VFMFX vs. VESGX
VFMFX (Vanguard U.S. Multifactor Fund Admiral Shares) and VESGX (Vanguard Global ESG Select Stock Fund Admiral Shares) are both mutual funds - VFMFX is a Multi-factor fund actively managed by Vanguard, while VESGX is a ESG fund managed by Vanguard. Over the past 5 years, VFMFX returned 14.27%/yr vs 12.06%/yr for VESGX. Their correlation of 0.81 means they have usually moved in the same direction. VFMFX charges 0.18%/yr vs 0.46%/yr for VESGX.
Performance
VFMFX vs. VESGX - Performance Comparison
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Returns By Period
In the year-to-date period, VFMFX achieves a 20.98% return, which is significantly higher than VESGX's 16.26% return.
VFMFX
- 1D
- -0.02%
- 1M
- 2.32%
- 6M
- 13.83%
- YTD
- 20.98%
- 1Y
- 37.18%
- 3Y*
- 19.84%
- 5Y*
- 14.27%
- 10Y*
- —
- ALL TIME*
- 12.17%
VESGX
- 1D
- 0.75%
- 1M
- 1.95%
- 6M
- 11.32%
- YTD
- 16.26%
- 1Y
- 23.52%
- 3Y*
- 18.02%
- 5Y*
- 12.06%
- 10Y*
- —
- ALL TIME*
- 15.07%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
VFMFX vs. VESGX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
VFMFX Vanguard U.S. Multifactor Fund Admiral Shares | 20.98% | 14.50% | 17.21% | 17.89% | -5.78% | 30.78% | 3.58% | 9.97% |
VESGX Vanguard Global ESG Select Stock Fund Admiral Shares | 16.26% | 15.26% | 16.40% | 19.61% | -10.76% | 22.34% | 19.43% | 11.83% |
Correlation
The correlation between VFMFX and VESGX is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.79 |
Correlation (3Y) Balances recent behavior with more history. | 0.79 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.80 |
Correlation (All Time) Calculated using the full available price history since Jun 14, 2019 | 0.81 |
The correlation between VFMFX and VESGX has been stable across timeframes, ranging from 0.79 to 0.81 - a consistent structural relationship.
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Return for Risk
VFMFX vs. VESGX — Risk / Return Rank
VFMFX
VESGX
VFMFX vs. VESGX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Multifactor Fund Admiral Shares (VFMFX) and Vanguard Global ESG Select Stock Fund Admiral Shares (VESGX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| VFMFX | VESGX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.10 | ||
| Sortino ratioReturn per unit of downside risk | +1.61 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.29 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 4.85 | 2.08 | +2.77 |
| Martin ratioReturn relative to average drawdown | 18.84 | 8.06 | +10.78 |
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Drawdowns
VFMFX vs. VESGX - Drawdown Comparison
The maximum VFMFX drawdown since its inception was -41.18%, which is greater than VESGX's maximum drawdown of -30.52%. Use the drawdown chart below to compare losses from any high point for VFMFX and VESGX.
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Drawdown Indicators
| VFMFX | VESGX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.18% | -30.52% | -10.66% |
Max Drawdown (1Y)Largest decline over 1 year | -7.31% | -10.79% | +3.48% |
Max Drawdown (3Y)Largest decline over 3 years | -21.18% | -12.27% | -8.91% |
Max Drawdown (5Y)Largest decline over 5 years | -21.18% | -23.70% | +2.52% |
Current DrawdownCurrent decline from peak | -0.55% | 0.00% | -0.55% |
Average DrawdownAverage peak-to-trough decline | -5.78% | -3.98% | -1.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 2.78% | -0.90% |
Volatility
VFMFX vs. VESGX - Volatility Comparison
The current volatility for Vanguard U.S. Multifactor Fund Admiral Shares (VFMFX) is 2.61%, while Vanguard Global ESG Select Stock Fund Admiral Shares (VESGX) has a volatility of 3.99%. This indicates that VFMFX experiences smaller price fluctuations and is considered to be less risky than VESGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VFMFX | VESGX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 3.99% | -1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 9.00% | 11.27% | -2.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.94% | 13.69% | -0.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.82% | 14.77% | +3.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.08% | 17.27% | +3.81% |
VFMFX vs. VESGX - Expense Ratio Comparison
VFMFX has a 0.18% expense ratio, which is lower than VESGX's 0.46% expense ratio.
Dividends
VFMFX vs. VESGX - Dividend Comparison
VFMFX's dividend yield for the trailing twelve months is around 2.66%, less than VESGX's 3.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
VESGX Vanguard Global ESG Select Stock Fund Admiral Shares | 3.77% | 6.98% | 5.05% | 1.81% | 2.24% | 2.74% | 1.06% | 0.82% | 0.00% |
VFMFX Vanguard U.S. Multifactor Fund Admiral Shares | 2.66% | 2.69% | 3.29% | 1.66% | 2.09% | 1.37% | 1.48% | 1.63% | 1.45% |
Frequently Asked Questions
VFMFX and VESGX have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VESGX has higher volatility (3.99%) compared to VFMFX (2.61%). In terms of maximum drawdown, VFMFX dropped -41.18% vs VESGX's -30.52%.
VFMFX currently has the higher Sharpe Ratio (2.75 vs 1.64), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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