PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VMIAX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VMIAXVTSAX
YTD Return10.28%26.15%
1Y Return24.48%38.29%
3Y Return (Ann)3.53%8.68%
5Y Return (Ann)11.54%15.32%
10Y Return (Ann)8.71%12.88%
Sharpe Ratio1.673.03
Sortino Ratio2.344.03
Omega Ratio1.291.56
Calmar Ratio1.934.46
Martin Ratio8.1719.58
Ulcer Index2.97%1.95%
Daily Std Dev14.55%12.63%
Max Drawdown-62.17%-55.34%
Current Drawdown-3.79%-0.39%

Correlation

-0.50.00.51.00.8

The correlation between VMIAX and VTSAX is 0.83, 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

VMIAX vs. VTSAX - Performance Comparison

In the year-to-date period, VMIAX achieves a 10.28% return, which is significantly lower than VTSAX's 26.15% return. Over the past 10 years, VMIAX has underperformed VTSAX with an annualized return of 8.71%, while VTSAX has yielded a comparatively higher 12.88% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.06%
14.94%
VMIAX
VTSAX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VMIAX vs. VTSAX - Expense Ratio Comparison

VMIAX has a 0.10% expense ratio, which is higher than VTSAX's 0.04% 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%.


VMIAX
Vanguard Materials Index Fund Admiral Shares
Expense ratio chart for VMIAX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VTSAX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VMIAX vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Materials Index Fund Admiral Shares (VMIAX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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.


VMIAX
Sharpe ratio
The chart of Sharpe ratio for VMIAX, currently valued at 1.67, compared to the broader market0.002.004.001.67
Sortino ratio
The chart of Sortino ratio for VMIAX, currently valued at 2.34, compared to the broader market0.005.0010.002.34
Omega ratio
The chart of Omega ratio for VMIAX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for VMIAX, currently valued at 1.93, compared to the broader market0.005.0010.0015.0020.001.93
Martin ratio
The chart of Martin ratio for VMIAX, currently valued at 8.17, compared to the broader market0.0020.0040.0060.0080.00100.008.17
VTSAX
Sharpe ratio
The chart of Sharpe ratio for VTSAX, currently valued at 3.03, compared to the broader market0.002.004.003.03
Sortino ratio
The chart of Sortino ratio for VTSAX, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for VTSAX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for VTSAX, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.004.46
Martin ratio
The chart of Martin ratio for VTSAX, currently valued at 19.58, compared to the broader market0.0020.0040.0060.0080.00100.0019.58

VMIAX vs. VTSAX - Sharpe Ratio Comparison

The current VMIAX Sharpe Ratio is 1.67, which is lower than the VTSAX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of VMIAX and VTSAX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.67
3.03
VMIAX
VTSAX

Dividends

VMIAX vs. VTSAX - Dividend Comparison

VMIAX's dividend yield for the trailing twelve months is around 1.56%, more than VTSAX's 1.25% yield.


TTM20232022202120202019201820172016201520142013
VMIAX
Vanguard Materials Index Fund Admiral Shares
1.56%1.72%1.98%1.44%1.67%1.94%2.02%1.63%1.67%2.31%1.76%1.83%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.25%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

VMIAX vs. VTSAX - Drawdown Comparison

The maximum VMIAX drawdown since its inception was -62.17%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for VMIAX and VTSAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.79%
-0.39%
VMIAX
VTSAX

Volatility

VMIAX vs. VTSAX - Volatility Comparison

Vanguard Materials Index Fund Admiral Shares (VMIAX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) have volatilities of 4.03% and 4.02%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.03%
4.02%
VMIAX
VTSAX