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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Vanguard Market Neutral Fund Investor Shares, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Vanguard Market Neutral Fund Investor Shares (VMNFX) has returned 6.09% so far this year and 15.97% over the past 12 months. Over the last ten years, VMNFX has returned 3.99% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Vanguard Market Neutral Fund Investor Shares
- 1D
- 0.07%
- 1M
- 2.92%
- YTD
- 6.09%
- 6M
- 8.13%
- 1Y
- 15.97%
- 3Y*
- 11.71%
- 5Y*
- 12.45%
- 10Y*
- 3.99%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Nov 16, 1998, VMNFX's average daily return is +0.01%, while the average monthly return is +0.23%. At this rate, your investment would double in approximately 25.1 years.
Historically, 56% of months were positive and 44% were negative. The best month was Feb 2001 with a return of +9.0%, while the worst month was Jan 2001 at -7.7%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 6 months.
On a daily basis, VMNFX closed higher 47% of trading days. The best single day was Apr 23, 2001 with a return of +3.4%, while the worst single day was Dec 11, 2000 at -6.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.57% | 3.67% | 2.92% | 6.09% | |||||||||
| 2025 | 0.60% | 0.30% | -0.94% | 0.30% | 3.17% | 0.15% | -1.82% | 2.67% | 2.68% | -0.35% | 0.78% | 1.49% | 9.27% |
| 2024 | 4.38% | -0.65% | 1.72% | 1.00% | -1.70% | 0.29% | 3.46% | 0.70% | -0.48% | -1.32% | -1.69% | 0.13% | 5.78% |
| 2023 | -1.13% | 1.96% | -2.07% | -1.14% | 0.91% | 2.46% | 0.24% | 3.11% | 4.49% | 0.74% | 0.81% | 1.42% | 12.23% |
| 2022 | 5.36% | -0.95% | 0.09% | 4.26% | 0.75% | -2.15% | 0.25% | -0.76% | 2.13% | 2.33% | -1.30% | 2.99% | 13.48% |
| 2021 | 3.13% | -0.65% | 4.48% | -0.21% | 3.25% | -0.91% | 0.00% | 2.35% | 0.90% | -0.30% | 4.67% | 4.63% | 23.24% |
Benchmark Metrics
Vanguard Market Neutral Fund Investor Shares has an annualized alpha of 2.91%, beta of -0.01, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since November 17, 1998.
- This fund tended to rise when S&P 500 Index fell (downside capture of -19.42%), but participation in market rallies was also limited (-0.56%) — a profile typical of counter-cyclical assets.
- Beta of -0.01 may look defensive, but with R² of 0.00 this fund is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R² of 0.00 means this fund moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 2.91%
- Beta
- -0.01
- R²
- 0.00
- Upside Capture
- -0.56%
- Downside Capture
- -19.42%
Expense Ratio
VMNFX has a high expense ratio of 1.31%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
VMNFX ranks 92 for risk / return — in the top 92% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and compare them to a chosen benchmark (S&P 500 Index).
| VMNFX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.17 | 0.90 | +1.28 |
Sortino ratioReturn per unit of downside risk | 3.22 | 1.39 | +1.83 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.21 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 3.36 | 1.40 | +1.96 |
Martin ratioReturn relative to average drawdown | 9.51 | 6.61 | +2.90 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore VMNFX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Vanguard Market Neutral Fund Investor Shares provided a 3.31% dividend yield over the last twelve months, with an annual payout of $0.49 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.49 | $0.49 | $0.74 | $0.67 | $0.09 | $0.02 | $0.07 | $0.32 | $0.11 | $0.12 | $0.05 | $0.00 |
Dividend yield | 3.31% | 3.53% | 5.61% | 5.09% | 0.75% | 0.16% | 0.81% | 3.16% | 0.94% | 1.07% | 0.38% | 0.02% |
Monthly Dividends
The table displays the monthly dividend distributions for Vanguard Market Neutral Fund Investor Shares. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.01 | $0.01 | |||||||||
| 2025 | $0.00 | $0.00 | $0.01 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.48 | $0.49 |
| 2024 | $0.00 | $0.00 | $0.01 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.74 | $0.74 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.67 | $0.67 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $0.09 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.02 | $0.02 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Vanguard Market Neutral Fund Investor Shares. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Vanguard Market Neutral Fund Investor Shares was 26.42%, occurring on Jan 29, 2001. Recovery took 316 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.42% | Mar 28, 2000 | 212 | Jan 29, 2001 | 316 | May 7, 2002 | 528 |
| -25.09% | Dec 21, 2016 | 979 | Nov 10, 2020 | 305 | Jan 27, 2022 | 1284 |
| -22.77% | Nov 27, 2007 | 789 | Jan 12, 2011 | 1254 | Jan 7, 2016 | 2043 |
| -16.1% | Oct 9, 2002 | 346 | Feb 24, 2004 | 543 | Apr 20, 2006 | 889 |
| -9.8% | Jan 27, 1999 | 96 | Jun 14, 1999 | 123 | Dec 7, 1999 | 219 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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