VMVFX vs. VMNFX
Compare and contrast key facts about Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) and Vanguard Market Neutral Fund Investor Shares (VMNFX).
VMVFX is managed by Vanguard. It was launched on Dec 12, 2013. VMNFX is managed by Vanguard. It was launched on Nov 11, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMVFX or VMNFX.
Key characteristics
| VMVFX | VMNFX | |
|---|---|---|
| YTD Return | 17.54% | 7.53% |
| 1Y Return | 23.35% | 7.41% |
| 3Y Return (Ann) | 7.37% | 14.02% |
| 5Y Return (Ann) | 6.00% | 8.28% |
| 10Y Return (Ann) | 7.84% | 3.49% |
| Sharpe Ratio | 2.54 | 1.27 |
| Sortino Ratio | 3.49 | 1.89 |
| Omega Ratio | 1.56 | 1.22 |
| Calmar Ratio | 4.68 | 2.40 |
| Martin Ratio | 15.74 | 5.41 |
| Ulcer Index | 1.47% | 1.46% |
| Daily Std Dev | 9.12% | 6.21% |
| Max Drawdown | -33.09% | -25.42% |
| Current Drawdown | -0.12% | -1.73% |
Correlation
The correlation between VMVFX and VMNFX is 0.08, 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
VMVFX vs. VMNFX - Performance Comparison
In the year-to-date period, VMVFX achieves a 17.54% return, which is significantly higher than VMNFX's 7.53% return. Over the past 10 years, VMVFX has outperformed VMNFX with an annualized return of 7.84%, while VMNFX has yielded a comparatively lower 3.49% 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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VMVFX vs. VMNFX - Expense Ratio Comparison
VMVFX has a 0.21% expense ratio, which is lower than VMNFX's 1.31% expense ratio.
Risk-Adjusted Performance
VMVFX vs. VMNFX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). 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
VMVFX vs. VMNFX - Dividend Comparison
VMVFX's dividend yield for the trailing twelve months is around 2.60%, less than VMNFX's 4.77% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VMVFX Vanguard Global Minimum Volatility Fund Investor Shares | 2.60% | 3.05% | 2.56% | 3.42% | 2.03% | 3.30% | 2.42% | 2.31% | 2.71% | 1.81% | 2.54% | 0.23% |
VMNFX Vanguard Market Neutral Fund Investor Shares | 4.77% | 5.09% | 0.75% | 0.15% | 0.81% | 3.16% | 0.94% | 1.07% | 0.38% | 0.02% | 0.00% | 0.03% |
Drawdowns
VMVFX vs. VMNFX - Drawdown Comparison
The maximum VMVFX drawdown since its inception was -33.09%, which is greater than VMNFX's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for VMVFX and VMNFX. For additional features, visit the drawdowns tool.
Volatility
VMVFX vs. VMNFX - Volatility Comparison
Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) has a higher volatility of 2.46% compared to Vanguard Market Neutral Fund Investor Shares (VMNFX) at 2.29%. This indicates that VMVFX's price experiences larger fluctuations and is considered to be riskier than VMNFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.