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MWTIX vs. VBTIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MWTIX and VBTIX is 0.87, 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.


-0.50.00.51.00.9

Performance

MWTIX vs. VBTIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Metropolitan West Total Return Bond Fund Class I (MWTIX) and Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
0.16%
1.00%
MWTIX
VBTIX

Key characteristics

Sharpe Ratio

MWTIX:

0.06

VBTIX:

0.26

Sortino Ratio

MWTIX:

0.13

VBTIX:

0.40

Omega Ratio

MWTIX:

1.02

VBTIX:

1.05

Calmar Ratio

MWTIX:

0.02

VBTIX:

0.11

Martin Ratio

MWTIX:

0.17

VBTIX:

0.74

Ulcer Index

MWTIX:

2.43%

VBTIX:

1.94%

Daily Std Dev

MWTIX:

6.40%

VBTIX:

5.50%

Max Drawdown

MWTIX:

-23.26%

VBTIX:

-19.01%

Current Drawdown

MWTIX:

-14.71%

VBTIX:

-9.69%

Returns By Period

In the year-to-date period, MWTIX achieves a -0.18% return, which is significantly lower than VBTIX's 0.83% return. Over the past 10 years, MWTIX has underperformed VBTIX with an annualized return of 0.48%, while VBTIX has yielded a comparatively higher 1.31% annualized return.


MWTIX

YTD

-0.18%

1M

-1.23%

6M

0.16%

1Y

0.41%

5Y*

-1.44%

10Y*

0.48%

VBTIX

YTD

0.83%

1M

-0.53%

6M

1.00%

1Y

1.44%

5Y*

-0.42%

10Y*

1.31%

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MWTIX vs. VBTIX - Expense Ratio Comparison

MWTIX has a 0.45% expense ratio, which is higher than VBTIX's 0.04% expense ratio.


MWTIX
Metropolitan West Total Return Bond Fund Class I
Expense ratio chart for MWTIX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VBTIX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

MWTIX vs. VBTIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Metropolitan West Total Return Bond Fund Class I (MWTIX) and Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX). 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.


Sharpe ratio
The chart of Sharpe ratio for MWTIX, currently valued at 0.06, compared to the broader market-1.000.001.002.003.004.000.060.26
The chart of Sortino ratio for MWTIX, currently valued at 0.13, compared to the broader market-2.000.002.004.006.008.0010.000.130.40
The chart of Omega ratio for MWTIX, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.003.501.021.05
The chart of Calmar ratio for MWTIX, currently valued at 0.02, compared to the broader market0.002.004.006.008.0010.0012.000.020.11
The chart of Martin ratio for MWTIX, currently valued at 0.17, compared to the broader market0.0020.0040.0060.000.170.74
MWTIX
VBTIX

The current MWTIX Sharpe Ratio is 0.06, which is lower than the VBTIX Sharpe Ratio of 0.26. The chart below compares the historical Sharpe Ratios of MWTIX and VBTIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.06
0.26
MWTIX
VBTIX

Dividends

MWTIX vs. VBTIX - Dividend Comparison

MWTIX's dividend yield for the trailing twelve months is around 4.05%, more than VBTIX's 3.66% yield.


TTM20232022202120202019201820172016201520142013
MWTIX
Metropolitan West Total Return Bond Fund Class I
4.05%4.11%2.93%1.30%1.78%2.76%2.73%2.16%2.09%1.84%2.30%3.13%
VBTIX
Vanguard Total Bond Market Index Fund Institutional Shares
3.66%3.12%2.54%1.91%2.25%2.74%2.78%2.53%2.49%2.51%2.57%2.56%

Drawdowns

MWTIX vs. VBTIX - Drawdown Comparison

The maximum MWTIX drawdown since its inception was -23.26%, which is greater than VBTIX's maximum drawdown of -19.01%. Use the drawdown chart below to compare losses from any high point for MWTIX and VBTIX. For additional features, visit the drawdowns tool.


-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%JulyAugustSeptemberOctoberNovemberDecember
-14.71%
-9.69%
MWTIX
VBTIX

Volatility

MWTIX vs. VBTIX - Volatility Comparison

Metropolitan West Total Return Bond Fund Class I (MWTIX) has a higher volatility of 1.80% compared to Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX) at 1.69%. This indicates that MWTIX's price experiences larger fluctuations and is considered to be riskier than VBTIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JulyAugustSeptemberOctoberNovemberDecember
1.80%
1.69%
MWTIX
VBTIX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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