SSFEX vs. VMBSX
SSFEX (State Street Aggregate Bond Index Fund Class K) and VMBSX (Vanguard Mortgage-Backed Securities Index Fund Admiral Shares) are both Total Bond Market funds. Over the past 10 years, SSFEX returned -19.32%/yr vs 1.85%/yr for VMBSX. Their correlation of 0.86 suggests significant overlap in exposure. SSFEX charges 0.03%/yr vs 0.07%/yr for VMBSX.
Performance
SSFEX vs. VMBSX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, SSFEX achieves a 0.21% return, which is significantly lower than VMBSX's 0.60% return. Over the past 10 years, SSFEX has underperformed VMBSX with an annualized return of -19.32%, while VMBSX has yielded a comparatively higher 1.85% annualized return.
SSFEX
- 1D
- -0.21%
- 1M
- 0.08%
- YTD
- 0.21%
- 6M
- 0.32%
- 1Y
- 4.54%
- 3Y*
- 3.82%
- 5Y*
- -0.01%
- 10Y*
- -19.32%
VMBSX
- 1D
- -0.21%
- 1M
- 0.08%
- YTD
- 0.60%
- 6M
- 0.94%
- 1Y
- 6.11%
- 3Y*
- 4.62%
- 5Y*
- 0.47%
- 10Y*
- 1.85%
SSFEX vs. VMBSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SSFEX State Street Aggregate Bond Index Fund Class K | 0.21% | 6.80% | 1.35% | 5.61% | -13.19% | -1.78% | -89.22% | 9.45% | -0.10% | 3.30% |
VMBSX Vanguard Mortgage-Backed Securities Index Fund Admiral Shares | 0.60% | 8.43% | 1.76% | 4.99% | -11.56% | -1.35% | 3.74% | 11.47% | 0.87% | 2.32% |
Correlation
The correlation between SSFEX and VMBSX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Sep 23, 2014 | 0.86 |
The correlation between SSFEX and VMBSX has been stable across timeframes, ranging from 0.86 to 0.96 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
SSFEX vs. VMBSX — Risk / Return Rank
SSFEX
VMBSX
SSFEX vs. VMBSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street Aggregate Bond Index Fund Class K (SSFEX) and Vanguard Mortgage-Backed Securities Index Fund Admiral Shares (VMBSX). 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.
| SSFEX | VMBSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.39 | ||
| Sortino ratioReturn per unit of downside risk | -0.57 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.33 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.89 | 2.54 | -0.65 |
| Martin ratioReturn relative to average drawdown | 5.75 | 8.52 | -2.77 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| SSFEX | VMBSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.39 | 1.78 | -0.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.00 | 0.07 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.61 | 0.38 | -0.99 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.55 | 0.58 | -1.14 |
Drawdowns
SSFEX vs. VMBSX - Drawdown Comparison
The maximum SSFEX drawdown since its inception was -92.70%, which is greater than VMBSX's maximum drawdown of -17.44%. Use the drawdown chart below to compare losses from any high point for SSFEX and VMBSX.
Loading charts...
Drawdown Indicators
| SSFEX | VMBSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -92.70% | -17.44% | -75.26% |
Max Drawdown (1Y)Largest decline over 1 year | -2.75% | -2.67% | -0.08% |
Max Drawdown (3Y)Largest decline over 3 years | -6.09% | -7.53% | +1.44% |
Max Drawdown (5Y)Largest decline over 5 years | -17.99% | -17.12% | -0.87% |
Max Drawdown (10Y)Largest decline over 10 years | -92.70% | -17.44% | -75.26% |
Current DrawdownCurrent decline from peak | -90.07% | -1.43% | -88.64% |
Average DrawdownAverage peak-to-trough decline | -48.01% | -2.48% | -45.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.90% | 0.79% | +0.11% |
Volatility
SSFEX vs. VMBSX - Volatility Comparison
The current volatility for State Street Aggregate Bond Index Fund Class K (SSFEX) is 1.27%, while Vanguard Mortgage-Backed Securities Index Fund Admiral Shares (VMBSX) has a volatility of 1.43%. This indicates that SSFEX experiences smaller price fluctuations and is considered to be less risky than VMBSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| SSFEX | VMBSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.27% | 1.43% | -0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 2.63% | 2.72% | -0.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.74% | 3.82% | -0.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.93% | 6.40% | -0.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.83% | 4.86% | +26.97% |
SSFEX vs. VMBSX - Expense Ratio Comparison
SSFEX has a 0.03% expense ratio, which is lower than VMBSX's 0.07% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SSFEX vs. VMBSX - Dividend Comparison
SSFEX's dividend yield for the trailing twelve months is around 4.13%, which matches VMBSX's 4.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSFEX State Street Aggregate Bond Index Fund Class K | 4.13% | 3.66% | 3.76% | 3.14% | 2.48% | 3.32% | 9.59% | 3.56% | 2.79% | 2.43% | 2.19% | 4.67% |
VMBSX Vanguard Mortgage-Backed Securities Index Fund Admiral Shares | 4.17% | 4.18% | 4.24% | 3.28% | 2.31% | 0.99% | 2.00% | 7.48% | 2.72% | 2.16% | 1.98% | 2.01% |
Frequently Asked Questions
With a correlation of 0.96, SSFEX and VMBSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VMBSX has higher volatility (1.43%) compared to SSFEX (1.27%). In terms of maximum drawdown, SSFEX dropped -92.70% vs VMBSX's -17.44%.
VMBSX currently has the higher Sharpe Ratio (1.78 vs 1.39), 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.
Find the right allocation for SSFEX and VMBSX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer