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

Performance

VCORX vs. VTEB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Core Bond Fund Investor Shares (VCORX) and Vanguard Tax-Exempt Bond ETF (VTEB). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.44%
3.38%
VCORX
VTEB

Returns By Period

In the year-to-date period, VCORX achieves a 2.08% return, which is significantly higher than VTEB's 1.76% return.


VCORX

YTD

2.08%

1M

-0.41%

6M

3.43%

1Y

6.86%

5Y (annualized)

0.10%

10Y (annualized)

N/A

VTEB

YTD

1.76%

1M

1.14%

6M

3.38%

1Y

5.59%

5Y (annualized)

1.22%

10Y (annualized)

N/A

Key characteristics


VCORXVTEB
Sharpe Ratio1.251.44
Sortino Ratio1.842.11
Omega Ratio1.221.28
Calmar Ratio0.460.87
Martin Ratio4.146.08
Ulcer Index1.66%0.92%
Daily Std Dev5.50%3.88%
Max Drawdown-19.06%-17.00%
Current Drawdown-8.63%-1.05%

Compare stocks, funds, or ETFs

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


VCORX vs. VTEB - Expense Ratio Comparison

VCORX has a 0.20% expense ratio, which is higher than VTEB's 0.05% 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%.


VCORX
Vanguard Core Bond Fund Investor Shares
Expense ratio chart for VCORX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VTEB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.7

The correlation between VCORX and VTEB is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

VCORX vs. VTEB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Core Bond Fund Investor Shares (VCORX) and Vanguard Tax-Exempt Bond ETF (VTEB). 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 VCORX, currently valued at 1.25, compared to the broader market-1.000.001.002.003.004.005.001.251.44
The chart of Sortino ratio for VCORX, currently valued at 1.84, compared to the broader market0.005.0010.001.842.11
The chart of Omega ratio for VCORX, currently valued at 1.22, compared to the broader market1.002.003.004.001.221.28
The chart of Calmar ratio for VCORX, currently valued at 0.46, compared to the broader market0.005.0010.0015.0020.000.460.87
The chart of Martin ratio for VCORX, currently valued at 4.14, compared to the broader market0.0020.0040.0060.0080.00100.004.146.08
VCORX
VTEB

The current VCORX Sharpe Ratio is 1.25, which is comparable to the VTEB Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of VCORX and VTEB, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.25
1.44
VCORX
VTEB

Dividends

VCORX vs. VTEB - Dividend Comparison

VCORX's dividend yield for the trailing twelve months is around 4.50%, more than VTEB's 3.09% yield.


TTM202320222021202020192018201720162015
VCORX
Vanguard Core Bond Fund Investor Shares
4.50%3.99%2.91%1.11%1.65%2.92%2.99%2.09%1.59%0.00%
VTEB
Vanguard Tax-Exempt Bond ETF
3.09%2.79%2.09%1.65%1.99%2.30%2.25%1.96%1.66%0.58%

Drawdowns

VCORX vs. VTEB - Drawdown Comparison

The maximum VCORX drawdown since its inception was -19.06%, which is greater than VTEB's maximum drawdown of -17.00%. Use the drawdown chart below to compare losses from any high point for VCORX and VTEB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.63%
-1.05%
VCORX
VTEB

Volatility

VCORX vs. VTEB - Volatility Comparison

The current volatility for Vanguard Core Bond Fund Investor Shares (VCORX) is 1.54%, while Vanguard Tax-Exempt Bond ETF (VTEB) has a volatility of 1.83%. This indicates that VCORX experiences smaller price fluctuations and is considered to be less risky than VTEB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
1.54%
1.83%
VCORX
VTEB