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VGCAX vs. VEGBX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VGCAX vs. VEGBX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Credit Bond Fund Admiral Shares (VGCAX) and Vanguard Emerging Markets Bond Fund Admiral Shares (VEGBX). The values are adjusted to include any dividend payments, if applicable.

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.29%
5.45%
VGCAX
VEGBX

Returns By Period

In the year-to-date period, VGCAX achieves a 4.16% return, which is significantly lower than VEGBX's 7.68% return.


VGCAX

YTD

4.16%

1M

-0.26%

6M

4.29%

1Y

9.00%

5Y (annualized)

1.69%

10Y (annualized)

N/A

VEGBX

YTD

7.68%

1M

0.35%

6M

5.46%

1Y

13.90%

5Y (annualized)

3.38%

10Y (annualized)

N/A

Key characteristics


VGCAXVEGBX
Sharpe Ratio2.012.66
Sortino Ratio3.054.10
Omega Ratio1.361.52
Calmar Ratio0.801.34
Martin Ratio9.5014.69
Ulcer Index0.96%0.95%
Daily Std Dev4.53%5.25%
Max Drawdown-18.63%-25.52%
Current Drawdown-3.09%-1.56%

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VGCAX vs. VEGBX - Expense Ratio Comparison

VGCAX has a 0.25% expense ratio, which is lower than VEGBX's 0.40% expense ratio.


VEGBX
Vanguard Emerging Markets Bond Fund Admiral Shares
Expense ratio chart for VEGBX: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for VGCAX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.6

The correlation between VGCAX and VEGBX is 0.63, 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.

Risk-Adjusted Performance

VGCAX vs. VEGBX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Credit Bond Fund Admiral Shares (VGCAX) and Vanguard Emerging Markets Bond Fund Admiral Shares (VEGBX). 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 VGCAX, currently valued at 2.01, compared to the broader market-1.000.001.002.003.004.005.002.012.66
The chart of Sortino ratio for VGCAX, currently valued at 3.05, compared to the broader market0.005.0010.003.054.10
The chart of Omega ratio for VGCAX, currently valued at 1.36, compared to the broader market1.002.003.004.001.361.52
The chart of Calmar ratio for VGCAX, currently valued at 0.80, compared to the broader market0.005.0010.0015.0020.0025.000.801.34
The chart of Martin ratio for VGCAX, currently valued at 9.50, compared to the broader market0.0020.0040.0060.0080.00100.009.5014.69
VGCAX
VEGBX

The current VGCAX Sharpe Ratio is 2.01, which is comparable to the VEGBX Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of VGCAX and VEGBX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.01
2.66
VGCAX
VEGBX

Dividends

VGCAX vs. VEGBX - Dividend Comparison

VGCAX's dividend yield for the trailing twelve months is around 4.52%, less than VEGBX's 7.01% yield.


TTM2023202220212020201920182017
VGCAX
Vanguard Global Credit Bond Fund Admiral Shares
4.52%4.49%2.72%1.62%2.35%3.66%0.36%0.00%
VEGBX
Vanguard Emerging Markets Bond Fund Admiral Shares
7.01%7.21%5.62%3.67%3.40%4.55%5.01%0.39%

Drawdowns

VGCAX vs. VEGBX - Drawdown Comparison

The maximum VGCAX drawdown since its inception was -18.63%, smaller than the maximum VEGBX drawdown of -25.52%. Use the drawdown chart below to compare losses from any high point for VGCAX and VEGBX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.09%
-1.56%
VGCAX
VEGBX

Volatility

VGCAX vs. VEGBX - Volatility Comparison

The current volatility for Vanguard Global Credit Bond Fund Admiral Shares (VGCAX) is 1.05%, while Vanguard Emerging Markets Bond Fund Admiral Shares (VEGBX) has a volatility of 1.53%. This indicates that VGCAX experiences smaller price fluctuations and is considered to be less risky than VEGBX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
1.05%
1.53%
VGCAX
VEGBX