Vanguard Value Index Fund ETF Shares

10-Year Study

VTV.US · · US · ETF

Executive Summary: Vanguard Value Index Fund ETF Shares has compounded at 12.0% annually over the last 10 years, with a maximum drawdown of 25.0% and an annualized volatility of 11.2%.

1Y CAGR
+22.1%
3Y CAGR
+17.6%
5Y CAGR
+10.4%
10Y CAGR
+12.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
25.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.60
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.83
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +26.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -5.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.63.8-5.33.3————————6.1%
20254.40.8-2.5-3.62.93.70.23.52.3-0.42.50.815.3%
20240.93.35.2-3.93.00.24.72.91.5-1.45.6-6.416.0%
20232.8-3.2-0.51.8-4.16.13.5-2.4-3.3-2.66.75.19.3%
2022-1.1-1.23.3-4.82.4-7.95.1-2.7-7.811.76.0-3.3-2.1%
2021-0.85.06.73.42.9-1.21.02.1-3.95.4-3.07.026.5%
2020-2.5-9.7-14.810.72.9-1.03.74.2-2.2-1.812.83.52.3%
20197.02.90.63.4-6.37.10.8-3.03.51.93.42.625.7%
20184.7-4.4-2.50.40.60.24.71.90.6-5.03.3-9.1-5.5%
20170.53.6-0.9-0.00.11.81.5-0.53.01.83.51.717.1%
2016———1.51.11.12.80.7-0.5-1.16.02.715.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 11.2%. The dominant macroeconomic risk driver is VTV.US, accounting for 100.0% of variance. Idiosyncratic stock-specific factors contribute 0.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110151.71710957623
2016-05-0110259.733601782204
2016-06-0110375.207007012606
2016-07-0110666.958729093456
2016-08-0110738.980080721083
2016-09-0110688.645917806176
2016-10-0110571.92969373837
2016-11-0111205.876047463253
2016-12-0111511.625016700378
2017-01-0111568.546119453533
2017-02-0111983.166018847349
2017-03-0111873.12994603059
2017-04-0111869.401489518377
2017-05-0111876.873937778277
2017-06-0112090.778594931164
2017-07-0112277.356772896608
2017-08-0112219.75211978288
2017-09-0112584.115532439124
2017-10-0112814.81377913245
2017-11-0113266.14343993612
2017-12-0113485.283471441579
2018-01-0114120.736743006813
2018-02-0113494.154090893555
2018-03-0113161.964150890635
2018-04-0113216.819067326604
2018-05-0113297.182840400312
2018-06-0113324.416108174952
2018-07-0113944.240932859819
2018-08-0114208.604034811357
2018-09-0114297.23255315381
2018-10-0113585.470204971896
2018-11-0114029.840080286096
2018-12-0112747.111222964806
2019-01-0113633.349800682929
2019-02-0114023.76580321828
2019-03-0114103.321744047675
2019-04-0114577.659088578806
2019-05-0113655.176806514857
2019-06-0114626.92132024645
2019-07-0114748.235974012658
2019-08-0114310.437503301238
2019-09-0114805.31242912049
2019-10-0115086.515726318863
2019-11-0115605.128491932552
2019-12-0116017.49578218357
2020-01-0115616.56242523668
2020-02-0114099.686498948266
2020-03-0112009.016650665373
2020-04-0113290.021096849767
2020-05-0113672.980186360684
2020-06-0113534.980689702314
2020-07-0114040.559392758716
2020-08-0114627.682546784361
2020-09-0114303.586464460042
2020-10-0114043.542157968488
2020-11-0115835.081047323434
2020-12-0116390.993913294744
2021-01-0116261.476655201663
2021-02-0117074.41999198382
2021-03-0118212.686694692235
2021-04-0118838.89650115427
2021-05-0119388.905977647904
2021-06-0119147.861264133182
2021-07-0119341.492439000896
2021-08-0119745.455166863965
2021-09-0118967.01558805527
2021-10-0119999.64268958425
2021-11-0119391.562502912857
2021-12-0120740.238434793955
2022-01-0120517.494228660024
2022-02-0120280.628493486078
2022-03-0120946.266727564795
2022-04-0119942.75265730203
