PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VBMFX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VBMFX vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total Bond Market Index Fund (VBMFX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.87%
12.49%
VBMFX
VTSAX

Returns By Period

In the year-to-date period, VBMFX achieves a 1.27% return, which is significantly lower than VTSAX's 24.74% return. Over the past 10 years, VBMFX has underperformed VTSAX with an annualized return of 1.24%, while VTSAX has yielded a comparatively higher 12.63% annualized return.


VBMFX

YTD

1.27%

1M

-0.73%

6M

2.88%

1Y

6.09%

5Y (annualized)

-0.45%

10Y (annualized)

1.24%

VTSAX

YTD

24.74%

1M

1.75%

6M

12.49%

1Y

32.61%

5Y (annualized)

14.94%

10Y (annualized)

12.63%

Key characteristics


VBMFXVTSAX
Sharpe Ratio1.102.57
Sortino Ratio1.633.44
Omega Ratio1.201.47
Calmar Ratio0.413.76
Martin Ratio3.5116.38
Ulcer Index1.77%1.97%
Daily Std Dev5.63%12.55%
Max Drawdown-19.21%-55.34%
Current Drawdown-9.66%-1.50%

Compare stocks, funds, or ETFs

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


VBMFX vs. VTSAX - Expense Ratio Comparison

VBMFX has a 0.15% expense ratio, which is higher than VTSAX'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%.


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 VTSAX: 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%

Correlation

-0.50.00.51.0-0.2

The correlation between VBMFX and VTSAX is -0.21. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

VBMFX vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total Bond Market Index Fund (VBMFX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 VBMFX, currently valued at 1.10, compared to the broader market-1.000.001.002.003.004.005.001.102.57
The chart of Sortino ratio for VBMFX, currently valued at 1.63, compared to the broader market0.005.0010.001.633.44
The chart of Omega ratio for VBMFX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.47
The chart of Calmar ratio for VBMFX, currently valued at 0.41, compared to the broader market0.005.0010.0015.0020.0025.000.413.76
The chart of Martin ratio for VBMFX, currently valued at 3.51, compared to the broader market0.0020.0040.0060.0080.00100.003.5116.38
VBMFX
VTSAX

The current VBMFX Sharpe Ratio is 1.10, which is lower than the VTSAX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of VBMFX and VTSAX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.10
2.57
VBMFX
VTSAX

Dividends

VBMFX vs. VTSAX - Dividend Comparison

VBMFX's dividend yield for the trailing twelve months is around 3.48%, more than VTSAX's 1.27% yield.


TTM20232022202120202019201820172016201520142013
VBMFX
Vanguard Total Bond Market Index Fund
3.48%3.00%2.42%1.81%2.14%2.64%2.67%2.43%2.38%2.38%2.43%2.43%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.27%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

VBMFX vs. VTSAX - Drawdown Comparison

The maximum VBMFX drawdown since its inception was -19.21%, smaller than the maximum VTSAX drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for VBMFX and VTSAX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.66%
-1.50%
VBMFX
VTSAX

Volatility

VBMFX vs. VTSAX - Volatility Comparison

The current volatility for Vanguard Total Bond Market Index Fund (VBMFX) is 1.48%, while Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) has a volatility of 4.25%. This indicates that VBMFX experiences smaller price fluctuations and is considered to be less risky than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.48%
4.25%
VBMFX
VTSAX