VMBS vs. VGK
VMBS (Vanguard Mortgage-Backed Securities ETF) and VGK (Vanguard FTSE Europe ETF) are both exchange-traded funds - VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index, while VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index. Both are passively managed. Over the past 10 years, VMBS returned 1.36%/yr vs 9.92%/yr for VGK. At a 0.02 correlation, their price movements are largely independent. VMBS charges 0.04%/yr vs 0.06%/yr for VGK.
Performance
VMBS vs. VGK - Performance Comparison
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Returns By Period
In the year-to-date period, VMBS achieves a 0.72% return, which is significantly lower than VGK's 7.22% return. Over the past 10 years, VMBS has underperformed VGK with an annualized return of 1.36%, while VGK has yielded a comparatively higher 9.92% annualized return.
VMBS
- 1D
- -0.51%
- 1M
- 0.98%
- YTD
- 0.72%
- 6M
- 0.96%
- 1Y
- 6.16%
- 3Y*
- 4.48%
- 5Y*
- 0.55%
- 10Y*
- 1.36%
VGK
- 1D
- -0.87%
- 1M
- 2.43%
- YTD
- 7.22%
- 6M
- 9.56%
- 1Y
- 20.52%
- 3Y*
- 15.89%
- 5Y*
- 9.19%
- 10Y*
- 9.92%
VMBS vs. VGK - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMBS Vanguard Mortgage-Backed Securities ETF | 0.72% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
VGK Vanguard FTSE Europe ETF | 7.22% | 35.83% | 1.88% | 20.19% | -15.98% | 16.89% | 5.43% | 24.85% | -14.89% | 26.98% |
Correlation
The correlation between VMBS and VGK is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.45 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.35 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Nov 23, 2009 | 0.02 |
Over the past year, VMBS and VGK have become more correlated (0.45) than their long-term average of 0.02, meaning their price movements have been converging.
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Return for Risk
VMBS vs. VGK — Risk / Return Rank
VMBS
VGK
VMBS vs. VGK - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) and Vanguard FTSE Europe ETF (VGK). 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 | VGK | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.23 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.23 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.30 | 1.70 | +0.60 |
| Martin ratioReturn relative to average drawdown | 7.38 | 6.33 | +1.05 |
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Drawdowns
VMBS vs. VGK - Drawdown Comparison
The maximum VMBS drawdown since its inception was -17.47%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for VMBS and VGK.
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Drawdown Indicators
| VMBS | VGK | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.47% | -63.61% | +46.14% |
Max Drawdown (1Y)Largest decline over 1 year | -2.68% | -12.09% | +9.41% |
Max Drawdown (3Y)Largest decline over 3 years | -7.65% | -14.31% | +6.66% |
Max Drawdown (5Y)Largest decline over 5 years | -17.12% | -32.74% | +15.62% |
Max Drawdown (10Y)Largest decline over 10 years | -17.47% | -37.24% | +19.77% |
Current DrawdownCurrent decline from peak | -1.26% | -0.93% | -0.33% |
Average DrawdownAverage peak-to-trough decline | -2.49% | -13.32% | +10.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.84% | 3.25% | -2.41% |
Volatility
VMBS vs. VGK - Volatility Comparison
The current volatility for Vanguard Mortgage-Backed Securities ETF (VMBS) is 1.48%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 5.32%. This indicates that VMBS experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMBS | VGK | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.48% | 5.32% | -3.84% |
Volatility (6M)Calculated over the trailing 6-month period | 3.27% | 13.35% | -10.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.30% | 15.84% | -11.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.78% | 17.98% | -11.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.41% | 18.94% | -13.53% |
VMBS vs. VGK - Expense Ratio Comparison
VMBS has a 0.04% expense ratio, which is lower than VGK's 0.06% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
VMBS vs. VGK - Dividend Comparison
VMBS's dividend yield for the trailing twelve months is around 4.18%, more than VGK's 2.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VGK Vanguard FTSE Europe ETF | 2.77% | 2.86% | 3.61% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.18% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
VMBS and VGK have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VGK has higher volatility (5.32%) compared to VMBS (1.48%). In terms of maximum drawdown, VMBS dropped -17.47% vs VGK's -63.61%.
On 10-year performance, VGK leads with 9.92% vs 1.36% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, VMBS has been the lower-risk option at 1.48%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, VGK has performed better with a 9.92% return vs 1.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.06% for VGK.
VMBS has the higher dividend yield at 4.18%, compared with 2.77% for VGK.
VMBS is categorized as Mortgage Backed Securities, while VGK is Europe Equities. VMBS tracks Barclays Capital U.S. MBS Index, while VGK tracks FTSE Developed Europe All Cap Index. Their fees differ too: 0.04% for VMBS and 0.06% for VGK.
VMBS currently has the higher Sharpe Ratio (1.44 vs 1.31), 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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