PG vs. VMNFX
PG (The Procter & Gamble Company) is a stock, while VMNFX (Vanguard Market Neutral Fund Investor Shares) is Long-Short fund managed by Vanguard. Over the past 10 years, PG returned 8.96%/yr vs 5.04%/yr for VMNFX. At a correlation of -0.02, they often move in opposite directions.
Performance
PG vs. VMNFX - Performance Comparison
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Returns By Period
In the year-to-date period, PG achieves a 5.93% return, which is significantly lower than VMNFX's 12.24% return. Over the past 10 years, PG has outperformed VMNFX with an annualized return of 8.96%, while VMNFX has yielded a comparatively lower 5.04% annualized return.
PG
- 1D
- 0.86%
- 1M
- 5.18%
- YTD
- 5.93%
- 6M
- 6.28%
- 1Y
- -5.68%
- 3Y*
- 3.69%
- 5Y*
- 4.73%
- 10Y*
- 8.96%
VMNFX
- 1D
- 0.32%
- 1M
- 1.75%
- YTD
- 12.24%
- 6M
- 13.84%
- 1Y
- 19.63%
- 3Y*
- 13.34%
- 5Y*
- 13.18%
- 10Y*
- 5.04%
PG vs. VMNFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 5.93% | -12.26% | 17.25% | -0.86% | -5.05% | 20.52% | 14.15% | 39.70% | 3.57% | 12.69% |
VMNFX Vanguard Market Neutral Fund Investor Shares | 12.24% | 9.27% | 5.78% | 12.23% | 13.48% | 23.24% | -11.58% | -9.57% | 0.60% | -4.89% |
Correlation
The correlation between PG and VMNFX is -0.05, 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 | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since Nov 16, 1998 | -0.02 |
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Return for Risk
PG vs. VMNFX — Risk / Return Rank
PG
VMNFX
PG vs. VMNFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Procter & Gamble Company (PG) 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.
| PG | VMNFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.92 | ||
| Sortino ratioReturn per unit of downside risk | -4.25 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.48 | -0.52 |
| Calmar ratioReturn relative to maximum drawdown | -0.37 | 4.33 | -4.70 |
| Martin ratioReturn relative to average drawdown | -0.68 | 12.14 | -12.82 |
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Drawdowns
PG vs. VMNFX - Drawdown Comparison
The maximum PG drawdown since its inception was -54.25%, which is greater than VMNFX's maximum drawdown of -26.42%. Use the drawdown chart below to compare losses from any high point for PG and VMNFX.
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Drawdown Indicators
| PG | VMNFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -26.42% | -27.83% |
Max Drawdown (1Y)Largest decline over 1 year | -15.52% | -4.65% | -10.87% |
Max Drawdown (3Y)Largest decline over 3 years | -21.15% | -5.44% | -15.71% |
Max Drawdown (5Y)Largest decline over 5 years | -23.77% | -6.75% | -17.02% |
Max Drawdown (10Y)Largest decline over 10 years | -23.77% | -25.09% | +1.32% |
Current DrawdownCurrent decline from peak | -13.29% | -0.19% | -13.10% |
Average DrawdownAverage peak-to-trough decline | -12.16% | -8.75% | -3.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.80% | 1.66% | +7.14% |
Volatility
PG vs. VMNFX - Volatility Comparison
The Procter & Gamble Company (PG) has a higher volatility of 6.99% compared to Vanguard Market Neutral Fund Investor Shares (VMNFX) at 1.65%. This indicates that PG's price experiences larger fluctuations and is considered to be riskier than VMNFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PG | VMNFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.99% | 1.65% | +5.34% |
Volatility (6M)Calculated over the trailing 6-month period | 15.01% | 5.57% | +9.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.78% | 7.71% | +11.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.82% | 7.21% | +10.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.05% | 6.39% | +12.66% |
Dividends
PG vs. VMNFX - Dividend Comparison
PG's dividend yield for the trailing twelve months is around 2.85%, less than VMNFX's 3.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 2.85% | 2.91% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% |
VMNFX Vanguard Market Neutral Fund Investor Shares | 3.13% | 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
PG and VMNFX have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PG has higher volatility (6.99%) compared to VMNFX (1.65%). In terms of maximum drawdown, PG dropped -54.25% vs VMNFX's -26.42%.
VMNFX currently has the higher Sharpe Ratio (2.61 vs -0.30), 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.
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