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VWLTX vs. VGLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VWLTXVGLT
YTD Return1.92%-4.73%
1Y Return8.29%4.93%
3Y Return (Ann)-0.61%-11.23%
5Y Return (Ann)1.20%-5.14%
10Y Return (Ann)2.57%0.03%
Sharpe Ratio2.300.52
Sortino Ratio3.460.83
Omega Ratio1.531.10
Calmar Ratio0.920.17
Martin Ratio9.531.33
Ulcer Index0.97%5.41%
Daily Std Dev4.01%13.69%
Max Drawdown-16.46%-46.18%
Current Drawdown-2.55%-38.80%

Correlation

-0.50.00.51.00.5

The correlation between VWLTX and VGLT is 0.48, 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

VWLTX vs. VGLT - Performance Comparison

In the year-to-date period, VWLTX achieves a 1.92% return, which is significantly higher than VGLT's -4.73% return. Over the past 10 years, VWLTX has outperformed VGLT with an annualized return of 2.57%, while VGLT has yielded a comparatively lower 0.03% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.00%
0.03%
VWLTX
VGLT

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VWLTX vs. VGLT - Expense Ratio Comparison

VWLTX has a 0.17% expense ratio, which is higher than VGLT's 0.04% 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%.


VWLTX
Vanguard Long-Term Tax-Exempt Fund Investor Shares
Expense ratio chart for VWLTX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
Expense ratio chart for VGLT: 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

VWLTX vs. VGLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Tax-Exempt Fund Investor Shares (VWLTX) and Vanguard Long-Term Treasury ETF (VGLT). 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.


VWLTX
Sharpe ratio
The chart of Sharpe ratio for VWLTX, currently valued at 2.30, compared to the broader market0.002.004.002.30
Sortino ratio
The chart of Sortino ratio for VWLTX, currently valued at 3.46, compared to the broader market0.005.0010.003.46
Omega ratio
The chart of Omega ratio for VWLTX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for VWLTX, currently valued at 0.92, compared to the broader market0.005.0010.0015.0020.000.92
Martin ratio
The chart of Martin ratio for VWLTX, currently valued at 9.53, compared to the broader market0.0020.0040.0060.0080.00100.009.53
VGLT
Sharpe ratio
The chart of Sharpe ratio for VGLT, currently valued at 0.52, compared to the broader market0.002.004.000.52
Sortino ratio
The chart of Sortino ratio for VGLT, currently valued at 0.83, compared to the broader market0.005.0010.000.83
Omega ratio
The chart of Omega ratio for VGLT, currently valued at 1.10, compared to the broader market1.002.003.004.001.10
Calmar ratio
The chart of Calmar ratio for VGLT, currently valued at 0.17, compared to the broader market0.005.0010.0015.0020.000.17
Martin ratio
The chart of Martin ratio for VGLT, currently valued at 1.33, compared to the broader market0.0020.0040.0060.0080.00100.001.33

VWLTX vs. VGLT - Sharpe Ratio Comparison

The current VWLTX Sharpe Ratio is 2.30, which is higher than the VGLT Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of VWLTX and VGLT, 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
2.30
0.52
VWLTX
VGLT

Dividends

VWLTX vs. VGLT - Dividend Comparison

VWLTX's dividend yield for the trailing twelve months is around 3.35%, less than VGLT's 4.13% yield.


TTM20232022202120202019201820172016201520142013
VWLTX
Vanguard Long-Term Tax-Exempt Fund Investor Shares
3.35%3.09%2.91%2.56%2.79%3.14%3.43%3.44%3.64%3.67%3.79%4.07%
VGLT
Vanguard Long-Term Treasury ETF
4.13%3.33%2.83%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%

Drawdowns

VWLTX vs. VGLT - Drawdown Comparison

The maximum VWLTX drawdown since its inception was -16.46%, smaller than the maximum VGLT drawdown of -46.18%. Use the drawdown chart below to compare losses from any high point for VWLTX and VGLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.55%
-38.80%
VWLTX
VGLT

Volatility

VWLTX vs. VGLT - Volatility Comparison

The current volatility for Vanguard Long-Term Tax-Exempt Fund Investor Shares (VWLTX) is 1.92%, while Vanguard Long-Term Treasury ETF (VGLT) has a volatility of 4.43%. This indicates that VWLTX experiences smaller price fluctuations and is considered to be less risky than VGLT 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%JuneJulyAugustSeptemberOctoberNovember
1.92%
4.43%
VWLTX
VGLT