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

Key characteristics


VFIIXVBMFX
YTD Return1.66%2.12%
1Y Return8.75%8.85%
3Y Return (Ann)-1.71%-2.52%
5Y Return (Ann)-0.32%-0.12%
10Y Return (Ann)0.91%1.35%
Sharpe Ratio1.271.36
Sortino Ratio1.852.01
Omega Ratio1.231.25
Calmar Ratio0.580.49
Martin Ratio4.454.78
Ulcer Index1.77%1.66%
Daily Std Dev6.22%5.81%
Max Drawdown-16.10%-19.21%
Current Drawdown-5.80%-8.90%

Correlation

-0.50.00.51.00.9

The correlation between VFIIX and VBMFX is 0.85, 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.

Performance

VFIIX vs. VBMFX - Performance Comparison

In the year-to-date period, VFIIX achieves a 1.66% return, which is significantly lower than VBMFX's 2.12% return. Over the past 10 years, VFIIX has underperformed VBMFX with an annualized return of 0.91%, while VBMFX has yielded a comparatively higher 1.35% annualized 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
3.93%
4.18%
VFIIX
VBMFX

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VFIIX vs. VBMFX - Expense Ratio Comparison

VFIIX has a 0.21% expense ratio, which is higher than VBMFX's 0.15% 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 VBMFX: 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

VFIIX vs. VBMFX - 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 Index Fund (VBMFX). 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.


VFIIX
Sharpe ratio
The chart of Sharpe ratio for VFIIX, currently valued at 1.27, compared to the broader market0.002.004.001.27
Sortino ratio
The chart of Sortino ratio for VFIIX, currently valued at 1.85, compared to the broader market0.005.0010.001.85
Omega ratio
The chart of Omega ratio for VFIIX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for VFIIX, currently valued at 0.58, compared to the broader market0.005.0010.0015.0020.0025.000.58
Martin ratio
The chart of Martin ratio for VFIIX, currently valued at 4.45, compared to the broader market0.0020.0040.0060.0080.00100.004.45
VBMFX
Sharpe ratio
The chart of Sharpe ratio for VBMFX, currently valued at 1.36, compared to the broader market0.002.004.001.36
Sortino ratio
The chart of Sortino ratio for VBMFX, currently valued at 2.01, compared to the broader market0.005.0010.002.01
Omega ratio
The chart of Omega ratio for VBMFX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for VBMFX, currently valued at 0.48, compared to the broader market0.005.0010.0015.0020.0025.000.49
Martin ratio
The chart of Martin ratio for VBMFX, currently valued at 4.78, compared to the broader market0.0020.0040.0060.0080.00100.004.78

VFIIX vs. VBMFX - Sharpe Ratio Comparison

The current VFIIX Sharpe Ratio is 1.27, which is comparable to the VBMFX Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of VFIIX and VBMFX, 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
1.27
1.36
VFIIX
VBMFX

Dividends

VFIIX vs. VBMFX - Dividend Comparison

VFIIX's dividend yield for the trailing twelve months is around 3.49%, more than VBMFX's 3.45% yield.


TTM20232022202120202019201820172016201520142013
VFIIX
Vanguard GNMA Fund Investor Shares
3.49%3.24%2.35%0.75%1.87%2.76%2.90%2.65%2.30%2.34%2.58%2.31%
VBMFX
Vanguard Total Bond Market Index Fund
3.45%3.00%2.42%1.81%2.14%2.64%2.67%2.43%2.38%2.38%2.43%2.43%

Drawdowns

VFIIX vs. VBMFX - Drawdown Comparison

The maximum VFIIX drawdown since its inception was -16.10%, smaller than the maximum VBMFX drawdown of -19.21%. Use the drawdown chart below to compare losses from any high point for VFIIX and VBMFX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%JuneJulyAugustSeptemberOctoberNovember
-5.80%
-8.90%
VFIIX
VBMFX

Volatility

VFIIX vs. VBMFX - Volatility Comparison

Vanguard GNMA Fund Investor Shares (VFIIX) and Vanguard Total Bond Market Index Fund (VBMFX) have volatilities of 1.61% and 1.66%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
1.61%
1.66%
VFIIX
VBMFX