWEAX
Vanguard High-Yield Corporate Fund Admiral Shares
6.08%5.79%5.20%4.24%4.72%5.32%6.10%5.42%5.49%5.99%5.71%5.89%
FDHY
Fidelity High Yield Factor ETF
6.41%6.26%5.34%6.09%5.78%4.94%3.07%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VWEAX vs. FDHY - Drawdown Comparison

The maximum VWEAX drawdown since its inception was -30.03%, which is greater than FDHY's maximum drawdown of -20.01%. Use the drawdown chart below to compare losses from any high point for VWEAX and FDHY. For additional features, visit the drawdowns tool.


-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.20%
-0.21%
VWEAX
FDHY

Volatility

VWEAX vs. FDHY - Volatility Comparison

The current volatility for Vanguard High-Yield Corporate Fund Admiral Shares (VWEAX) is 0.65%, while Fidelity High Yield Factor ETF (FDHY) has a volatility of 1.06%. This indicates that VWEAX experiences smaller price fluctuations and is considered to be less risky than FDHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
0.65%
1.06%
VWEAX
FDHY