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VFIIX vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VFIIX vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard GNMA Fund Investor Shares (VFIIX) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.37%
3.23%
VFIIX
BND

Returns By Period

In the year-to-date period, VFIIX achieves a 1.00% return, which is significantly lower than BND's 1.66% return. Over the past 10 years, VFIIX has underperformed BND with an annualized return of 0.80%, while BND has yielded a comparatively higher 1.39% annualized return.


VFIIX

YTD

1.00%

1M

-0.67%

6M

3.37%

1Y

6.47%

5Y (annualized)

-0.51%

10Y (annualized)

0.80%

BND

YTD

1.66%

1M

-0.79%

6M

3.22%

1Y

6.06%

5Y (annualized)

-0.33%

10Y (annualized)

1.39%

Key characteristics


VFIIXBND
Sharpe Ratio1.041.09
Sortino Ratio1.511.59
Omega Ratio1.181.19
Calmar Ratio0.500.42
Martin Ratio3.303.51
Ulcer Index1.89%1.75%
Daily Std Dev6.00%5.65%
Max Drawdown-16.10%-18.84%
Current Drawdown-6.41%-9.11%

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VFIIX vs. BND - Expense Ratio Comparison

VFIIX has a 0.21% expense ratio, which is higher than BND's 0.03% 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%.


VFIIX
Vanguard GNMA Fund Investor Shares
Expense ratio chart for VFIIX: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.8

The correlation between VFIIX and BND is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

VFIIX vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard GNMA Fund Investor Shares (VFIIX) and Vanguard Total Bond Market ETF (BND). 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 VFIIX, currently valued at 1.04, compared to the broader market-1.000.001.002.003.004.005.001.041.09
The chart of Sortino ratio for VFIIX, currently valued at 1.51, compared to the broader market0.005.0010.001.511.59
The chart of Omega ratio for VFIIX, currently valued at 1.18, compared to the broader market1.002.003.004.001.181.19
The chart of Calmar ratio for VFIIX, currently valued at 0.50, compared to the broader market0.005.0010.0015.0020.000.500.42
The chart of Martin ratio for VFIIX, currently valued at 3.30, compared to the broader market0.0020.0040.0060.0080.00100.003.303.51
VFIIX
BND

The current VFIIX Sharpe Ratio is 1.04, which is comparable to the BND Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of VFIIX and BND, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.04
1.09
VFIIX
BND

Dividends

VFIIX vs. BND - Dividend Comparison

VFIIX's dividend yield for the trailing twelve months is around 3.51%, less than BND's 3.57% yield.


TTM20232022202120202019201820172016201520142013
VFIIX
Vanguard GNMA Fund Investor Shares
3.51%3.24%2.35%0.75%1.87%2.76%2.90%2.65%2.30%2.34%2.58%2.31%
BND
Vanguard Total Bond Market ETF
3.57%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

VFIIX vs. BND - Drawdown Comparison

The maximum VFIIX drawdown since its inception was -16.10%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for VFIIX and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-6.41%
-9.11%
VFIIX
BND

Volatility

VFIIX vs. BND - Volatility Comparison

The current volatility for Vanguard GNMA Fund Investor Shares (VFIIX) is 1.44%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.52%. This indicates that VFIIX experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%JuneJulyAugustSeptemberOctoberNovember
1.44%
1.52%
VFIIX
BND