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

Correlation

The correlation between VTSAX and VMVFX 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.


-0.50.00.51.00.9

Performance

VTSAX vs. VMVFX - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.50%
0.20%
VTSAX
VMVFX

Key characteristics

Sharpe Ratio

VTSAX:

2.01

VMVFX:

1.23

Sortino Ratio

VTSAX:

2.69

VMVFX:

1.54

Omega Ratio

VTSAX:

1.37

VMVFX:

1.26

Calmar Ratio

VTSAX:

3.01

VMVFX:

1.42

Martin Ratio

VTSAX:

12.78

VMVFX:

7.08

Ulcer Index

VTSAX:

2.02%

VMVFX:

1.54%

Daily Std Dev

VTSAX:

12.84%

VMVFX:

8.89%

Max Drawdown

VTSAX:

-55.34%

VMVFX:

-33.09%

Current Drawdown

VTSAX:

-2.82%

VMVFX:

-6.99%

Returns By Period

In the year-to-date period, VTSAX achieves a 25.17% return, which is significantly higher than VMVFX's 9.66% return. Over the past 10 years, VTSAX has outperformed VMVFX with an annualized return of 12.50%, while VMVFX has yielded a comparatively lower 6.86% annualized return.


VTSAX

YTD

25.17%

1M

-0.88%

6M

10.50%

1Y

25.53%

5Y*

14.14%

10Y*

12.50%

VMVFX

YTD

9.66%

1M

-6.59%

6M

0.19%

1Y

10.52%

5Y*

3.94%

10Y*

6.86%

Compare stocks, funds, or ETFs

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


VTSAX vs. VMVFX - Expense Ratio Comparison

VTSAX has a 0.04% expense ratio, which is lower than VMVFX's 0.21% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VMVFX
Vanguard Global Minimum Volatility Fund Investor Shares
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%
Expense ratio chart for VTSAX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VTSAX vs. VMVFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) and Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX). 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 VTSAX, currently valued at 2.01, compared to the broader market-1.000.001.002.003.004.002.011.23
The chart of Sortino ratio for VTSAX, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.002.691.54
The chart of Omega ratio for VTSAX, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.003.501.371.26
The chart of Calmar ratio for VTSAX, currently valued at 3.01, compared to the broader market0.002.004.006.008.0010.0012.0014.003.011.42
The chart of Martin ratio for VTSAX, currently valued at 12.78, compared to the broader market0.0020.0040.0060.0012.787.08
VTSAX
VMVFX

The current VTSAX Sharpe Ratio is 2.01, which is higher than the VMVFX Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of VTSAX and VMVFX, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.01
1.23
VTSAX
VMVFX

Dividends

VTSAX vs. VMVFX - Dividend Comparison

VTSAX's dividend yield for the trailing twelve months is around 0.92%, while VMVFX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.92%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%
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%

Drawdowns

VTSAX vs. VMVFX - Drawdown Comparison

The maximum VTSAX drawdown since its inception was -55.34%, which is greater than VMVFX's maximum drawdown of -33.09%. Use the drawdown chart below to compare losses from any high point for VTSAX and VMVFX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.82%
-6.99%
VTSAX
VMVFX

Volatility

VTSAX vs. VMVFX - Volatility Comparison

The current volatility for Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) is 4.01%, while Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) has a volatility of 5.36%. This indicates that VTSAX experiences smaller price fluctuations and is considered to be less risky than VMVFX 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%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.01%
5.36%
VTSAX
VMVFX
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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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