BGCKX vs. VMBS

Last updated Jun 4, 2026

BGCKX (BlackRock Global Equity Market Neutral Fund Institutional Shares) and VMBS (Vanguard Mortgage-Backed Securities ETF) are both funds - BGCKX is a Equity Market Neutral fund actively managed by BlackRock, while VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index. BGCKX is actively managed, while VMBS is passively managed. Over the past 10 years, BGCKX returned 8.39%/yr vs 1.35%/yr for VMBS. At a 0.00 correlation, their price movements are largely independent. BGCKX charges 1.29%/yr vs 0.04%/yr for VMBS.

Performance

BGCKX vs. VMBS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Global Equity Market Neutral Fund Institutional Shares (BGCKX) and Vanguard Mortgage-Backed Securities ETF (VMBS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BGCKX achieves a 12.50% return, which is significantly higher than VMBS's 0.66% return. Over the past 10 years, BGCKX has outperformed VMBS with an annualized return of 8.39%, while VMBS has yielded a comparatively lower 1.35% annualized return.

BGCKX

• 1D: 0.43%
• 1M: 5.31%
• YTD: 12.50%
• 6M: 15.65%
• 1Y: 21.93%
• 3Y*: 21.89%
• 5Y*: 13.01%
• 10Y*: 8.39%

VMBS

• 1D: -0.15%
• 1M: 0.33%
• YTD: 0.66%
• 6M: 0.85%
• 1Y: 6.93%
• 3Y*: 4.60%
• 5Y*: 0.48%
• 10Y*: 1.35%

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

BGCKX vs. VMBS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BGCKX BlackRock Global Equity Market Neutral Fund Institutional Shares	12.50%	18.38%	21.55%	14.60%	1.80%	3.42%	0.33%	-0.82%	2.22%	12.83%
VMBS Vanguard Mortgage-Backed Securities ETF	0.66%	8.36%	1.70%	5.34%	-11.90%	-1.28%	3.76%	6.19%	0.91%	2.47%

Correlation

The correlation between BGCKX and VMBS is -0.02, 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	-0.02
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	0.00
Correlation (10Y) Calculated over the trailing 10-year period	0.01
Correlation (All Time) Calculated using the full available price history since Mar 31, 2016	0.00

Return for Risk

BGCKX vs. VMBS — Risk / Return Rank

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

BGCKX

BGCKX Risk / Return Rank: 91
BGCKX Sharpe Ratio Rank: 93
BGCKX Sortino Ratio Rank: 93
BGCKX Omega Ratio Rank: 87
BGCKX Calmar Ratio Rank: 96
BGCKX Martin Ratio Rank: 89

VMBS

VMBS Risk / Return Rank: 48
VMBS Sharpe Ratio Rank: 45
VMBS Sortino Ratio Rank: 48
VMBS Omega Ratio Rank: 45
VMBS Calmar Ratio Rank: 52
VMBS Martin Ratio Rank: 51

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.

BGCKX vs. VMBS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Global Equity Market Neutral Fund Institutional Shares (BGCKX) and Vanguard Mortgage-Backed Securities ETF (VMBS). 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.

	BGCKX	VMBS	Difference
Sharpe ratio: Return per unit of total volatility	3.20	1.59	+1.60
Sortino ratio: Return per unit of downside risk	4.77	2.38	+2.39
Omega ratio: Gain probability vs. loss probability	1.60	1.29	+0.31
Calmar ratio: Return relative to maximum drawdown	6.23	2.59	+3.63
Martin ratio: Return relative to average drawdown	17.51	8.68	+8.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BGCKX vs. VMBS - Sharpe Ratio Comparison

The current BGCKX Sharpe Ratio is 3.20, which is higher than the VMBS Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of BGCKX and VMBS, 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

	BGCKX	VMBS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.20	1.59	+1.60
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	2.00	0.07	+1.93
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.45	0.25	+1.20
Sharpe Ratio (All Time) Calculated using the full available price history	1.39	0.46	+0.93

Drawdowns

BGCKX vs. VMBS - Drawdown Comparison

The maximum BGCKX drawdown since its inception was -9.47%, smaller than the maximum VMBS drawdown of -17.47%. Use the drawdown chart below to compare losses from any high point for BGCKX and VMBS.

Drawdown Indicators

	BGCKX	VMBS	Difference
Max Drawdown Largest peak-to-trough decline	-9.47%	-17.47%	+8.00%
Max Drawdown (1Y) Largest decline over 1 year	-3.51%	-2.68%	-0.83%
Max Drawdown (3Y) Largest decline over 3 years	-4.13%	-7.65%	+3.52%
Max Drawdown (5Y) Largest decline over 5 years	-6.13%	-17.12%	+10.99%
Max Drawdown (10Y) Largest decline over 10 years	-9.47%	-17.47%	+8.00%
Current Drawdown Current decline from peak	0.00%	-1.33%	+1.33%
Average Drawdown Average peak-to-trough decline	-2.15%	-2.49%	+0.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.25%	0.80%	+0.45%

Volatility

BGCKX vs. VMBS - Volatility Comparison

BlackRock Global Equity Market Neutral Fund Institutional Shares (BGCKX) has a higher volatility of 1.96% compared to Vanguard Mortgage-Backed Securities ETF (VMBS) at 1.62%. This indicates that BGCKX's price experiences larger fluctuations and is considered to be riskier than VMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BGCKX	VMBS	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.96%	1.62%	+0.34%
Volatility (6M) Calculated over the trailing 6-month period	4.45%	3.16%	+1.29%
Volatility (1Y) Calculated over the trailing 1-year period	6.85%	4.37%	+2.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.52%	6.77%	-0.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.81%	5.40%	+0.41%

BGCKX vs. VMBS - Expense Ratio Comparison

BGCKX has a 1.29% expense ratio, which is higher than VMBS's 0.04% expense ratio.

Dividends

BGCKX vs. VMBS - Dividend Comparison

BGCKX's dividend yield for the trailing twelve months is around 7.96%, more than VMBS's 4.19% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BGCKX BlackRock Global Equity Market Neutral Fund Institutional Shares	7.96%	8.96%	13.25%	7.49%	0.00%	1.22%	0.34%	6.80%	0.96%	0.00%	0.00%	0.00%
VMBS Vanguard Mortgage-Backed Securities ETF	4.19%	4.20%	3.94%	3.31%	2.35%	1.02%	2.01%	2.77%	2.72%	2.16%	2.10%	2.12%

Frequently Asked Questions

Can I hold both BGCKX and VMBS in my portfolio?

BGCKX and VMBS have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BGCKX or VMBS?

BGCKX has higher volatility (1.96%) compared to VMBS (1.62%). In terms of maximum drawdown, BGCKX dropped -9.47% vs VMBS's -17.47%.

Which has better risk-adjusted returns?

BGCKX currently has the higher Sharpe Ratio (3.20 vs 1.59), 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.