VMNIX vs. ^GSPC
Compare and contrast key facts about Vanguard Market Neutral Fund Institutional Shares (VMNIX) and S&P 500 (^GSPC).
VMNIX is managed by Vanguard. It was launched on Oct 19, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMNIX or ^GSPC.
Performance
VMNIX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, VMNIX achieves a 7.34% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, VMNIX has underperformed ^GSPC with an annualized return of 3.48%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
VMNIX
7.34%
-0.21%
2.84%
8.03%
8.14%
3.48%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| VMNIX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.32 | 2.51 |
| Sortino Ratio | 1.95 | 3.36 |
| Omega Ratio | 1.23 | 1.47 |
| Calmar Ratio | 2.47 | 3.62 |
| Martin Ratio | 6.05 | 16.12 |
| Ulcer Index | 1.34% | 1.91% |
| Daily Std Dev | 6.17% | 12.27% |
| Max Drawdown | -25.29% | -56.78% |
| Current Drawdown | -1.94% | -1.80% |
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Correlation
The correlation between VMNIX and ^GSPC is 0.01, 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
VMNIX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Institutional Shares (VMNIX) and S&P 500 (^GSPC). 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.
Drawdowns
VMNIX vs. ^GSPC - Drawdown Comparison
The maximum VMNIX drawdown since its inception was -25.29%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VMNIX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VMNIX vs. ^GSPC - Volatility Comparison
The current volatility for Vanguard Market Neutral Fund Institutional Shares (VMNIX) is 2.06%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that VMNIX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.