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VMVFX vs. VMNFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.1

Performance

VMVFX vs. VMNFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
0.20%
1.58%
VMVFX
VMNFX

Key characteristics

Sharpe Ratio

VMVFX:

1.23

VMNFX:

1.06

Sortino Ratio

VMVFX:

1.54

VMNFX:

1.60

Omega Ratio

VMVFX:

1.26

VMNFX:

1.18

Calmar Ratio

VMVFX:

1.42

VMNFX:

1.88

Martin Ratio

VMVFX:

7.08

VMNFX:

4.17

Ulcer Index

VMVFX:

1.54%

VMNFX:

1.56%

Daily Std Dev

VMVFX:

8.89%

VMNFX:

6.15%

Max Drawdown

VMVFX:

-33.09%

VMNFX:

-25.42%

Current Drawdown

VMVFX:

-6.99%

VMNFX:

-2.83%

Returns By Period

In the year-to-date period, VMVFX achieves a 9.66% return, which is significantly higher than VMNFX's 6.32% return. Over the past 10 years, VMVFX has outperformed VMNFX with an annualized return of 6.86%, while VMNFX has yielded a comparatively lower 3.28% annualized return.


VMVFX

YTD

9.66%

1M

-6.59%

6M

0.19%

1Y

10.52%

5Y*

3.94%

10Y*

6.86%

VMNFX

YTD

6.32%

1M

0.43%

6M

1.59%

1Y

6.58%

5Y*

7.98%

10Y*

3.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VMVFX vs. VMNFX - Expense Ratio Comparison

VMVFX has a 0.21% expense ratio, which is lower than VMNFX's 1.31% expense ratio.


VMNFX
Vanguard Market Neutral Fund Investor Shares
Expense ratio chart for VMNFX: current value at 1.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.31%
Expense ratio chart for VMVFX: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%

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.


Sharpe ratio
The chart of Sharpe ratio for VMVFX, currently valued at 1.23, compared to the broader market-1.000.001.002.003.004.001.231.06
The chart of Sortino ratio for VMVFX, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.001.541.60
The chart of Omega ratio for VMVFX, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.003.501.261.18
The chart of Calmar ratio for VMVFX, currently valued at 1.42, compared to the broader market0.002.004.006.008.0010.0012.0014.001.421.88
The chart of Martin ratio for VMVFX, currently valued at 7.08, compared to the broader market0.0020.0040.0060.007.084.17
VMVFX
VMNFX

The current VMVFX Sharpe Ratio is 1.23, which is comparable to the VMNFX Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of VMVFX and VMNFX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.23
1.06
VMVFX
VMNFX

Dividends

VMVFX vs. VMNFX - Dividend Comparison

VMVFX has not paid dividends to shareholders, while VMNFX's dividend yield for the trailing twelve months is around 4.82%.


TTM20232022202120202019201820172016201520142013
VMVFX
Vanguard Global Minimum Volatility Fund Investor Shares
0.00%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
4.82%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.99%
-2.83%
VMVFX
VMNFX

Volatility

VMVFX vs. VMNFX - Volatility Comparison

Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) has a higher volatility of 5.36% compared to Vanguard Market Neutral Fund Investor Shares (VMNFX) at 1.74%. 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.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
5.36%
1.74%
VMVFX
VMNFX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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