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VMBS vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VMBS and VOO is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

VMBS vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Mortgage-Backed Securities ETF (VMBS) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

VMBS:

0.84

VOO:

0.72

Sortino Ratio

VMBS:

1.37

VOO:

1.20

Omega Ratio

VMBS:

1.16

VOO:

1.18

Calmar Ratio

VMBS:

0.50

VOO:

0.81

Martin Ratio

VMBS:

2.77

VOO:

3.09

Ulcer Index

VMBS:

1.99%

VOO:

4.88%

Daily Std Dev

VMBS:

5.94%

VOO:

19.37%

Max Drawdown

VMBS:

-17.52%

VOO:

-33.99%

Current Drawdown

VMBS:

-5.03%

VOO:

-2.75%

Returns By Period

In the year-to-date period, VMBS achieves a 2.16% return, which is significantly higher than VOO's 1.73% return. Over the past 10 years, VMBS has underperformed VOO with an annualized return of 0.97%, while VOO has yielded a comparatively higher 12.83% annualized return.


VMBS

YTD

2.16%

1M

0.21%

6M

2.36%

1Y

5.32%

5Y*

-0.93%

10Y*

0.97%

VOO

YTD

1.73%

1M

12.89%

6M

2.12%

1Y

13.74%

5Y*

17.11%

10Y*

12.83%

*Annualized

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VMBS vs. VOO - Expense Ratio Comparison

VMBS has a 0.04% expense ratio, which is higher than VOO's 0.03% 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%.


Risk-Adjusted Performance

VMBS vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VMBS
The Risk-Adjusted Performance Rank of VMBS is 6868
Overall Rank
The Sharpe Ratio Rank of VMBS is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of VMBS is 7777
Sortino Ratio Rank
The Omega Ratio Rank of VMBS is 6868
Omega Ratio Rank
The Calmar Ratio Rank of VMBS is 5353
Calmar Ratio Rank
The Martin Ratio Rank of VMBS is 6767
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7171
Overall Rank
The Sharpe Ratio Rank of VOO is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6969
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7373
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7272
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VMBS vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) and Vanguard S&P 500 ETF (VOO). 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.


The current VMBS Sharpe Ratio is 0.84, which is comparable to the VOO Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of VMBS and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

VMBS vs. VOO - Dividend Comparison

VMBS's dividend yield for the trailing twelve months is around 4.13%, more than VOO's 1.28% yield.


TTM20242023202220212020201920182017201620152014
VMBS
Vanguard Mortgage-Backed Securities ETF
4.13%3.94%3.31%2.35%1.02%1.81%2.77%2.72%2.16%2.10%2.12%1.90%
VOO
Vanguard S&P 500 ETF
1.28%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

VMBS vs. VOO - Drawdown Comparison

The maximum VMBS drawdown since its inception was -17.52%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VMBS and VOO. For additional features, visit the drawdowns tool.


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Volatility

VMBS vs. VOO - Volatility Comparison

The current volatility for Vanguard Mortgage-Backed Securities ETF (VMBS) is 1.89%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.49%. This indicates that VMBS experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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