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

Key characteristics


VMNFXVTV
YTD Return7.53%21.71%
1Y Return7.41%34.54%
3Y Return (Ann)14.02%9.98%
5Y Return (Ann)8.28%11.80%
10Y Return (Ann)3.49%10.70%
Sharpe Ratio1.273.24
Sortino Ratio1.894.56
Omega Ratio1.221.60
Calmar Ratio2.404.86
Martin Ratio5.4121.19
Ulcer Index1.46%1.58%
Daily Std Dev6.21%10.32%
Max Drawdown-25.42%-59.27%
Current Drawdown-1.73%0.00%

Correlation

-0.50.00.51.00.1

The correlation between VMNFX and VTV is 0.09, 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. VTV - Performance Comparison

In the year-to-date period, VMNFX achieves a 7.53% return, which is significantly lower than VTV's 21.71% return. Over the past 10 years, VMNFX has underperformed VTV with an annualized return of 3.49%, while VTV has yielded a comparatively higher 10.70% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.64%
12.03%
VMNFX
VTV

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VMNFX vs. VTV - Expense Ratio Comparison

VMNFX has a 1.31% expense ratio, which is higher than VTV's 0.04% 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 VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VMNFX vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and Vanguard Value ETF (VTV). 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
VTV
Sharpe ratio
The chart of Sharpe ratio for VTV, currently valued at 3.24, compared to the broader market0.002.004.003.24
Sortino ratio
The chart of Sortino ratio for VTV, currently valued at 4.56, compared to the broader market0.005.0010.004.56
Omega ratio
The chart of Omega ratio for VTV, currently valued at 1.60, compared to the broader market1.002.003.004.001.60
Calmar ratio
The chart of Calmar ratio for VTV, currently valued at 4.86, compared to the broader market0.005.0010.0015.0020.0025.004.86
Martin ratio
The chart of Martin ratio for VTV, currently valued at 21.19, compared to the broader market0.0020.0040.0060.0080.00100.0021.19

VMNFX vs. VTV - Sharpe Ratio Comparison

The current VMNFX Sharpe Ratio is 1.27, which is lower than the VTV Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of VMNFX and VTV, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.27
3.24
VMNFX
VTV

Dividends

VMNFX vs. VTV - Dividend Comparison

VMNFX's dividend yield for the trailing twelve months is around 4.77%, more than VTV's 2.22% 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%
VTV
Vanguard Value ETF
2.22%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

VMNFX vs. VTV - Drawdown Comparison

The maximum VMNFX drawdown since its inception was -25.42%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for VMNFX and VTV. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.73%
0
VMNFX
VTV

Volatility

VMNFX vs. VTV - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Investor Shares (VMNFX) is 2.29%, while Vanguard Value ETF (VTV) has a volatility of 3.76%. This indicates that VMNFX experiences smaller price fluctuations and is considered to be less risky than VTV 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%JuneJulyAugustSeptemberOctoberNovember
2.29%
3.76%
VMNFX
VTV