MGKQX vs. VMNVX
Compare and contrast key facts about Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX).
MGKQX is managed by Morgan Stanley. It was launched on Apr 29, 2019. VMNVX is managed by Vanguard. It was launched on Dec 12, 2013.
Performance
MGKQX vs. VMNVX - Performance Comparison
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MGKQX vs. VMNVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
MGKQX Morgan Stanley Global Permanence Portfolio | -3.40% | 5.52% | 10.81% | 20.89% | -19.81% | 19.55% | 27.09% | 6.40% |
VMNVX Vanguard Global Minimum Volatility Fund Admiral Shares | 2.89% | 12.83% | 13.42% | 7.94% | -4.46% | 15.40% | -3.94% | 9.15% |
Returns By Period
In the year-to-date period, MGKQX achieves a -3.40% return, which is significantly lower than VMNVX's 2.89% return.
MGKQX
- 1D
- 3.56%
- 1M
- -4.75%
- YTD
- -3.40%
- 6M
- -21.98%
- 1Y
- -2.35%
- 3Y*
- 6.27%
- 5Y*
- 4.57%
- 10Y*
- —
VMNVX
- 1D
- 1.15%
- 1M
- -4.95%
- YTD
- 2.89%
- 6M
- 4.27%
- 1Y
- 9.34%
- 3Y*
- 11.89%
- 5Y*
- 8.55%
- 10Y*
- 8.38%
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MGKQX vs. VMNVX - Expense Ratio Comparison
MGKQX has a 0.95% expense ratio, which is higher than VMNVX's 0.14% expense ratio.
Return for Risk
MGKQX vs. VMNVX — Risk / Return Rank
MGKQX
VMNVX
MGKQX vs. VMNVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Global Permanence Portfolio (MGKQX) and Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX). 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.
| MGKQX | VMNVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.06 | 0.94 | -1.00 |
Sortino ratioReturn per unit of downside risk | 0.10 | 1.35 | -1.25 |
Omega ratioGain probability vs. loss probability | 1.02 | 1.20 | -0.18 |
Calmar ratioReturn relative to maximum drawdown | -0.16 | 1.30 | -1.46 |
Martin ratioReturn relative to average drawdown | -0.38 | 6.22 | -6.60 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MGKQX | VMNVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.06 | 0.94 | -1.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.19 | 0.90 | -0.71 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.70 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.76 | -0.40 |
Correlation
The correlation between MGKQX and VMNVX is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
MGKQX vs. VMNVX - Dividend Comparison
MGKQX has not paid dividends to shareholders, while VMNVX's dividend yield for the trailing twelve months is around 9.78%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MGKQX Morgan Stanley Global Permanence Portfolio | 0.00% | 0.00% | 21.29% | 5.29% | 1.80% | 16.33% | 0.74% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VMNVX Vanguard Global Minimum Volatility Fund Admiral Shares | 9.78% | 10.07% | 3.84% | 3.13% | 5.03% | 6.33% | 2.15% | 4.62% | 7.37% | 2.31% | 2.82% | 3.30% |
Drawdowns
MGKQX vs. VMNVX - Drawdown Comparison
The maximum MGKQX drawdown since its inception was -33.07%, roughly equal to the maximum VMNVX drawdown of -33.11%. Use the drawdown chart below to compare losses from any high point for MGKQX and VMNVX.
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Drawdown Indicators
| MGKQX | VMNVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.07% | -33.11% | +0.04% |
Max Drawdown (1Y)Largest decline over 1 year | -25.97% | -7.93% | -18.04% |
Max Drawdown (5Y)Largest decline over 5 years | -30.96% | -12.93% | -18.03% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.11% | — |
Current DrawdownCurrent decline from peak | -23.27% | -4.95% | -18.32% |
Average DrawdownAverage peak-to-trough decline | -8.25% | -2.82% | -5.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.84% | 1.66% | +9.18% |
Volatility
MGKQX vs. VMNVX - Volatility Comparison
Morgan Stanley Global Permanence Portfolio (MGKQX) has a higher volatility of 6.88% compared to Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) at 2.93%. This indicates that MGKQX's price experiences larger fluctuations and is considered to be riskier than VMNVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MGKQX | VMNVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.88% | 2.93% | +3.95% |
Volatility (6M)Calculated over the trailing 6-month period | 24.31% | 5.02% | +19.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.28% | 10.09% | +17.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.62% | 9.53% | +14.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.84% | 11.96% | +11.88% |