VMNFX vs. PG

Last updated Jun 13, 2026

VMNFX (Vanguard Market Neutral Fund Investor Shares) is Long-Short fund managed by Vanguard, while PG (The Procter & Gamble Company) is a stock. Over the past 10 years, VMNFX returned 5.04%/yr vs 8.96%/yr for PG. At a correlation of -0.02, they often move in opposite directions.

Performance

VMNFX vs. PG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Market Neutral Fund Investor Shares (VMNFX) and The Procter & Gamble Company (PG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VMNFX achieves a 12.24% return, which is significantly higher than PG's 5.93% return. Over the past 10 years, VMNFX has underperformed PG with an annualized return of 5.04%, while PG has yielded a comparatively higher 8.96% annualized return.

VMNFX

• 1D: 0.32%
• 1M: 1.75%
• YTD: 12.24%
• 6M: 13.84%
• 1Y: 19.63%
• 3Y*: 13.34%
• 5Y*: 13.18%
• 10Y*: 5.04%

PG

• 1D: 0.86%
• 1M: 5.18%
• YTD: 5.93%
• 6M: 6.28%
• 1Y: -5.68%
• 3Y*: 3.69%
• 5Y*: 4.73%
• 10Y*: 8.96%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VMNFX vs. PG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VMNFX Vanguard Market Neutral Fund Investor Shares	12.24%	9.27%	5.78%	12.23%	13.48%	23.24%	-11.58%	-9.57%	0.60%	-4.89%
PG The Procter & Gamble Company	5.93%	-12.26%	17.25%	-0.86%	-5.05%	20.52%	14.15%	39.70%	3.57%	12.69%

Correlation

The correlation between VMNFX and PG is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.05
Correlation (3Y) Calculated over the trailing 3-year period	-0.12
Correlation (5Y) Calculated over the trailing 5-year period	-0.05
Correlation (10Y) Calculated over the trailing 10-year period	-0.03
Correlation (All Time) Calculated using the full available price history since Nov 16, 1998	-0.02

Return for Risk

VMNFX vs. PG — Risk / Return Rank

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

VMNFX

VMNFX Risk / Return Rank: 88
VMNFX Sharpe Ratio Rank: 90
VMNFX Sortino Ratio Rank: 90
VMNFX Omega Ratio Rank: 84
VMNFX Calmar Ratio Rank: 93
VMNFX Martin Ratio Rank: 82

PG

PG Risk / Return Rank: 28
PG Sharpe Ratio Rank: 30
PG Sortino Ratio Rank: 25
PG Omega Ratio Rank: 26
PG Calmar Ratio Rank: 31
PG Martin Ratio Rank: 31

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VMNFX vs. PG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and The Procter & Gamble Company (PG). 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.

	VMNFX	PG	Difference
Sharpe ratio: Return per unit of total volatility	2.61	-0.30	+2.92
Sortino ratio: Return per unit of downside risk	3.94	-0.31	+4.25
Omega ratio: Gain probability vs. loss probability	1.48	0.97	+0.52
Calmar ratio: Return relative to maximum drawdown	4.33	-0.37	+4.70
Martin ratio: Return relative to average drawdown	12.14	-0.68	+12.82

VMNFX vs. PG - Sharpe Ratio Comparison

The current VMNFX Sharpe Ratio is 2.61, which is higher than the PG Sharpe Ratio of -0.30. The chart below compares the historical Sharpe Ratios of VMNFX and PG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

VMNFX vs. PG - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -26.42%, smaller than the maximum PG drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for VMNFX and PG.

Drawdown Indicators

	VMNFX	PG	Difference
Max Drawdown Largest peak-to-trough decline	-26.42%	-54.25%	+27.83%
Max Drawdown (1Y) Largest decline over 1 year	-4.65%	-15.52%	+10.87%
Max Drawdown (3Y) Largest decline over 3 years	-5.44%	-21.15%	+15.71%
Max Drawdown (5Y) Largest decline over 5 years	-6.75%	-23.77%	+17.02%
Max Drawdown (10Y) Largest decline over 10 years	-25.09%	-23.77%	-1.32%
Current Drawdown Current decline from peak	-0.19%	-13.29%	+13.10%
Average Drawdown Average peak-to-trough decline	-8.75%	-12.16%	+3.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.66%	8.80%	-7.14%

Volatility

VMNFX vs. PG - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Investor Shares (VMNFX) is 1.65%, while The Procter & Gamble Company (PG) has a volatility of 6.99%. This indicates that VMNFX experiences smaller price fluctuations and is considered to be less risky than PG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VMNFX	PG	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.65%	6.99%	-5.34%
Volatility (6M) Calculated over the trailing 6-month period	5.57%	15.01%	-9.44%
Volatility (1Y) Calculated over the trailing 1-year period	7.71%	18.78%	-11.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.21%	17.82%	-10.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.39%	19.05%	-12.66%

Dividends

VMNFX vs. PG - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 3.13%, more than PG's 2.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PG The Procter & Gamble Company	2.85%	2.91%	2.36%	2.55%	2.38%	2.08%	2.24%	2.37%	3.09%	2.98%	3.18%	3.31%
VMNFX Vanguard Market Neutral Fund Investor Shares	3.13%	3.53%	5.61%	5.09%	0.75%	0.16%	0.81%	3.16%	0.94%	1.07%	0.38%	0.02%

Frequently Asked Questions

Can I hold both VMNFX and PG in my portfolio?

VMNFX and PG have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VMNFX or PG?

PG has higher volatility (6.99%) compared to VMNFX (1.65%). In terms of maximum drawdown, VMNFX dropped -26.42% vs PG's -54.25%.

Which has better risk-adjusted returns?

VMNFX currently has the higher Sharpe Ratio (2.61 vs -0.30), 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.