USFR vs. VMBS
USFR (WisdomTree Floating Rate Treasury Fund) and VMBS (Vanguard Mortgage-Backed Securities ETF) are both exchange-traded funds - USFR is a Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index, while VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index. Both are passively managed. Over the past 10 years, USFR returned 2.42%/yr vs 1.36%/yr for VMBS. At a correlation of -0.01, they often move in opposite directions. USFR charges 0.15%/yr vs 0.04%/yr for VMBS.
Performance
USFR vs. VMBS - Performance Comparison
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Returns By Period
In the year-to-date period, USFR achieves a 1.72% return, which is significantly higher than VMBS's 0.87% return. Over the past 10 years, USFR has outperformed VMBS with an annualized return of 2.42%, while VMBS has yielded a comparatively lower 1.36% annualized return.
USFR
- 1D
- 0.02%
- 1M
- 0.31%
- YTD
- 1.72%
- 6M
- 1.96%
- 1Y
- 4.03%
- 3Y*
- 4.77%
- 5Y*
- 3.70%
- 10Y*
- 2.42%
VMBS
- 1D
- -0.19%
- 1M
- 0.33%
- YTD
- 0.87%
- 6M
- 1.43%
- 1Y
- 6.09%
- 3Y*
- 4.69%
- 5Y*
- 0.53%
- 10Y*
- 1.36%
USFR vs. VMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
USFR WisdomTree Floating Rate Treasury Fund | 1.72% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 2.02% | 2.01% | 1.03% |
VMBS Vanguard Mortgage-Backed Securities ETF | 0.87% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
Correlation
The correlation between USFR and VMBS is -0.04, 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 | -0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Feb 4, 2014 | -0.01 |
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Return for Risk
USFR vs. VMBS — Risk / Return Rank
USFR
VMBS
USFR vs. VMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Floating Rate Treasury Fund (USFR) and Vanguard Mortgage-Backed Securities ETF (VMBS). 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.
| USFR | VMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +13.52 | ||
| Sortino ratioReturn per unit of downside risk | +48.51 | ||
| Omega ratioGain probability vs. loss probability | 13.43 | 1.26 | +12.17 |
| Calmar ratioReturn relative to maximum drawdown | 203.42 | 2.28 | +201.14 |
| Martin ratioReturn relative to average drawdown | 787.83 | 7.36 | +780.47 |
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Drawdowns
USFR vs. VMBS - Drawdown Comparison
The maximum USFR drawdown since its inception was -1.36%, smaller than the maximum VMBS drawdown of -17.47%. Use the drawdown chart below to compare losses from any high point for USFR and VMBS.
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Drawdown Indicators
| USFR | VMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -1.36% | -17.47% | +16.11% |
Max Drawdown (1Y)Largest decline over 1 year | -0.02% | -2.68% | +2.66% |
Max Drawdown (3Y)Largest decline over 3 years | -0.06% | -7.65% | +7.59% |
Max Drawdown (5Y)Largest decline over 5 years | -0.18% | -17.12% | +16.94% |
Max Drawdown (10Y)Largest decline over 10 years | -0.80% | -17.47% | +16.67% |
Current DrawdownCurrent decline from peak | 0.00% | -1.12% | +1.12% |
Average DrawdownAverage peak-to-trough decline | -0.16% | -2.49% | +2.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.01% | 0.83% | -0.82% |
Volatility
USFR vs. VMBS - Volatility Comparison
The current volatility for WisdomTree Floating Rate Treasury Fund (USFR) is 0.08%, while Vanguard Mortgage-Backed Securities ETF (VMBS) has a volatility of 1.57%. This indicates that USFR experiences smaller price fluctuations and is considered to be less risky than VMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| USFR | VMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.08% | 1.57% | -1.49% |
Volatility (6M)Calculated over the trailing 6-month period | 0.19% | 3.23% | -3.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.27% | 4.29% | -4.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.40% | 6.77% | -6.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.78% | 5.40% | -4.62% |
USFR vs. VMBS - Expense Ratio Comparison
USFR has a 0.15% expense ratio, which is higher than VMBS's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
USFR vs. VMBS - Dividend Comparison
USFR's dividend yield for the trailing twelve months is around 3.91%, less than VMBS's 4.18% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
USFR WisdomTree Floating Rate Treasury Fund | 3.91% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.18% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
USFR and VMBS have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VMBS has higher volatility (1.57%) compared to USFR (0.08%). In terms of maximum drawdown, USFR dropped -1.36% vs VMBS's -17.47%.
On 10-year performance, USFR leads with 2.42% vs 1.36% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, USFR has been the lower-risk option at 0.08%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, USFR has performed better with a 2.42% return vs 1.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.15% for USFR.
VMBS has the higher dividend yield at 4.18%, compared with 3.91% for USFR.
USFR is categorized as Government Bonds, while VMBS is Mortgage Backed Securities. USFR tracks Bloomberg U.S. Treasury Floating Rate Bond Index, while VMBS tracks Barclays Capital U.S. MBS Index. They also come from different issuers: WisdomTree and Vanguard. Their fees differ too: 0.15% for USFR and 0.04% for VMBS.
USFR currently has the higher Sharpe Ratio (14.95 vs 1.43), 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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