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VWNDX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VWNDXVOO
YTD Return14.60%26.94%
1Y Return24.34%35.06%
3Y Return (Ann)8.68%10.23%
5Y Return (Ann)12.83%15.77%
10Y Return (Ann)10.18%13.41%
Sharpe Ratio2.383.08
Sortino Ratio3.414.09
Omega Ratio1.431.58
Calmar Ratio5.034.46
Martin Ratio14.9420.36
Ulcer Index1.83%1.85%
Daily Std Dev11.52%12.23%
Max Drawdown-61.48%-33.99%
Current Drawdown-0.73%-0.25%

Correlation

-0.50.00.51.00.9

The correlation between VWNDX and VOO 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.

Performance

VWNDX vs. VOO - Performance Comparison

In the year-to-date period, VWNDX achieves a 14.60% return, which is significantly lower than VOO's 26.94% return. Over the past 10 years, VWNDX has underperformed VOO with an annualized return of 10.18%, while VOO has yielded a comparatively higher 13.41% 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%JuneJulyAugustSeptemberOctoberNovember
7.59%
13.51%
VWNDX
VOO

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VWNDX vs. VOO - Expense Ratio Comparison

VWNDX has a 0.30% expense ratio, which is higher than VOO's 0.03% expense ratio.


VWNDX
Vanguard Windsor Fund Investor Shares
Expense ratio chart for VWNDX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for VOO: 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%

Risk-Adjusted Performance

VWNDX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Windsor Fund Investor Shares (VWNDX) and Vanguard S&P 500 ETF (VOO). 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.


VWNDX
Sharpe ratio
The chart of Sharpe ratio for VWNDX, currently valued at 2.38, compared to the broader market0.002.004.002.38
Sortino ratio
The chart of Sortino ratio for VWNDX, currently valued at 3.41, compared to the broader market0.005.0010.003.41
Omega ratio
The chart of Omega ratio for VWNDX, currently valued at 1.43, compared to the broader market1.002.003.004.001.43
Calmar ratio
The chart of Calmar ratio for VWNDX, currently valued at 5.03, compared to the broader market0.005.0010.0015.0020.0025.005.03
Martin ratio
The chart of Martin ratio for VWNDX, currently valued at 14.94, compared to the broader market0.0020.0040.0060.0080.00100.0014.94
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.09, compared to the broader market0.005.0010.004.09
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.0025.004.46
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.36, compared to the broader market0.0020.0040.0060.0080.00100.0020.36

VWNDX vs. VOO - Sharpe Ratio Comparison

The current VWNDX Sharpe Ratio is 2.38, which is comparable to the VOO Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of VWNDX and VOO, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.38
3.08
VWNDX
VOO

Dividends

VWNDX vs. VOO - Dividend Comparison

VWNDX's dividend yield for the trailing twelve months is around 1.96%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
VWNDX
Vanguard Windsor Fund Investor Shares
1.96%1.90%1.71%1.55%1.87%1.93%2.41%1.58%1.99%1.88%1.35%0.96%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

VWNDX vs. VOO - Drawdown Comparison

The maximum VWNDX drawdown since its inception was -61.48%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VWNDX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.73%
-0.25%
VWNDX
VOO

Volatility

VWNDX vs. VOO - Volatility Comparison

Vanguard Windsor Fund Investor Shares (VWNDX) has a higher volatility of 4.01% compared to Vanguard S&P 500 ETF (VOO) at 3.78%. This indicates that VWNDX's price experiences larger fluctuations and is considered to be riskier than VOO 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
4.01%
3.78%
VWNDX
VOO