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

Key characteristics


VMNFXVMVFX
YTD Return8.28%16.83%
1Y Return7.62%21.55%
3Y Return (Ann)13.89%6.88%
5Y Return (Ann)8.22%5.85%
10Y Return (Ann)3.55%7.77%
Sharpe Ratio1.172.38
Sortino Ratio1.753.29
Omega Ratio1.201.53
Calmar Ratio2.214.39
Martin Ratio5.1314.75
Ulcer Index1.41%1.47%
Daily Std Dev6.17%9.12%
Max Drawdown-25.42%-33.09%
Current Drawdown-1.04%-0.72%

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.

Performance

VMNFX vs. VMVFX - Performance Comparison

In the year-to-date period, VMNFX achieves a 8.28% return, which is significantly lower than VMVFX's 16.83% return. Over the past 10 years, VMNFX has underperformed VMVFX with an annualized return of 3.55%, while VMVFX has yielded a comparatively higher 7.77% 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%8.00%JuneJulyAugustSeptemberOctoberNovember
2.73%
7.66%
VMNFX
VMVFX

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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%

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.


VMNFX
Sharpe ratio
The chart of Sharpe ratio for VMNFX, currently valued at 1.17, compared to the broader market0.002.004.001.17
Sortino ratio
The chart of Sortino ratio for VMNFX, currently valued at 1.75, compared to the broader market0.005.0010.001.75
Omega ratio
The chart of Omega ratio for VMNFX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for VMNFX, currently valued at 2.21, compared to the broader market0.005.0010.0015.0020.002.21
Martin ratio
The chart of Martin ratio for VMNFX, currently valued at 5.13, compared to the broader market0.0020.0040.0060.0080.00100.005.13
VMVFX
Sharpe ratio
The chart of Sharpe ratio for VMVFX, currently valued at 2.38, compared to the broader market0.002.004.002.38
Sortino ratio
The chart of Sortino ratio for VMVFX, currently valued at 3.29, compared to the broader market0.005.0010.003.29
Omega ratio
The chart of Omega ratio for VMVFX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for VMVFX, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for VMVFX, currently valued at 14.75, compared to the broader market0.0020.0040.0060.0080.00100.0014.75

VMNFX vs. VMVFX - Sharpe Ratio Comparison

The current VMNFX Sharpe Ratio is 1.17, which is lower than the VMVFX Sharpe Ratio of 2.38. 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
1.17
2.38
VMNFX
VMVFX

Dividends

VMNFX vs. VMVFX - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.73%, more than VMVFX's 2.61% yield.


TTM20232022202120202019201820172016201520142013
VMNFX
Vanguard Market Neutral Fund Investor Shares
4.73%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
2.61%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
-1.04%
-0.72%
VMNFX
VMVFX

Volatility

VMNFX vs. VMVFX - Volatility Comparison

Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) have volatilities of 2.38% and 2.39%, 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.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%JuneJulyAugustSeptemberOctoberNovember
2.38%
2.39%
VMNFX
VMVFX