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VMNFX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VMNFX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Market Neutral Fund Investor Shares (VMNFX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.03%
11.79%
VMNFX
SPY

Returns By Period

In the year-to-date period, VMNFX achieves a 6.32% return, which is significantly lower than SPY's 25.36% return. Over the past 10 years, VMNFX has underperformed SPY with an annualized return of 3.31%, while SPY has yielded a comparatively higher 13.07% annualized return.


VMNFX

YTD

6.32%

1M

-1.13%

6M

2.03%

1Y

7.12%

5Y (annualized)

7.89%

10Y (annualized)

3.31%

SPY

YTD

25.36%

1M

0.98%

6M

11.79%

1Y

31.70%

5Y (annualized)

15.55%

10Y (annualized)

13.07%

Key characteristics


VMNFXSPY
Sharpe Ratio1.132.69
Sortino Ratio1.673.59
Omega Ratio1.201.50
Calmar Ratio2.133.89
Martin Ratio5.1817.53
Ulcer Index1.35%1.87%
Daily Std Dev6.19%12.15%
Max Drawdown-25.42%-55.19%
Current Drawdown-2.83%-1.41%

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VMNFX vs. SPY - Expense Ratio Comparison

VMNFX has a 1.31% expense ratio, which is higher than SPY's 0.09% expense ratio.


VMNFX
Vanguard Market Neutral Fund Investor Shares
Expense ratio chart for VMNFX: current value at 1.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.31%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.0

The correlation between VMNFX and SPY is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

VMNFX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for VMNFX, currently valued at 1.13, compared to the broader market0.002.004.001.132.69
The chart of Sortino ratio for VMNFX, currently valued at 1.67, compared to the broader market0.005.0010.001.673.59
The chart of Omega ratio for VMNFX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.50
The chart of Calmar ratio for VMNFX, currently valued at 2.13, compared to the broader market0.005.0010.0015.0020.0025.002.133.89
The chart of Martin ratio for VMNFX, currently valued at 5.18, compared to the broader market0.0020.0040.0060.0080.00100.005.1817.53
VMNFX
SPY

The current VMNFX Sharpe Ratio is 1.13, which is lower than the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of VMNFX and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.13
2.69
VMNFX
SPY

Dividends

VMNFX vs. SPY - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.82%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
VMNFX
Vanguard Market Neutral Fund Investor Shares
4.82%5.09%0.75%0.15%0.81%3.16%0.94%1.07%0.38%0.02%0.00%0.03%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VMNFX vs. SPY - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -25.42%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VMNFX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.83%
-1.41%
VMNFX
SPY

Volatility

VMNFX vs. SPY - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Investor Shares (VMNFX) is 2.26%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.09%. This indicates that VMNFX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.26%
4.09%
VMNFX
SPY