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WEN vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between WEN and VYM is 0.45, 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.


-0.50.00.51.00.5

Performance

WEN vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Wendy's Company (WEN) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
31.87%
342.28%
WEN
VYM

Key characteristics

Sharpe Ratio

WEN:

-0.45

VYM:

1.80

Sortino Ratio

WEN:

-0.50

VYM:

2.54

Omega Ratio

WEN:

0.94

VYM:

1.33

Calmar Ratio

WEN:

-0.29

VYM:

3.24

Martin Ratio

WEN:

-1.08

VYM:

10.75

Ulcer Index

WEN:

10.34%

VYM:

1.80%

Daily Std Dev

WEN:

25.07%

VYM:

10.78%

Max Drawdown

WEN:

-86.09%

VYM:

-56.98%

Current Drawdown

WEN:

-33.60%

VYM:

-4.93%

Returns By Period

In the year-to-date period, WEN achieves a -9.51% return, which is significantly lower than VYM's 17.16% return. Both investments have delivered pretty close results over the past 10 years, with WEN having a 9.27% annualized return and VYM not far ahead at 9.60%.


WEN

YTD

-9.51%

1M

-6.79%

6M

2.82%

1Y

-10.93%

5Y*

-2.30%

10Y*

9.27%

VYM

YTD

17.16%

1M

-3.32%

6M

8.47%

1Y

17.88%

5Y*

9.71%

10Y*

9.60%

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Risk-Adjusted Performance

WEN vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Wendy's Company (WEN) and Vanguard High Dividend Yield ETF (VYM). 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 WEN, currently valued at -0.45, compared to the broader market-4.00-2.000.002.00-0.451.80
The chart of Sortino ratio for WEN, currently valued at -0.50, compared to the broader market-4.00-2.000.002.004.00-0.502.54
The chart of Omega ratio for WEN, currently valued at 0.94, compared to the broader market0.501.001.502.000.941.33
The chart of Calmar ratio for WEN, currently valued at -0.29, compared to the broader market0.002.004.006.00-0.293.24
The chart of Martin ratio for WEN, currently valued at -1.08, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.0810.75
WEN
VYM

The current WEN Sharpe Ratio is -0.45, which is lower than the VYM Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of WEN and VYM, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.45
1.80
WEN
VYM

Dividends

WEN vs. VYM - Dividend Comparison

WEN's dividend yield for the trailing twelve months is around 6.01%, more than VYM's 2.75% yield.


TTM20232022202120202019201820172016201520142013
WEN
The Wendy's Company
6.01%5.13%2.21%1.80%1.32%1.89%2.18%1.71%1.81%2.09%2.27%2.06%
VYM
Vanguard High Dividend Yield ETF
2.75%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

WEN vs. VYM - Drawdown Comparison

The maximum WEN drawdown since its inception was -86.09%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for WEN and VYM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-33.60%
-4.93%
WEN
VYM

Volatility

WEN vs. VYM - Volatility Comparison

The Wendy's Company (WEN) has a higher volatility of 5.58% compared to Vanguard High Dividend Yield ETF (VYM) at 3.96%. This indicates that WEN's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
5.58%
3.96%
WEN
VYM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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