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.
Key characteristics
VMNIX | ^GSPC | |
---|---|---|
YTD Return | 7.34% | 22.73% |
1Y Return | 10.44% | 38.58% |
3Y Return (Ann) | 14.47% | 8.85% |
5Y Return (Ann) | 8.04% | 14.32% |
10Y Return (Ann) | 3.52% | 11.57% |
Sharpe Ratio | 1.70 | 2.98 |
Sortino Ratio | 2.48 | 3.95 |
Omega Ratio | 1.30 | 1.55 |
Calmar Ratio | 3.27 | 2.60 |
Martin Ratio | 7.71 | 19.43 |
Ulcer Index | 1.40% | 1.90% |
Daily Std Dev | 6.32% | 12.32% |
Max Drawdown | -25.29% | -56.78% |
Current Drawdown | -1.94% | -0.18% |
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.
Performance
VMNIX vs. ^GSPC - Performance Comparison
In the year-to-date period, VMNIX achieves a 7.34% return, which is significantly lower than ^GSPC's 22.73% return. Over the past 10 years, VMNIX has underperformed ^GSPC with an annualized return of 3.52%, while ^GSPC has yielded a comparatively higher 11.57% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 1.68%, while S&P 500 (^GSPC) has a volatility of 2.56%. 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.