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

Performance

VMNFX vs. VMVFX - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.18%
7.51%
VMNFX
VMVFX

Returns By Period

In the year-to-date period, VMNFX achieves a 6.24% return, which is significantly lower than VMVFX's 15.84% return. Over the past 10 years, VMNFX has underperformed VMVFX with an annualized return of 3.31%, while VMVFX has yielded a comparatively higher 7.61% annualized return.


VMNFX

YTD

6.24%

1M

-0.99%

6M

2.55%

1Y

7.05%

5Y (annualized)

7.85%

10Y (annualized)

3.31%

VMVFX

YTD

15.84%

1M

-0.91%

6M

6.81%

1Y

19.65%

5Y (annualized)

5.58%

10Y (annualized)

7.61%

Key characteristics


VMNFXVMVFX
Sharpe Ratio1.142.15
Sortino Ratio1.692.97
Omega Ratio1.201.47
Calmar Ratio2.153.99
Martin Ratio5.1913.15
Ulcer Index1.36%1.50%
Daily Std Dev6.19%9.19%
Max Drawdown-25.42%-33.09%
Current Drawdown-2.90%-1.57%

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VMNFX vs. VMVFX - Expense Ratio Comparison

VMNFX has a 1.31% expense ratio, which is higher than VMVFX's 0.21% 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 VMVFX: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%

Correlation

-0.50.00.51.00.1

The correlation between VMNFX and VMVFX is 0.08, 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. VMVFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX). 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 1.14, compared to the broader market-1.000.001.002.003.004.005.001.142.15
The chart of Sortino ratio for VMNFX, currently valued at 1.69, compared to the broader market0.005.0010.001.692.97
The chart of Omega ratio for VMNFX, currently valued at 1.20, compared to the broader market1.002.003.004.001.201.47
The chart of Calmar ratio for VMNFX, currently valued at 2.15, compared to the broader market0.005.0010.0015.0020.0025.002.153.99
The chart of Martin ratio for VMNFX, currently valued at 5.19, compared to the broader market0.0020.0040.0060.0080.00100.005.1913.15
VMNFX
VMVFX

The current VMNFX Sharpe Ratio is 1.14, which is lower than the VMVFX Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of VMNFX and VMVFX, 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
1.14
2.15
VMNFX
VMVFX

Dividends

VMNFX vs. VMVFX - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.83%, more than VMVFX's 2.64% 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%
VMVFX
Vanguard Global Minimum Volatility Fund Investor Shares
2.64%3.05%2.56%3.42%2.03%3.30%2.42%2.31%2.71%1.81%2.54%0.23%

Drawdowns

VMNFX vs. VMVFX - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -25.42%, smaller than the maximum VMVFX drawdown of -33.09%. Use the drawdown chart below to compare losses from any high point for VMNFX and VMVFX. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.90%
-1.57%
VMNFX
VMVFX

Volatility

VMNFX vs. VMVFX - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Investor Shares (VMNFX) is 2.24%, while Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) has a volatility of 2.58%. This indicates that VMNFX experiences smaller price fluctuations and is considered to be less risky than VMVFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.24%
2.58%
VMNFX
VMVFX