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

Key characteristics


VMNFXVIPIX
YTD Return7.53%3.39%
1Y Return7.41%7.59%
3Y Return (Ann)14.02%-2.05%
5Y Return (Ann)8.28%2.34%
10Y Return (Ann)3.49%2.23%
Sharpe Ratio1.271.30
Sortino Ratio1.891.92
Omega Ratio1.221.23
Calmar Ratio2.400.52
Martin Ratio5.416.10
Ulcer Index1.46%1.09%
Daily Std Dev6.21%5.13%
Max Drawdown-25.42%-15.04%
Current Drawdown-1.73%-6.09%

Correlation

-0.50.00.51.0-0.0

The correlation between VMNFX and VIPIX 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

VMNFX vs. VIPIX - Performance Comparison

In the year-to-date period, VMNFX achieves a 7.53% return, which is significantly higher than VIPIX's 3.39% return. Over the past 10 years, VMNFX has outperformed VIPIX with an annualized return of 3.49%, while VIPIX has yielded a comparatively lower 2.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.65%
4.00%
VMNFX
VIPIX

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VMNFX vs. VIPIX - Expense Ratio Comparison

VMNFX has a 1.31% expense ratio, which is higher than VIPIX's 0.07% 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 VIPIX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

VMNFX vs. VIPIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Inflation-Protected Securities Fund Institutional Shares (VIPIX). 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.


VMNFX
Sharpe ratio
The chart of Sharpe ratio for VMNFX, currently valued at 1.27, compared to the broader market0.002.004.001.27
Sortino ratio
The chart of Sortino ratio for VMNFX, currently valued at 1.89, compared to the broader market0.005.0010.001.89
Omega ratio
The chart of Omega ratio for VMNFX, currently valued at 1.22, compared to the broader market1.002.003.004.001.22
Calmar ratio
The chart of Calmar ratio for VMNFX, currently valued at 2.40, compared to the broader market0.005.0010.0015.0020.0025.002.40
Martin ratio
The chart of Martin ratio for VMNFX, currently valued at 5.41, compared to the broader market0.0020.0040.0060.0080.00100.005.41
VIPIX
Sharpe ratio
The chart of Sharpe ratio for VIPIX, currently valued at 1.30, compared to the broader market0.002.004.001.30
Sortino ratio
The chart of Sortino ratio for VIPIX, currently valued at 1.92, compared to the broader market0.005.0010.001.92
Omega ratio
The chart of Omega ratio for VIPIX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for VIPIX, currently valued at 0.52, compared to the broader market0.005.0010.0015.0020.0025.000.52
Martin ratio
The chart of Martin ratio for VIPIX, currently valued at 6.10, compared to the broader market0.0020.0040.0060.0080.00100.006.10

VMNFX vs. VIPIX - Sharpe Ratio Comparison

The current VMNFX Sharpe Ratio is 1.27, which is comparable to the VIPIX Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of VMNFX and VIPIX, 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
1.27
1.30
VMNFX
VIPIX

Dividends

VMNFX vs. VIPIX - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.77%, more than VIPIX's 4.33% yield.


TTM20232022202120202019201820172016201520142013
VMNFX
Vanguard Market Neutral Fund Investor Shares
4.77%5.09%0.75%0.15%0.81%3.16%0.94%1.07%0.38%0.02%0.00%0.03%
VIPIX
Vanguard Inflation-Protected Securities Fund Institutional Shares
4.33%4.34%8.49%5.16%1.41%2.32%3.16%2.45%3.50%0.91%2.39%2.21%

Drawdowns

VMNFX vs. VIPIX - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -25.42%, which is greater than VIPIX's maximum drawdown of -15.04%. Use the drawdown chart below to compare losses from any high point for VMNFX and VIPIX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.73%
-6.09%
VMNFX
VIPIX

Volatility

VMNFX vs. VIPIX - Volatility Comparison

Vanguard Market Neutral Fund Investor Shares (VMNFX) has a higher volatility of 2.29% compared to Vanguard Inflation-Protected Securities Fund Institutional Shares (VIPIX) at 1.19%. This indicates that VMNFX's price experiences larger fluctuations and is considered to be riskier than VIPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
2.29%
1.19%
VMNFX
VIPIX