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

Performance

VMNFX vs. VMNIX - Performance Comparison

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

0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.11%
2.12%
VMNFX
VMNIX

Returns By Period

The year-to-date returns for both investments are quite close, with VMNFX having a 6.17% return and VMNIX slightly higher at 6.21%. Both investments have delivered pretty close results over the past 10 years, with VMNFX having a 3.28% annualized return and VMNIX not far ahead at 3.35%.


VMNFX

YTD

6.17%

1M

-1.34%

6M

2.11%

1Y

7.05%

5Y (annualized)

7.83%

10Y (annualized)

3.28%

VMNIX

YTD

6.21%

1M

-1.34%

6M

2.12%

1Y

7.04%

5Y (annualized)

7.89%

10Y (annualized)

3.35%

Key characteristics


VMNFXVMNIX
Sharpe Ratio1.131.13
Sortino Ratio1.671.67
Omega Ratio1.201.20
Calmar Ratio2.132.14
Martin Ratio5.095.12
Ulcer Index1.37%1.37%
Daily Std Dev6.19%6.23%
Max Drawdown-25.42%-25.29%
Current Drawdown-2.97%-2.98%

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VMNFX vs. VMNIX - Expense Ratio Comparison

VMNFX has a 1.31% expense ratio, which is higher than VMNIX's 1.25% 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 VMNIX: current value at 1.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.25%

Correlation

-0.50.00.51.01.0

The correlation between VMNFX and VMNIX is 0.99, 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.

Risk-Adjusted Performance

VMNFX vs. VMNIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Market Neutral Fund Institutional Shares (VMNIX). 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 market-1.000.001.002.003.004.005.001.131.13
The chart of Sortino ratio for VMNFX, currently valued at 1.67, compared to the broader market0.005.0010.001.671.67
The chart of Omega ratio for VMNFX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.20
The chart of Calmar ratio for VMNFX, currently valued at 2.13, compared to the broader market0.005.0010.0015.0020.0025.002.132.14
The chart of Martin ratio for VMNFX, currently valued at 5.09, compared to the broader market0.0020.0040.0060.0080.00100.005.095.12
VMNFX
VMNIX

The current VMNFX Sharpe Ratio is 1.13, which is comparable to the VMNIX Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of VMNFX and VMNIX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.13
1.13
VMNFX
VMNIX

Dividends

VMNFX vs. VMNIX - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.83%, less than VMNIX's 4.89% yield.


TTM20232022202120202019201820172016201520142013
VMNFX
Vanguard Market Neutral Fund Investor Shares
4.83%5.09%0.75%0.15%0.81%3.16%0.94%1.07%0.38%0.02%0.00%0.03%
VMNIX
Vanguard Market Neutral Fund Institutional Shares
4.89%5.15%0.78%0.20%0.85%3.22%1.00%1.16%0.45%0.10%0.00%0.04%

Drawdowns

VMNFX vs. VMNIX - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -25.42%, roughly equal to the maximum VMNIX drawdown of -25.29%. Use the drawdown chart below to compare losses from any high point for VMNFX and VMNIX. For additional features, visit the drawdowns tool.


-3.50%-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.97%
-2.98%
VMNFX
VMNIX

Volatility

VMNFX vs. VMNIX - Volatility Comparison

Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Market Neutral Fund Institutional Shares (VMNIX) have volatilities of 2.23% and 2.21%, 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.


1.20%1.40%1.60%1.80%2.00%2.20%2.40%JuneJulyAugustSeptemberOctoberNovember
2.23%
2.21%
VMNFX
VMNIX