MRSK vs. VTWAX

Last updated Jun 4, 2026

MRSK (Agility Shares Managed Risk ETF) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both funds - MRSK is a Hedge Fund fund actively managed by Toews Corp., while VTWAX is a Large Cap Growth Equities fund managed by Vanguard. Over the past 5 years, MRSK returned 8.16%/yr vs 11.34%/yr for VTWAX. Their correlation of 0.81 suggests significant overlap in exposure. MRSK charges 0.99%/yr vs 0.10%/yr for VTWAX.

Performance

MRSK vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Agility Shares Managed Risk ETF (MRSK) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MRSK achieves a 5.23% return, which is significantly lower than VTWAX's 13.15% return.

MRSK

• 1D: -0.23%
• 1M: 4.38%
• YTD: 5.23%
• 6M: 5.74%
• 1Y: 19.20%
• 3Y*: 11.42%
• 5Y*: 8.16%
• 10Y*: —

VTWAX

• 1D: 0.37%
• 1M: 5.68%
• YTD: 13.15%
• 6M: 14.09%
• 1Y: 30.29%
• 3Y*: 21.27%
• 5Y*: 11.34%
• 10Y*: —

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

MRSK vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MRSK Agility Shares Managed Risk ETF	5.23%	11.93%	14.62%	13.29%	-11.86%	20.74%	16.42%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	13.15%	22.43%	16.43%	21.85%	-18.02%	18.17%	25.15%

Correlation

The correlation between MRSK and VTWAX is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (All Time) Calculated using the full available price history since Jun 26, 2020	0.81

The correlation between MRSK and VTWAX has been stable across timeframes, ranging from 0.81 to 0.85 - a consistent structural relationship.

MRSK vs. VTWAX - Sectors Allocation Comparison

Sectors	MRSK	VTWAX
Technology	35.7%	27.8%
Financial Services	12.0%	15.9%
Communication Services	10.8%	8.3%
Consumer Cyclical	10.1%	9.5%
Healthcare	8.6%	8.1%
Industrials	8.2%	12.0%
Consumer Defensive	4.9%	4.8%
Energy	3.6%	4.3%
Utilities	2.4%	2.7%
Real Estate	1.9%	2.4%
Basic Materials	1.8%	4.2%

Return for Risk

MRSK vs. VTWAX — Risk / Return Rank

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

MRSK

MRSK Risk / Return Rank: 53
MRSK Sharpe Ratio Rank: 54
MRSK Sortino Ratio Rank: 51
MRSK Omega Ratio Rank: 55
MRSK Calmar Ratio Rank: 50
MRSK Martin Ratio Rank: 57

VTWAX

VTWAX Risk / Return Rank: 70
VTWAX Sharpe Ratio Rank: 73
VTWAX Sortino Ratio Rank: 67
VTWAX Omega Ratio Rank: 65
VTWAX Calmar Ratio Rank: 68
VTWAX Martin Ratio Rank: 75

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.

MRSK vs. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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.

	MRSK	VTWAX	Difference
Sharpe ratio Return per unit of total volatility	1.84	2.49	-0.65
Sortino ratio Return per unit of downside risk	2.53	3.41	-0.88
Omega ratio Gain probability vs. loss probability	1.34	1.45	-0.11
Calmar ratio Return relative to maximum drawdown	2.46	3.19	-0.72
Martin ratio Return relative to average drawdown	9.92	14.26	-4.34
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MRSK vs. VTWAX - Sharpe Ratio Comparison

The current MRSK Sharpe Ratio is 1.84, which is comparable to the VTWAX Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of MRSK and VTWAX, 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

	MRSK	VTWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	2.49	-0.65
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	0.73	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.96	0.77	+0.19

Drawdowns

MRSK vs. VTWAX - Drawdown Comparison

The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for MRSK and VTWAX.

Drawdown Indicators

	MRSK	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-14.70%	-34.20%	+19.50%
Max Drawdown (1Y) Largest decline over 1 year	-7.82%	-9.64%	+1.82%
Max Drawdown (3Y) Largest decline over 3 years	-12.22%	-16.43%	+4.21%
Max Drawdown (5Y) Largest decline over 5 years	-14.70%	-26.40%	+11.70%
Current Drawdown Current decline from peak	-0.23%	0.00%	-0.23%
Average Drawdown Average peak-to-trough decline	-3.58%	-5.30%	+1.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.94%	2.15%	-0.21%

Volatility

MRSK vs. VTWAX - Volatility Comparison

The current volatility for Agility Shares Managed Risk ETF (MRSK) is 2.42%, while Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) has a volatility of 3.55%. This indicates that MRSK experiences smaller price fluctuations and is considered to be less risky than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MRSK	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.42%	3.55%	-1.13%
Volatility (6M) Calculated over the trailing 6-month period	8.29%	9.82%	-1.53%
Volatility (1Y) Calculated over the trailing 1-year period	10.47%	12.37%	-1.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.67%	15.71%	-4.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.84%	18.20%	-6.36%

MRSK vs. VTWAX - Expense Ratio Comparison

MRSK has a 0.99% expense ratio, which is higher than VTWAX's 0.10% expense ratio.

Dividends

MRSK vs. VTWAX - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.36%, less than VTWAX's 1.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
MRSK Agility Shares Managed Risk ETF	0.36%	0.37%	0.44%	0.60%	1.11%	14.20%	4.29%	0.00%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.56%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%

Frequently Asked Questions

Can I hold both MRSK and VTWAX in my portfolio?

MRSK and VTWAX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MRSK or VTWAX?

VTWAX has higher volatility (3.55%) compared to MRSK (2.42%). In terms of maximum drawdown, MRSK dropped -14.70% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

VTWAX currently has the higher Sharpe Ratio (2.49 vs 1.84), 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.