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VNYUX vs. VBTLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VNYUXVBTLX
YTD Return2.06%2.22%
1Y Return9.61%8.98%
3Y Return (Ann)-0.58%-2.42%
5Y Return (Ann)1.18%-0.02%
10Y Return (Ann)2.41%1.46%
Sharpe Ratio2.331.38
Sortino Ratio3.482.04
Omega Ratio1.531.25
Calmar Ratio0.890.50
Martin Ratio10.254.90
Ulcer Index0.95%1.64%
Daily Std Dev4.18%5.82%
Max Drawdown-17.21%-19.05%
Current Drawdown-2.40%-8.51%

Correlation

-0.50.00.51.00.6

The correlation between VNYUX and VBTLX is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VNYUX vs. VBTLX - Performance Comparison

In the year-to-date period, VNYUX achieves a 2.06% return, which is significantly lower than VBTLX's 2.22% return. Over the past 10 years, VNYUX has outperformed VBTLX with an annualized return of 2.41%, while VBTLX has yielded a comparatively lower 1.46% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.39%
4.24%
VNYUX
VBTLX

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VNYUX vs. VBTLX - Expense Ratio Comparison

VNYUX has a 0.09% expense ratio, which is higher than VBTLX's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VNYUX
Vanguard New York Long-Term Tax-Exempt Fund Admiral Shares
Expense ratio chart for VNYUX: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for VBTLX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

VNYUX vs. VBTLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard New York Long-Term Tax-Exempt Fund Admiral Shares (VNYUX) and Vanguard Total Bond Market Index Fund Admiral Shares (VBTLX). 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.


VNYUX
Sharpe ratio
The chart of Sharpe ratio for VNYUX, currently valued at 2.33, compared to the broader market0.002.004.002.33
Sortino ratio
The chart of Sortino ratio for VNYUX, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for VNYUX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for VNYUX, currently valued at 0.89, compared to the broader market0.005.0010.0015.0020.0025.000.89
Martin ratio
The chart of Martin ratio for VNYUX, currently valued at 10.25, compared to the broader market0.0020.0040.0060.0080.00100.0010.25
VBTLX
Sharpe ratio
The chart of Sharpe ratio for VBTLX, currently valued at 1.38, compared to the broader market0.002.004.001.38
Sortino ratio
The chart of Sortino ratio for VBTLX, currently valued at 2.04, compared to the broader market0.005.0010.002.04
Omega ratio
The chart of Omega ratio for VBTLX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for VBTLX, currently valued at 0.50, compared to the broader market0.005.0010.0015.0020.0025.000.50
Martin ratio
The chart of Martin ratio for VBTLX, currently valued at 4.90, compared to the broader market0.0020.0040.0060.0080.00100.004.90

VNYUX vs. VBTLX - Sharpe Ratio Comparison

The current VNYUX Sharpe Ratio is 2.33, which is higher than the VBTLX Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of VNYUX and VBTLX, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.33
1.38
VNYUX
VBTLX

Dividends

VNYUX vs. VBTLX - Dividend Comparison

VNYUX's dividend yield for the trailing twelve months is around 3.40%, less than VBTLX's 3.58% yield.


TTM20232022202120202019201820172016201520142013
VNYUX
Vanguard New York Long-Term Tax-Exempt Fund Admiral Shares
3.40%3.16%2.94%2.51%2.73%3.02%3.30%3.26%3.38%3.34%3.50%3.69%
VBTLX
Vanguard Total Bond Market Index Fund Admiral Shares
3.58%3.11%2.51%1.90%2.23%2.74%2.78%2.51%2.49%2.48%2.55%2.56%

Drawdowns

VNYUX vs. VBTLX - Drawdown Comparison

The maximum VNYUX drawdown since its inception was -17.21%, smaller than the maximum VBTLX drawdown of -19.05%. Use the drawdown chart below to compare losses from any high point for VNYUX and VBTLX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.40%
-8.51%
VNYUX
VBTLX

Volatility

VNYUX vs. VBTLX - Volatility Comparison

Vanguard New York Long-Term Tax-Exempt Fund Admiral Shares (VNYUX) has a higher volatility of 2.11% compared to Vanguard Total Bond Market Index Fund Admiral Shares (VBTLX) at 1.66%. This indicates that VNYUX's price experiences larger fluctuations and is considered to be riskier than VBTLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctoberNovember
2.11%
1.66%
VNYUX
VBTLX