VMNVX vs. SPHD
Compare and contrast key facts about Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD).
VMNVX is managed by Vanguard. It was launched on Dec 12, 2013. SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMNVX or SPHD.
Key characteristics
| VMNVX | SPHD | |
|---|---|---|
| YTD Return | 16.41% | 21.84% |
| 1Y Return | 20.25% | 32.19% |
| 3Y Return (Ann) | 6.79% | 8.94% |
| 5Y Return (Ann) | 5.75% | 7.46% |
| 10Y Return (Ann) | 7.73% | 8.83% |
| Sharpe Ratio | 2.31 | 3.13 |
| Sortino Ratio | 3.20 | 4.52 |
| Omega Ratio | 1.51 | 1.59 |
| Calmar Ratio | 4.25 | 2.45 |
| Martin Ratio | 14.30 | 22.33 |
| Ulcer Index | 1.48% | 1.61% |
| Daily Std Dev | 9.16% | 11.49% |
| Max Drawdown | -33.11% | -41.39% |
| Current Drawdown | -1.12% | -1.58% |
Correlation
The correlation between VMNVX and SPHD is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
VMNVX vs. SPHD - Performance Comparison
In the year-to-date period, VMNVX achieves a 16.41% return, which is significantly lower than SPHD's 21.84% return. Over the past 10 years, VMNVX has underperformed SPHD with an annualized return of 7.73%, while SPHD has yielded a comparatively higher 8.83% 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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VMNVX vs. SPHD - Expense Ratio Comparison
VMNVX has a 0.14% expense ratio, which is lower than SPHD's 0.30% expense ratio.
Risk-Adjusted Performance
VMNVX vs. SPHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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.
Dividends
VMNVX vs. SPHD - Dividend Comparison
VMNVX's dividend yield for the trailing twelve months is around 2.69%, less than SPHD's 3.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VMNVX Vanguard Global Minimum Volatility Fund Admiral Shares | 2.69% | 3.13% | 2.62% | 3.49% | 2.15% | 2.79% | 2.52% | 2.31% | 2.82% | 1.89% | 2.65% | 0.23% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 3.40% | 4.48% | 3.89% | 3.46% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% | 3.24% | 3.68% |
Drawdowns
VMNVX vs. SPHD - Drawdown Comparison
The maximum VMNVX drawdown since its inception was -33.11%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for VMNVX and SPHD. For additional features, visit the drawdowns tool.
Volatility
VMNVX vs. SPHD - Volatility Comparison
The current volatility for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) is 2.39%, while Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a volatility of 2.75%. This indicates that VMNVX experiences smaller price fluctuations and is considered to be less risky than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.