2022-05-0120423.257490313783
2022-06-0118812.68855892049
2022-07-0119764.175125602378
2022-08-0119234.936258928876
2022-09-0117732.35274927062
2022-10-0119813.188793502544
2022-11-0121000.81093929141
2022-12-0120307.349098490286
2023-01-0120873.018092335224
2023-02-0120197.406237086336
2023-03-0120104.13268333908
2023-04-0120460.75954873248
2023-05-0119617.941954146198
2023-06-0120821.254687757308
2023-07-0121540.691442260195
2023-08-0121027.857784240434
2023-09-0120337.953512361386
2023-10-0119801.22666219252
2023-11-0121123.86553942998
2023-12-0122199.074721375553
2024-01-0122392.100022060033
2024-02-0123139.003072869575
2024-03-0124335.04531628186
2024-04-0123383.23250965515
2024-05-0124084.02698159696
2024-06-0124120.892095361494
2024-07-0125263.695086826436
2024-08-0125991.48979801087
2024-09-0126389.28503739331
2024-10-0126024.96823044347
2024-11-0127492.799418360784
2024-12-0125740.766632799856
2025-01-0126865.87499106724
2025-02-0127083.2906114358
2025-03-0126417.37274311867
2025-04-0125460.02939266551
2025-05-0126210.909463754742
2025-06-0127177.387532662833
2025-07-0127223.5271820015
2025-08-0128173.833070787856
2025-09-0128822.335940145844
2025-10-0128709.5190601804
2025-11-0129438.99157679533
2025-12-0129670.746219500452
2026-01-0131031.632846459055
2026-02-0132198.32903007311
2026-03-0130480.13198736053
2026-04-0131471.28001019112
Annual Return Matrix
YearAnnual Return
20170.17144916133716426
2018-0.054739097627427236
20190.2565588784796151
20200.023318135131124462
20210.26534355051962644
2022-0.02087195562696398
20230.09315473002952945
20240.15954232128485946
20250.15267531238532994
20260.06068380543483953
Total Factor Risk
0.11244084138477783
VTI.US Exposure
9.847895974467243e-16
VEA.US Exposure
-3.0983282286877924e-16
VWO.US Exposure
2.6588290141004485e-16
QQQ.US Exposure
-2.7603315115553193e-16
VTV.US Exposure
0.9999992090449076
IJR.US Exposure
-6.397442742755262e-16
QUAL.US Exposure
-2.7913800932204707e-16
SHV.US Exposure
6.982386111805167e-18
TLT.US Exposure
-1.9073321015794835e-16
LQD.US Exposure
4.52201184246902e-17
HYG.US Exposure
-7.114678288140962e-17
GLD.US Exposure
7.174210018066979e-18
USO.US Exposure
-2.6462894309048505e-18
VNQ.US Exposure
5.124910213312063e-16
BTC-USD.CC Exposure
3.6649173406515734e-17
CPER.US Exposure
7.283810355785418e-17
VIX.INDX Exposure
6.799787070922733e-17
UUP.US Exposure
-1.423409233158334e-16
TIP.US Exposure
-3.9752946022770574e-17
Idiosyncratic Exposure
7.9095509243694e-7
Value Score
42.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
22.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →18.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.88%
Market Cap$154.0B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$168
Avg Yield on Cost
1.68%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$167.631.68%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.6%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.0%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.76
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Vanguard Value Index Fund ETF Shares a high-risk investment?

Vanguard Value Index Fund ETF Shares (VTV.US) has an annualized volatility of 11.2% and experienced a maximum drawdown of 25.0% over the last 10 years. Its primary macro risk driver is VTV.US.

What is the 10-year return of VTV.US?

Over the past 10 years, VTV.US has generated a Compound Annual Growth Rate (CAGR) of 12.0%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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