GTAPX vs. VMNFX

Last updated Jun 24, 2026

GTAPX (Quantitative U.S. Long/Short Equity Portfolio) and VMNFX (Vanguard Market Neutral Fund Investor Shares) are both Long-Short funds. Over the past 10 years, GTAPX returned 5.85%/yr vs 5.23%/yr for VMNFX. At a 0.30 correlation, their price movements are largely independent. GTAPX charges 1.25%/yr vs 1.31%/yr for VMNFX.

Performance

GTAPX vs. VMNFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quantitative U.S. Long/Short Equity Portfolio (GTAPX) 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, GTAPX achieves a 4.89% return, which is significantly lower than VMNFX's 14.39% return. Over the past 10 years, GTAPX has outperformed VMNFX with an annualized return of 5.85%, while VMNFX has yielded a comparatively lower 5.23% annualized return.

GTAPX

• 1D: 0.67%
• 1M: -0.15%
• YTD: 4.89%
• 6M: 4.32%
• 1Y: 14.07%
• 3Y*: 11.22%
• 5Y*: 9.27%
• 10Y*: 5.85%

VMNFX

• 1D: 1.20%
• 1M: 3.90%
• YTD: 14.39%
• 6M: 15.13%
• 1Y: 21.65%
• 3Y*: 13.93%
• 5Y*: 14.06%
• 10Y*: 5.23%

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

GTAPX vs. VMNFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTAPX Quantitative U.S. Long/Short Equity Portfolio	4.89%	12.79%	13.28%	4.42%	3.16%	17.72%	-5.16%	3.26%	-8.65%	8.74%
VMNFX Vanguard Market Neutral Fund Investor Shares	14.39%	9.27%	5.78%	12.23%	13.48%	23.24%	-11.58%	-9.57%	0.60%	-4.89%

Correlation

The correlation between GTAPX and VMNFX is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.40
Correlation (10Y) Calculated over the trailing 10-year period	0.38
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007	0.30

Return for Risk

GTAPX vs. VMNFX — Risk / Return Rank

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

GTAPX

GTAPX Risk / Return Rank: 73
GTAPX Sharpe Ratio Rank: 62
GTAPX Sortino Ratio Rank: 69
GTAPX Omega Ratio Rank: 54
GTAPX Calmar Ratio Rank: 93
GTAPX Martin Ratio Rank: 86

VMNFX

VMNFX Risk / Return Rank: 88
VMNFX Sharpe Ratio Rank: 92
VMNFX Sortino Ratio Rank: 92
VMNFX Omega Ratio Rank: 85
VMNFX Calmar Ratio Rank: 93
VMNFX Martin Ratio Rank: 76

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.

GTAPX vs. VMNFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Quantitative U.S. Long/Short Equity Portfolio (GTAPX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	GTAPX	VMNFX	Difference
Sharpe ratio: Return per unit of total volatility	2.13	2.84	-0.71
Sortino ratio: Return per unit of downside risk	3.16	4.31	-1.15
Omega ratio: Gain probability vs. loss probability	1.37	1.53	-0.16
Calmar ratio: Return relative to maximum drawdown	4.85	4.77	+0.08
Martin ratio: Return relative to average drawdown	14.86	13.36	+1.49

GTAPX vs. VMNFX - Sharpe Ratio Comparison

The current GTAPX Sharpe Ratio is 2.13, which is comparable to the VMNFX Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of GTAPX 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.

Drawdowns

GTAPX vs. VMNFX - Drawdown Comparison

The maximum GTAPX drawdown since its inception was -30.40%, which is greater than VMNFX's maximum drawdown of -26.42%. Use the drawdown chart below to compare losses from any high point for GTAPX and VMNFX.

Drawdown Indicators

	GTAPX	VMNFX	Difference
Max Drawdown Largest peak-to-trough decline	-30.40%	-26.42%	-3.98%
Max Drawdown (1Y) Largest decline over 1 year	-3.01%	-4.65%	+1.64%
Max Drawdown (3Y) Largest decline over 3 years	-12.21%	-5.44%	-6.77%
Max Drawdown (5Y) Largest decline over 5 years	-12.21%	-6.75%	-5.46%
Max Drawdown (10Y) Largest decline over 10 years	-30.40%	-25.09%	-5.31%
Current Drawdown Current decline from peak	-1.17%	0.00%	-1.17%
Average Drawdown Average peak-to-trough decline	-7.02%	-8.74%	+1.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	1.66%	-0.68%

Volatility

GTAPX vs. VMNFX - Volatility Comparison

Quantitative U.S. Long/Short Equity Portfolio (GTAPX) and Vanguard Market Neutral Fund Investor Shares (VMNFX) have volatilities of 2.19% and 2.18%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GTAPX	VMNFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.19%	2.18%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	5.25%	5.75%	-0.50%
Volatility (1Y) Calculated over the trailing 1-year period	6.86%	7.83%	-0.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.88%	7.22%	+3.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.24%	6.41%	+3.83%

GTAPX vs. VMNFX - Expense Ratio Comparison

GTAPX has a 1.25% expense ratio, which is lower than VMNFX's 1.31% expense ratio.

Dividends

GTAPX vs. VMNFX - Dividend Comparison

GTAPX's dividend yield for the trailing twelve months is around 15.81%, more than VMNFX's 3.07% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTAPX Quantitative U.S. Long/Short Equity Portfolio	15.81%	16.63%	11.79%	11.23%	0.00%	0.00%	0.00%	0.96%	0.00%	0.00%	0.00%	0.00%
VMNFX Vanguard Market Neutral Fund Investor Shares	3.07%	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 GTAPX and VMNFX in my portfolio?

GTAPX and VMNFX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GTAPX or VMNFX?

GTAPX has higher volatility (2.19%) compared to VMNFX (2.18%). In terms of maximum drawdown, GTAPX dropped -30.40% vs VMNFX's -26.42%.

Which has better risk-adjusted returns?

VMNFX currently has the higher Sharpe Ratio (2.84 vs 2.13), 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.