ABRSX vs. VMNFX

Last updated Jun 5, 2026

ABRSX (ABR 50/50 Volatility Fund) and VMNFX (Vanguard Market Neutral Fund Investor Shares) are both Long-Short funds. Over the past 5 years, ABRSX returned 6.24%/yr vs 12.98%/yr for VMNFX. At a 0.03 correlation, their price movements are largely independent. ABRSX charges 2.00%/yr vs 1.31%/yr for VMNFX.

Performance

ABRSX vs. VMNFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ABR 50/50 Volatility Fund (ABRSX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ABRSX achieves a 2.29% return, which is significantly lower than VMNFX's 12.03% return.

ABRSX

• 1D: -0.56%
• 1M: 5.56%
• YTD: 2.29%
• 6M: 4.49%
• 1Y: 26.92%
• 3Y*: 11.33%
• 5Y*: 6.24%
• 10Y*: —

VMNFX

• 1D: 0.00%
• 1M: 0.45%
• YTD: 12.03%
• 6M: 14.75%
• 1Y: 18.35%
• 3Y*: 13.20%
• 5Y*: 12.98%
• 10Y*: 5.00%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ABRSX vs. VMNFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABRSX ABR 50/50 Volatility Fund	2.29%	6.22%	13.84%	38.75%	-34.12%	40.73%	5.69%	79.73%	-47.83%	6.74%
VMNFX Vanguard Market Neutral Fund Investor Shares	12.03%	9.27%	5.78%	12.23%	13.48%	23.24%	-11.58%	-9.57%	0.60%	-0.22%

Correlation

The correlation between ABRSX and VMNFX is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.01
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.01
Correlation (All Time) Calculated using the full available price history since Oct 4, 2017	0.03

Return for Risk

ABRSX vs. VMNFX — Risk / Return Rank

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

ABRSX

ABRSX Risk / Return Rank: 21
ABRSX Sharpe Ratio Rank: 20
ABRSX Sortino Ratio Rank: 18
ABRSX Omega Ratio Rank: 24
ABRSX Calmar Ratio Rank: 17
ABRSX Martin Ratio Rank: 24

VMNFX

VMNFX Risk / Return Rank: 65
VMNFX Sharpe Ratio Rank: 62
VMNFX Sortino Ratio Rank: 70
VMNFX Omega Ratio Rank: 59
VMNFX Calmar Ratio Rank: 83
VMNFX Martin Ratio Rank: 53

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ABRSX vs. VMNFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ABR 50/50 Volatility Fund (ABRSX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). 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.

	ABRSX	VMNFX	Difference
Sharpe ratio: Return per unit of total volatility	1.26	2.33	-1.07
Sortino ratio: Return per unit of downside risk	1.75	3.51	-1.77
Omega ratio: Gain probability vs. loss probability	1.25	1.43	-0.17
Calmar ratio: Return relative to maximum drawdown	1.43	3.89	-2.46
Martin ratio: Return relative to average drawdown	5.69	10.80	-5.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABRSX vs. VMNFX - Sharpe Ratio Comparison

The current ABRSX Sharpe Ratio is 1.26, which is lower than the VMNFX Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of ABRSX and VMNFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ABRSX	VMNFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.26	2.33	-1.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.23	1.81	-1.58
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.79	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.17	0.34	-0.16

Drawdowns

ABRSX vs. VMNFX - Drawdown Comparison

The maximum ABRSX drawdown since its inception was -49.78%, which is greater than VMNFX's maximum drawdown of -26.42%. Use the drawdown chart below to compare losses from any high point for ABRSX and VMNFX.

Drawdown Indicators

	ABRSX	VMNFX	Difference
Max Drawdown Largest peak-to-trough decline	-49.78%	-26.42%	-23.36%
Max Drawdown (1Y) Largest decline over 1 year	-19.12%	-4.65%	-14.47%
Max Drawdown (3Y) Largest decline over 3 years	-27.83%	-5.44%	-22.39%
Max Drawdown (5Y) Largest decline over 5 years	-44.57%	-6.75%	-37.82%
Max Drawdown (10Y) Largest decline over 10 years	—	-25.09%	—
Current Drawdown Current decline from peak	-0.56%	0.00%	-0.56%
Average Drawdown Average peak-to-trough decline	-15.95%	-8.76%	-7.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.81%	1.68%	+3.13%

Volatility

ABRSX vs. VMNFX - Volatility Comparison

ABR 50/50 Volatility Fund (ABRSX) has a higher volatility of 3.06% compared to Vanguard Market Neutral Fund Investor Shares (VMNFX) at 1.97%. This indicates that ABRSX's price experiences larger fluctuations and is considered to be riskier than VMNFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABRSX	VMNFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.06%	1.97%	+1.09%
Volatility (6M) Calculated over the trailing 6-month period	17.49%	5.75%	+11.74%
Volatility (1Y) Calculated over the trailing 1-year period	21.82%	7.79%	+14.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	27.37%	7.21%	+20.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	36.21%	6.39%	+29.82%

ABRSX vs. VMNFX - Expense Ratio Comparison

ABRSX has a 2.00% expense ratio, which is higher than VMNFX's 1.31% expense ratio.

Dividends

ABRSX vs. VMNFX - Dividend Comparison

ABRSX's dividend yield for the trailing twelve months is around 0.62%, less than VMNFX's 3.13% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABRSX ABR 50/50 Volatility Fund	0.62%	0.63%	1.04%	0.00%	0.00%	47.19%	0.00%	10.50%	12.88%	0.99%	0.00%	0.00%
VMNFX Vanguard Market Neutral Fund Investor Shares	3.13%	3.53%	5.61%	5.09%	0.75%	0.16%	0.81%	3.16%	0.94%	1.07%	0.38%	0.02%

Frequently Asked Questions

Can I hold both ABRSX and VMNFX in my portfolio?

ABRSX and VMNFX have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABRSX or VMNFX?

ABRSX has higher volatility (3.06%) compared to VMNFX (1.97%). In terms of maximum drawdown, ABRSX dropped -49.78% vs VMNFX's -26.42%.

Which has better risk-adjusted returns?

VMNFX currently has the higher Sharpe Ratio (2.33 vs 1.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.