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VYMI vs. DIVI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VYMI and DIVI is 0.69, 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

VYMI vs. DIVI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard International High Dividend Yield ETF (VYMI) and Franklin International Core Dividend Tilt Index ETF (DIVI). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

VYMI:

1.10

DIVI:

0.73

Sortino Ratio

VYMI:

1.40

DIVI:

0.97

Omega Ratio

VYMI:

1.19

DIVI:

1.13

Calmar Ratio

VYMI:

1.21

DIVI:

0.74

Martin Ratio

VYMI:

4.29

DIVI:

2.16

Ulcer Index

VYMI:

3.63%

DIVI:

4.96%

Daily Std Dev

VYMI:

16.23%

DIVI:

17.36%

Max Drawdown

VYMI:

-40.00%

DIVI:

-27.76%

Current Drawdown

VYMI:

-0.09%

DIVI:

-0.85%

Returns By Period

The year-to-date returns for both stocks are quite close, with VYMI having a 17.18% return and DIVI slightly lower at 16.63%.


VYMI

YTD

17.18%

1M

6.13%

6M

15.07%

1Y

17.70%

3Y*

12.14%

5Y*

15.83%

10Y*

N/A

DIVI

YTD

16.63%

1M

6.26%

6M

15.43%

1Y

12.55%

3Y*

12.60%

5Y*

12.90%

10Y*

N/A

*Annualized

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VYMI vs. DIVI - Expense Ratio Comparison

VYMI has a 0.22% expense ratio, which is higher than DIVI's 0.09% 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%.


Risk-Adjusted Performance

VYMI vs. DIVI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VYMI
The Risk-Adjusted Performance Rank of VYMI is 8383
Overall Rank
The Sharpe Ratio Rank of VYMI is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of VYMI is 8181
Sortino Ratio Rank
The Omega Ratio Rank of VYMI is 8181
Omega Ratio Rank
The Calmar Ratio Rank of VYMI is 8686
Calmar Ratio Rank
The Martin Ratio Rank of VYMI is 8383
Martin Ratio Rank

DIVI
The Risk-Adjusted Performance Rank of DIVI is 6767
Overall Rank
The Sharpe Ratio Rank of DIVI is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of DIVI is 6363
Sortino Ratio Rank
The Omega Ratio Rank of DIVI is 6262
Omega Ratio Rank
The Calmar Ratio Rank of DIVI is 7474
Calmar Ratio Rank
The Martin Ratio Rank of DIVI is 6262
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VYMI vs. DIVI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard International High Dividend Yield ETF (VYMI) and Franklin International Core Dividend Tilt Index ETF (DIVI). 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.


The current VYMI Sharpe Ratio is 1.10, which is higher than the DIVI Sharpe Ratio of 0.73. The chart below compares the historical Sharpe Ratios of VYMI and DIVI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

VYMI vs. DIVI - Dividend Comparison

VYMI's dividend yield for the trailing twelve months is around 4.15%, more than DIVI's 3.85% yield.


TTM202420232022202120202019201820172016
VYMI
Vanguard International High Dividend Yield ETF
4.15%4.84%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%
DIVI
Franklin International Core Dividend Tilt Index ETF
3.85%4.39%3.17%5.43%2.77%5.87%1.61%5.67%5.71%13.51%

Drawdowns

VYMI vs. DIVI - Drawdown Comparison

The maximum VYMI drawdown since its inception was -40.00%, which is greater than DIVI's maximum drawdown of -27.76%. Use the drawdown chart below to compare losses from any high point for VYMI and DIVI. For additional features, visit the drawdowns tool.


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Volatility

VYMI vs. DIVI - Volatility Comparison

The current volatility for Vanguard International High Dividend Yield ETF (VYMI) is 2.41%, while Franklin International Core Dividend Tilt Index ETF (DIVI) has a volatility of 2.67%. This indicates that VYMI experiences smaller price fluctuations and is considered to be less risky than DIVI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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