VMNVX vs. ^GSPC
Compare and contrast key facts about Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) and S&P 500 (^GSPC).
VMNVX is managed by Vanguard. It was launched on Dec 12, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMNVX or ^GSPC.
Key characteristics
| VMNVX | ^GSPC | |
|---|---|---|
| YTD Return | 16.41% | 25.48% |
| 1Y Return | 20.25% | 33.14% |
| 3Y Return (Ann) | 6.79% | 8.55% |
| 5Y Return (Ann) | 5.75% | 13.96% |
| 10Y Return (Ann) | 7.73% | 11.39% |
| Sharpe Ratio | 2.31 | 2.91 |
| Sortino Ratio | 3.20 | 3.88 |
| Omega Ratio | 1.51 | 1.55 |
| Calmar Ratio | 4.25 | 4.20 |
| Martin Ratio | 14.30 | 18.80 |
| Ulcer Index | 1.48% | 1.90% |
| Daily Std Dev | 9.16% | 12.27% |
| Max Drawdown | -33.11% | -56.78% |
| Current Drawdown | -1.12% | -0.27% |
Correlation
The correlation between VMNVX and ^GSPC is 0.86, 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. ^GSPC - Performance Comparison
In the year-to-date period, VMNVX achieves a 16.41% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, VMNVX has underperformed ^GSPC with an annualized return of 7.73%, while ^GSPC has yielded a comparatively higher 11.39% 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
VMNVX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) 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
VMNVX vs. ^GSPC - Drawdown Comparison
The maximum VMNVX drawdown since its inception was -33.11%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VMNVX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VMNVX vs. ^GSPC - Volatility Comparison
The current volatility for Vanguard Global Minimum Volatility Fund Admiral Shares (VMNVX) is 2.39%, while S&P 500 (^GSPC) has a volatility of 3.75%. This indicates that VMNVX 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.