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

Key characteristics


VGCAXVTABX
YTD Return4.64%3.09%
1Y Return11.64%8.36%
3Y Return (Ann)-0.75%-1.31%
5Y Return (Ann)1.94%-0.17%
Sharpe Ratio2.312.00
Sortino Ratio3.543.09
Omega Ratio1.421.36
Calmar Ratio0.850.62
Martin Ratio12.027.71
Ulcer Index0.91%1.02%
Daily Std Dev4.72%3.93%
Max Drawdown-18.63%-16.82%
Current Drawdown-2.64%-5.40%

Correlation

-0.50.00.51.00.8

The correlation between VGCAX and VTABX is 0.84, 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

VGCAX vs. VTABX - Performance Comparison

In the year-to-date period, VGCAX achieves a 4.64% return, which is significantly higher than VTABX's 3.09% 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%JuneJulyAugustSeptemberOctoberNovember
4.99%
3.73%
VGCAX
VTABX

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VGCAX vs. VTABX - Expense Ratio Comparison

VGCAX has a 0.25% expense ratio, which is higher than VTABX's 0.11% 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%.


VGCAX
Vanguard Global Credit Bond Fund Admiral Shares
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%
Expense ratio chart for VTABX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

VGCAX vs. VTABX - 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 Total International Bond Index Fund Admiral Shares (VTABX). 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.


VGCAX
Sharpe ratio
The chart of Sharpe ratio for VGCAX, currently valued at 2.31, compared to the broader market0.002.004.002.31
Sortino ratio
The chart of Sortino ratio for VGCAX, currently valued at 3.54, compared to the broader market0.005.0010.003.54
Omega ratio
The chart of Omega ratio for VGCAX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for VGCAX, currently valued at 0.85, compared to the broader market0.005.0010.0015.0020.000.85
Martin ratio
The chart of Martin ratio for VGCAX, currently valued at 12.02, compared to the broader market0.0020.0040.0060.0080.00100.0012.02
VTABX
Sharpe ratio
The chart of Sharpe ratio for VTABX, currently valued at 2.00, compared to the broader market0.002.004.002.00
Sortino ratio
The chart of Sortino ratio for VTABX, currently valued at 3.09, compared to the broader market0.005.0010.003.09
Omega ratio
The chart of Omega ratio for VTABX, currently valued at 1.36, compared to the broader market1.002.003.004.001.36
Calmar ratio
The chart of Calmar ratio for VTABX, currently valued at 0.62, compared to the broader market0.005.0010.0015.0020.000.62
Martin ratio
The chart of Martin ratio for VTABX, currently valued at 7.71, compared to the broader market0.0020.0040.0060.0080.00100.007.71

VGCAX vs. VTABX - Sharpe Ratio Comparison

The current VGCAX Sharpe Ratio is 2.31, which is comparable to the VTABX Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of VGCAX and VTABX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.31
2.00
VGCAX
VTABX

Dividends

VGCAX vs. VTABX - Dividend Comparison

VGCAX's dividend yield for the trailing twelve months is around 4.50%, less than VTABX's 4.75% yield.


TTM20232022202120202019201820172016201520142013
VGCAX
Vanguard Global Credit Bond Fund Admiral Shares
4.50%4.49%2.72%1.62%2.35%3.66%0.36%0.00%0.00%0.00%0.00%0.00%
VTABX
Vanguard Total International Bond Index Fund Admiral Shares
4.75%4.39%1.48%3.04%0.93%3.38%2.99%2.24%1.90%1.64%1.54%0.87%

Drawdowns

VGCAX vs. VTABX - Drawdown Comparison

The maximum VGCAX drawdown since its inception was -18.63%, which is greater than VTABX's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for VGCAX and VTABX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-2.64%
-5.40%
VGCAX
VTABX

Volatility

VGCAX vs. VTABX - Volatility Comparison

Vanguard Global Credit Bond Fund Admiral Shares (VGCAX) has a higher volatility of 1.23% compared to Vanguard Total International Bond Index Fund Admiral Shares (VTABX) at 0.96%. This indicates that VGCAX's price experiences larger fluctuations and is considered to be riskier than VTABX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%0.90%1.00%1.10%1.20%1.30%1.40%JuneJulyAugustSeptemberOctoberNovember
1.23%
0.96%
VGCAX
VTABX