PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VFICX vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between VFICX and ^TNX is -0.83. 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.


-0.50.00.51.0-0.8

Performance

VFICX vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Intermediate-Term Investment-Grade Fund Investor Shares (VFICX) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.43%
6.50%
VFICX
^TNX

Key characteristics

Sharpe Ratio

VFICX:

0.66

^TNX:

0.75

Sortino Ratio

VFICX:

0.97

^TNX:

1.25

Omega Ratio

VFICX:

1.11

^TNX:

1.14

Calmar Ratio

VFICX:

0.26

^TNX:

0.30

Martin Ratio

VFICX:

2.18

^TNX:

1.62

Ulcer Index

VFICX:

1.67%

^TNX:

10.31%

Daily Std Dev

VFICX:

5.54%

^TNX:

22.26%

Max Drawdown

VFICX:

-22.68%

^TNX:

-93.78%

Current Drawdown

VFICX:

-8.48%

^TNX:

-43.61%

Returns By Period

In the year-to-date period, VFICX achieves a 2.92% return, which is significantly lower than ^TNX's 17.02% return. Over the past 10 years, VFICX has underperformed ^TNX with an annualized return of 1.79%, while ^TNX has yielded a comparatively higher 7.22% annualized return.


VFICX

YTD

2.92%

1M

-0.19%

6M

2.43%

1Y

3.76%

5Y*

0.07%

10Y*

1.79%

^TNX

YTD

17.02%

1M

2.68%

6M

6.27%

1Y

16.18%

5Y*

18.78%

10Y*

7.22%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

VFICX vs. ^TNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Intermediate-Term Investment-Grade Fund Investor Shares (VFICX) and Treasury Yield 10 Years (^TNX). 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 VFICX, currently valued at 0.66, compared to the broader market-1.000.001.002.003.004.000.660.75
The chart of Sortino ratio for VFICX, currently valued at 0.97, compared to the broader market-2.000.002.004.006.008.0010.000.971.25
The chart of Omega ratio for VFICX, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.003.501.111.14
The chart of Calmar ratio for VFICX, currently valued at 0.26, compared to the broader market0.002.004.006.008.0010.0012.0014.000.260.30
The chart of Martin ratio for VFICX, currently valued at 2.18, compared to the broader market0.0020.0040.0060.002.181.62
VFICX
^TNX

The current VFICX Sharpe Ratio is 0.66, which is comparable to the ^TNX Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of VFICX and ^TNX, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.66
0.75
VFICX
^TNX

Drawdowns

VFICX vs. ^TNX - Drawdown Comparison

The maximum VFICX drawdown since its inception was -22.68%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for VFICX and ^TNX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-8.48%
-43.61%
VFICX
^TNX

Volatility

VFICX vs. ^TNX - Volatility Comparison

The current volatility for Vanguard Intermediate-Term Investment-Grade Fund Investor Shares (VFICX) is 1.77%, while Treasury Yield 10 Years (^TNX) has a volatility of 6.15%. This indicates that VFICX experiences smaller price fluctuations and is considered to be less risky than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
1.77%
6.15%
VFICX
^TNX
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