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

Correlation

The correlation between VEMBX and VTABX is 0.41, 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.


-0.50.00.51.00.4

Performance

VEMBX vs. VTABX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Emerging Markets Bond Fund Investor Shares (VEMBX) and Vanguard Total International Bond Index Fund Admiral Shares (VTABX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.71%
1.48%
VEMBX
VTABX

Key characteristics

Sharpe Ratio

VEMBX:

1.28

VTABX:

0.33

Sortino Ratio

VEMBX:

1.84

VTABX:

0.45

Omega Ratio

VEMBX:

1.23

VTABX:

1.06

Calmar Ratio

VEMBX:

0.86

VTABX:

0.15

Martin Ratio

VEMBX:

6.14

VTABX:

1.29

Ulcer Index

VEMBX:

1.03%

VTABX:

1.06%

Daily Std Dev

VEMBX:

4.95%

VTABX:

4.16%

Max Drawdown

VEMBX:

-25.61%

VTABX:

-16.16%

Current Drawdown

VEMBX:

-3.05%

VTABX:

-6.05%

Returns By Period

In the year-to-date period, VEMBX achieves a 5.92% return, which is significantly higher than VTABX's 1.57% return.


VEMBX

YTD

5.92%

1M

-1.57%

6M

2.72%

1Y

6.35%

5Y*

2.93%

10Y*

N/A

VTABX

YTD

1.57%

1M

-1.81%

6M

1.48%

1Y

1.47%

5Y*

-0.36%

10Y*

1.73%

Compare stocks, funds, or ETFs

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


VEMBX vs. VTABX - Expense Ratio Comparison

VEMBX has a 0.55% expense ratio, which is higher than VTABX's 0.11% expense ratio.


VEMBX
Vanguard Emerging Markets Bond Fund Investor Shares
Expense ratio chart for VEMBX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for VTABX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

VEMBX vs. VTABX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Emerging Markets Bond Fund Investor Shares (VEMBX) and Vanguard Total International Bond Index Fund Admiral Shares (VTABX). 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 VEMBX, currently valued at 1.28, compared to the broader market-1.000.001.002.003.004.001.280.33
The chart of Sortino ratio for VEMBX, currently valued at 1.84, compared to the broader market-2.000.002.004.006.008.0010.001.840.45
The chart of Omega ratio for VEMBX, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.003.501.231.06
The chart of Calmar ratio for VEMBX, currently valued at 0.86, compared to the broader market0.002.004.006.008.0010.0012.000.860.15
The chart of Martin ratio for VEMBX, currently valued at 6.14, compared to the broader market0.0020.0040.0060.006.141.29
VEMBX
VTABX

The current VEMBX Sharpe Ratio is 1.28, which is higher than the VTABX Sharpe Ratio of 0.33. The chart below compares the historical Sharpe Ratios of VEMBX and VTABX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.28
0.33
VEMBX
VTABX

Dividends

VEMBX vs. VTABX - Dividend Comparison

VEMBX's dividend yield for the trailing twelve months is around 5.37%, more than VTABX's 2.08% yield.


TTM20232022202120202019201820172016201520142013
VEMBX
Vanguard Emerging Markets Bond Fund Investor Shares
5.37%7.06%5.45%3.52%3.27%4.40%4.80%4.52%4.03%0.00%0.00%0.00%
VTABX
Vanguard Total International Bond Index Fund Admiral Shares
2.08%4.39%1.48%3.04%0.93%3.38%2.99%2.24%1.90%1.64%1.54%0.87%

Drawdowns

VEMBX vs. VTABX - Drawdown Comparison

The maximum VEMBX drawdown since its inception was -25.61%, which is greater than VTABX's maximum drawdown of -16.16%. Use the drawdown chart below to compare losses from any high point for VEMBX and VTABX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.05%
-6.05%
VEMBX
VTABX

Volatility

VEMBX vs. VTABX - Volatility Comparison

The current volatility for Vanguard Emerging Markets Bond Fund Investor Shares (VEMBX) is 1.39%, while Vanguard Total International Bond Index Fund Admiral Shares (VTABX) has a volatility of 2.40%. This indicates that VEMBX experiences smaller price fluctuations and is considered to be less risky than VTABX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.39%
2.40%
VEMBX
VTABX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab