VMBS vs. ETH-USD
VMBS (Vanguard Mortgage-Backed Securities ETF) is Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, VMBS returned 1.35%/yr vs 60.88%/yr for ETH-USD. At a 0.04 correlation, their price movements are largely independent.
Performance
VMBS vs. ETH-USD - Performance Comparison
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Returns By Period
In the year-to-date period, VMBS achieves a 0.92% return, which is significantly higher than ETH-USD's -43.74% return. Over the past 10 years, VMBS has underperformed ETH-USD with an annualized return of 1.35%, while ETH-USD has yielded a comparatively higher 60.88% annualized return.
VMBS
- 1D
- 0.09%
- 1M
- 0.63%
- YTD
- 0.92%
- 6M
- 1.02%
- 1Y
- 6.00%
- 3Y*
- 4.52%
- 5Y*
- 0.57%
- 10Y*
- 1.35%
ETH-USD
- 1D
- -3.30%
- 1M
- -20.41%
- YTD
- -43.74%
- 6M
- -43.66%
- 1Y
- -30.82%
- 3Y*
- -3.82%
- 5Y*
- -3.44%
- 10Y*
- 60.88%
VMBS vs. ETH-USD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMBS Vanguard Mortgage-Backed Securities ETF | 0.92% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
ETH-USD Ethereum | -43.74% | -10.91% | 46.00% | 90.84% | -67.48% | 398.30% | 473.88% | -1.52% | -82.39% | 8,984.19% |
Correlation
The correlation between VMBS and ETH-USD is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.04 |
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Return for Risk
VMBS vs. ETH-USD — Risk / Return Rank
VMBS
ETH-USD
VMBS vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) and Ethereum (ETH-USD). 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.
| VMBS | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.86 | ||
| Sortino ratioReturn per unit of downside risk | +2.39 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 0.97 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 2.24 | -0.46 | +2.70 |
| Martin ratioReturn relative to average drawdown | 7.12 | -0.76 | +7.88 |
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Drawdowns
VMBS vs. ETH-USD - Drawdown Comparison
The maximum VMBS drawdown since its inception was -17.47%, smaller than the maximum ETH-USD drawdown of -94.01%. Use the drawdown chart below to compare losses from any high point for VMBS and ETH-USD.
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Drawdown Indicators
| VMBS | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.47% | -94.01% | +76.54% |
Max Drawdown (1Y)Largest decline over 1 year | -2.68% | -67.53% | +64.85% |
Max Drawdown (3Y)Largest decline over 3 years | -7.65% | -67.53% | +59.88% |
Max Drawdown (5Y)Largest decline over 5 years | -17.12% | -79.35% | +62.23% |
Max Drawdown (10Y)Largest decline over 10 years | -17.47% | -94.01% | +76.54% |
Current DrawdownCurrent decline from peak | -1.07% | -65.45% | +64.38% |
Average DrawdownAverage peak-to-trough decline | -2.49% | -50.93% | +48.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.84% | 41.14% | -40.30% |
Volatility
VMBS vs. ETH-USD - Volatility Comparison
The current volatility for Vanguard Mortgage-Backed Securities ETF (VMBS) is 1.19%, while Ethereum (ETH-USD) has a volatility of 18.13%. This indicates that VMBS experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMBS | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.19% | 18.13% | -16.94% |
Volatility (6M)Calculated over the trailing 6-month period | 3.27% | 46.20% | -42.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.30% | 56.03% | -51.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.78% | 59.16% | -52.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.41% | 77.04% | -71.63% |
Frequently Asked Questions
VMBS and ETH-USD have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETH-USD has higher volatility (18.13%) compared to VMBS (1.19%). In terms of maximum drawdown, VMBS dropped -17.47% vs ETH-USD's -94.01%.
VMBS currently has the higher Sharpe Ratio (1.40 vs -0.46), 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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