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VCPIX vs. FLDR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VCPIXFLDR
YTD Return3.34%5.14%
1Y Return10.36%6.75%
3Y Return (Ann)-1.51%3.63%
Sharpe Ratio1.726.66
Sortino Ratio2.5313.46
Omega Ratio1.312.77
Calmar Ratio0.7125.03
Martin Ratio7.03103.31
Ulcer Index1.36%0.07%
Daily Std Dev5.56%1.01%
Max Drawdown-17.33%-12.23%
Current Drawdown-4.45%0.00%

Correlation

-0.50.00.51.00.6

The correlation between VCPIX and FLDR is 0.62, 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.

Performance

VCPIX vs. FLDR - Performance Comparison

In the year-to-date period, VCPIX achieves a 3.34% return, which is significantly lower than FLDR's 5.14% 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%8.00%JuneJulyAugustSeptemberOctoberNovember
4.58%
3.07%
VCPIX
FLDR

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VCPIX vs. FLDR - Expense Ratio Comparison

VCPIX has a 0.30% expense ratio, which is higher than FLDR's 0.15% expense ratio.


VCPIX
Vanguard Core-Plus Bond Fund Investor Shares
Expense ratio chart for VCPIX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for FLDR: 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%

Risk-Adjusted Performance

VCPIX vs. FLDR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Core-Plus Bond Fund Investor Shares (VCPIX) and Fidelity Low Duration Bond Factor ETF (FLDR). 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.


VCPIX
Sharpe ratio
The chart of Sharpe ratio for VCPIX, currently valued at 1.72, compared to the broader market0.002.004.001.72
Sortino ratio
The chart of Sortino ratio for VCPIX, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for VCPIX, currently valued at 1.31, compared to the broader market1.002.003.004.001.31
Calmar ratio
The chart of Calmar ratio for VCPIX, currently valued at 0.71, compared to the broader market0.005.0010.0015.0020.000.71
Martin ratio
The chart of Martin ratio for VCPIX, currently valued at 7.03, compared to the broader market0.0020.0040.0060.0080.00100.007.03
FLDR
Sharpe ratio
The chart of Sharpe ratio for FLDR, currently valued at 6.66, compared to the broader market0.002.004.006.66
Sortino ratio
The chart of Sortino ratio for FLDR, currently valued at 13.46, compared to the broader market0.005.0010.0013.46
Omega ratio
The chart of Omega ratio for FLDR, currently valued at 2.77, compared to the broader market1.002.003.004.002.77
Calmar ratio
The chart of Calmar ratio for FLDR, currently valued at 25.03, compared to the broader market0.005.0010.0015.0020.0025.03
Martin ratio
The chart of Martin ratio for FLDR, currently valued at 103.31, compared to the broader market0.0020.0040.0060.0080.00100.00103.31

VCPIX vs. FLDR - Sharpe Ratio Comparison

The current VCPIX Sharpe Ratio is 1.72, which is lower than the FLDR Sharpe Ratio of 6.66. The chart below compares the historical Sharpe Ratios of VCPIX and FLDR, 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 Ratio0.001.002.003.004.005.006.007.00JuneJulyAugustSeptemberOctoberNovember
1.72
6.66
VCPIX
FLDR

Dividends

VCPIX vs. FLDR - Dividend Comparison

VCPIX's dividend yield for the trailing twelve months is around 4.70%, less than FLDR's 5.58% yield.


TTM202320222021202020192018
VCPIX
Vanguard Core-Plus Bond Fund Investor Shares
4.70%4.48%3.16%0.26%0.00%0.00%0.00%
FLDR
Fidelity Low Duration Bond Factor ETF
5.58%5.28%2.09%0.51%1.22%2.69%1.38%

Drawdowns

VCPIX vs. FLDR - Drawdown Comparison

The maximum VCPIX drawdown since its inception was -17.33%, which is greater than FLDR's maximum drawdown of -12.23%. Use the drawdown chart below to compare losses from any high point for VCPIX and FLDR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
0
VCPIX
FLDR

Volatility

VCPIX vs. FLDR - Volatility Comparison

Vanguard Core-Plus Bond Fund Investor Shares (VCPIX) has a higher volatility of 1.50% compared to Fidelity Low Duration Bond Factor ETF (FLDR) at 0.30%. This indicates that VCPIX's price experiences larger fluctuations and is considered to be riskier than FLDR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
1.50%
0.30%
VCPIX
FLDR