VMNIX vs. GTRFX

Last updated Jun 4, 2026

VMNIX (Vanguard Market Neutral Fund Institutional Shares) and GTRFX (Gotham Total Return Fund) are both Long-Short funds. Over the past 10 years, VMNIX returned 5.07%/yr vs 9.21%/yr for GTRFX. At a 0.13 correlation, their price movements are largely independent. VMNIX charges 1.25%/yr vs 0.00%/yr for GTRFX.

Performance

VMNIX vs. GTRFX - Performance Comparison

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

Returns By Period

In the year-to-date period, VMNIX achieves a 12.09% return, which is significantly higher than GTRFX's 7.43% return. Over the past 10 years, VMNIX has underperformed GTRFX with an annualized return of 5.07%, while GTRFX has yielded a comparatively higher 9.21% annualized return.

VMNIX

• 1D: 0.45%
• 1M: 0.84%
• YTD: 12.09%
• 6M: 13.72%
• 1Y: 18.13%
• 3Y*: 13.30%
• 5Y*: 12.99%
• 10Y*: 5.07%

GTRFX

• 1D: -0.42%
• 1M: 2.87%
• YTD: 7.43%
• 6M: 8.61%
• 1Y: 19.62%
• 3Y*: 17.15%
• 5Y*: 10.71%
• 10Y*: 9.21%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VMNIX vs. GTRFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VMNIX Vanguard Market Neutral Fund Institutional Shares	12.09%	9.36%	5.84%	12.33%	13.47%	23.39%	-11.58%	-9.48%	0.66%	-4.83%
GTRFX Gotham Total Return Fund	7.43%	15.31%	15.73%	15.29%	-9.82%	27.83%	-11.41%	12.57%	-1.73%	18.93%

Correlation

The correlation between VMNIX and GTRFX is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.07
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.14
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016	0.13

The correlation between VMNIX and GTRFX shifts across timeframes, from -0.07 (1 year) to 0.14 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

VMNIX vs. GTRFX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VMNIX

VMNIX Risk / Return Rank: 63
VMNIX Sharpe Ratio Rank: 59
VMNIX Sortino Ratio Rank: 67
VMNIX Omega Ratio Rank: 55
VMNIX Calmar Ratio Rank: 82
VMNIX Martin Ratio Rank: 51

GTRFX

GTRFX Risk / Return Rank: 59
GTRFX Sharpe Ratio Rank: 53
GTRFX Sortino Ratio Rank: 56
GTRFX Omega Ratio Rank: 48
GTRFX Calmar Ratio Rank: 70
GTRFX Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VMNIX vs. GTRFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Institutional Shares (VMNIX) and Gotham Total Return Fund (GTRFX). 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.

	VMNIX	GTRFX	Difference
Sharpe ratio: Return per unit of total volatility	2.26	2.15	+0.12
Sortino ratio: Return per unit of downside risk	3.40	3.14	+0.26
Omega ratio: Gain probability vs. loss probability	1.41	1.38	+0.03
Calmar ratio: Return relative to maximum drawdown	3.77	3.23	+0.54
Martin ratio: Return relative to average drawdown	10.50	13.02	-2.51
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VMNIX vs. GTRFX - Sharpe Ratio Comparison

The current VMNIX Sharpe Ratio is 2.26, which is comparable to the GTRFX Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of VMNIX and GTRFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	VMNIX	GTRFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.26	2.15	+0.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.81	0.80	+1.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.79	0.67	+0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.66	-0.33

Drawdowns

VMNIX vs. GTRFX - Drawdown Comparison

The maximum VMNIX drawdown since its inception was -27.90%, smaller than the maximum GTRFX drawdown of -29.58%. Use the drawdown chart below to compare losses from any high point for VMNIX and GTRFX.

Drawdown Indicators

	VMNIX	GTRFX	Difference
Max Drawdown Largest peak-to-trough decline	-27.90%	-29.58%	+1.68%
Max Drawdown (1Y) Largest decline over 1 year	-4.67%	-6.47%	+1.80%
Max Drawdown (3Y) Largest decline over 3 years	-5.36%	-14.48%	+9.12%
Max Drawdown (5Y) Largest decline over 5 years	-6.69%	-18.51%	+11.82%
Max Drawdown (10Y) Largest decline over 10 years	-24.95%	-29.58%	+4.63%
Current Drawdown Current decline from peak	0.00%	-0.42%	+0.42%
Average Drawdown Average peak-to-trough decline	-8.76%	-4.29%	-4.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.74%	1.59%	+0.15%

Volatility

VMNIX vs. GTRFX - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Institutional Shares (VMNIX) is 2.02%, while Gotham Total Return Fund (GTRFX) has a volatility of 2.24%. This indicates that VMNIX experiences smaller price fluctuations and is considered to be less risky than GTRFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VMNIX	GTRFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.02%	2.24%	-0.22%
Volatility (6M) Calculated over the trailing 6-month period	5.75%	7.09%	-1.34%
Volatility (1Y) Calculated over the trailing 1-year period	7.81%	9.74%	-1.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.22%	13.51%	-6.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.41%	13.88%	-7.47%

VMNIX vs. GTRFX - Expense Ratio Comparison

VMNIX has a 1.25% expense ratio, which is higher than GTRFX's 0.00% expense ratio.

Dividends

VMNIX vs. GTRFX - Dividend Comparison

VMNIX's dividend yield for the trailing twelve months is around 3.19%, less than GTRFX's 8.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTRFX Gotham Total Return Fund	8.87%	9.53%	11.50%	7.27%	10.25%	4.66%	0.71%	6.06%	1.48%	0.33%	0.05%	0.00%
VMNIX Vanguard Market Neutral Fund Institutional Shares	3.19%	3.59%	5.67%	5.15%	0.78%	0.20%	0.86%	3.23%	1.00%	1.16%	0.45%	0.10%

Frequently Asked Questions

Can I hold both VMNIX and GTRFX in my portfolio?

VMNIX and GTRFX have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VMNIX or GTRFX?

GTRFX has higher volatility (2.24%) compared to VMNIX (2.02%). In terms of maximum drawdown, VMNIX dropped -27.90% vs GTRFX's -29.58%.

Which has better risk-adjusted returns?

VMNIX currently has the higher Sharpe Ratio (2.26 vs 2.15), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.