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VBMFX vs. VSIGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VBMFXVSIGX
YTD Return1.91%1.47%
1Y Return8.39%6.22%
3Y Return (Ann)-2.31%-1.99%
5Y Return (Ann)-0.22%-0.39%
10Y Return (Ann)1.31%0.99%
Sharpe Ratio1.501.25
Sortino Ratio2.231.85
Omega Ratio1.271.22
Calmar Ratio0.530.42
Martin Ratio5.183.91
Ulcer Index1.67%1.60%
Daily Std Dev5.76%5.04%
Max Drawdown-19.21%-17.20%
Current Drawdown-9.09%-9.77%

Correlation

-0.50.00.51.00.9

The correlation between VBMFX and VSIGX is 0.92, 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.

Performance

VBMFX vs. VSIGX - Performance Comparison

In the year-to-date period, VBMFX achieves a 1.91% return, which is significantly higher than VSIGX's 1.47% return. Over the past 10 years, VBMFX has outperformed VSIGX with an annualized return of 1.31%, while VSIGX has yielded a comparatively lower 0.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.63%
3.00%
VBMFX
VSIGX

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VBMFX vs. VSIGX - Expense Ratio Comparison

VBMFX has a 0.15% expense ratio, which is higher than VSIGX's 0.07% 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%.


VBMFX
Vanguard Total Bond Market Index Fund
Expense ratio chart for VBMFX: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VSIGX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VBMFX vs. VSIGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total Bond Market Index Fund (VBMFX) and Vanguard Intermediate-Term Treasury Index Fund Admiral Shares (VSIGX). 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.


VBMFX
Sharpe ratio
The chart of Sharpe ratio for VBMFX, currently valued at 1.50, compared to the broader market0.002.004.001.50
Sortino ratio
The chart of Sortino ratio for VBMFX, currently valued at 2.23, compared to the broader market0.005.0010.002.23
Omega ratio
The chart of Omega ratio for VBMFX, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for VBMFX, currently valued at 0.53, compared to the broader market0.005.0010.0015.0020.0025.000.53
Martin ratio
The chart of Martin ratio for VBMFX, currently valued at 5.18, compared to the broader market0.0020.0040.0060.0080.00100.005.18
VSIGX
Sharpe ratio
The chart of Sharpe ratio for VSIGX, currently valued at 1.25, compared to the broader market0.002.004.001.25
Sortino ratio
The chart of Sortino ratio for VSIGX, currently valued at 1.85, compared to the broader market0.005.0010.001.85
Omega ratio
The chart of Omega ratio for VSIGX, currently valued at 1.22, compared to the broader market1.002.003.004.001.22
Calmar ratio
The chart of Calmar ratio for VSIGX, currently valued at 0.42, compared to the broader market0.005.0010.0015.0020.0025.000.42
Martin ratio
The chart of Martin ratio for VSIGX, currently valued at 3.91, compared to the broader market0.0020.0040.0060.0080.00100.003.91

VBMFX vs. VSIGX - Sharpe Ratio Comparison

The current VBMFX Sharpe Ratio is 1.50, which is comparable to the VSIGX Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of VBMFX and VSIGX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.50
1.25
VBMFX
VSIGX

Dividends

VBMFX vs. VSIGX - Dividend Comparison

VBMFX's dividend yield for the trailing twelve months is around 3.46%, less than VSIGX's 3.53% yield.


TTM20232022202120202019201820172016201520142013
VBMFX
Vanguard Total Bond Market Index Fund
3.46%3.00%2.42%1.81%2.14%2.64%2.67%2.43%2.38%2.38%2.43%2.43%
VSIGX
Vanguard Intermediate-Term Treasury Index Fund Admiral Shares
3.53%2.70%1.70%1.11%1.51%2.21%2.06%1.67%1.56%1.66%1.56%1.34%

Drawdowns

VBMFX vs. VSIGX - Drawdown Comparison

The maximum VBMFX drawdown since its inception was -19.21%, which is greater than VSIGX's maximum drawdown of -17.20%. Use the drawdown chart below to compare losses from any high point for VBMFX and VSIGX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%JuneJulyAugustSeptemberOctoberNovember
-9.09%
-9.77%
VBMFX
VSIGX

Volatility

VBMFX vs. VSIGX - Volatility Comparison

Vanguard Total Bond Market Index Fund (VBMFX) has a higher volatility of 1.66% compared to Vanguard Intermediate-Term Treasury Index Fund Admiral Shares (VSIGX) at 1.26%. This indicates that VBMFX's price experiences larger fluctuations and is considered to be riskier than VSIGX 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%JuneJulyAugustSeptemberOctoberNovember
1.66%
1.26%
VBMFX
VSIGX