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

Key characteristics


VWLTXVWITX
YTD Return1.82%1.56%
1Y Return9.14%6.70%
3Y Return (Ann)-0.64%0.08%
5Y Return (Ann)1.19%1.39%
10Y Return (Ann)2.56%2.26%
Sharpe Ratio2.282.34
Sortino Ratio3.433.63
Omega Ratio1.521.54
Calmar Ratio0.851.00
Martin Ratio9.489.13
Ulcer Index0.96%0.73%
Daily Std Dev4.01%2.87%
Max Drawdown-16.46%-11.56%
Current Drawdown-2.64%-1.34%

Correlation

-0.50.00.51.00.9

The correlation between VWLTX and VWITX is 0.89, 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.

Performance

VWLTX vs. VWITX - Performance Comparison

In the year-to-date period, VWLTX achieves a 1.82% return, which is significantly higher than VWITX's 1.56% return. Over the past 10 years, VWLTX has outperformed VWITX with an annualized return of 2.56%, while VWITX has yielded a comparatively lower 2.26% 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%-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
1.91%
1.75%
VWLTX
VWITX

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VWLTX vs. VWITX - Expense Ratio Comparison

Both VWLTX and VWITX have an expense ratio of 0.17%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 VWITX: 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%

Risk-Adjusted Performance

VWLTX vs. VWITX - 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 Intermediate-Term Tax-Exempt Fund Investor Shares (VWITX). 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 2.28, compared to the broader market0.002.004.002.28
Sortino ratio
The chart of Sortino ratio for VWLTX, currently valued at 3.43, compared to the broader market0.005.0010.003.43
Omega ratio
The chart of Omega ratio for VWLTX, currently valued at 1.52, compared to the broader market1.002.003.004.001.52
Calmar ratio
The chart of Calmar ratio for VWLTX, currently valued at 0.85, compared to the broader market0.005.0010.0015.0020.000.85
Martin ratio
The chart of Martin ratio for VWLTX, currently valued at 9.48, compared to the broader market0.0020.0040.0060.0080.00100.009.48
VWITX
Sharpe ratio
The chart of Sharpe ratio for VWITX, currently valued at 2.34, compared to the broader market0.002.004.002.34
Sortino ratio
The chart of Sortino ratio for VWITX, currently valued at 3.63, compared to the broader market0.005.0010.003.63
Omega ratio
The chart of Omega ratio for VWITX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for VWITX, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.00
Martin ratio
The chart of Martin ratio for VWITX, currently valued at 9.13, compared to the broader market0.0020.0040.0060.0080.00100.009.13

VWLTX vs. VWITX - Sharpe Ratio Comparison

The current VWLTX Sharpe Ratio is 2.28, which is comparable to the VWITX Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of VWLTX and VWITX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.28
2.34
VWLTX
VWITX

Dividends

VWLTX vs. VWITX - Dividend Comparison

VWLTX's dividend yield for the trailing twelve months is around 3.36%, more than VWITX's 2.97% yield.


TTM20232022202120202019201820172016201520142013
VWLTX
Vanguard Long-Term Tax-Exempt Fund Investor Shares
3.36%3.09%2.91%2.56%2.79%3.14%3.43%3.44%3.64%3.67%3.79%4.07%
VWITX
Vanguard Intermediate-Term Tax-Exempt Fund Investor Shares
2.97%2.71%2.43%2.08%2.32%2.61%2.81%2.73%2.81%2.89%3.05%3.19%

Drawdowns

VWLTX vs. VWITX - Drawdown Comparison

The maximum VWLTX drawdown since its inception was -16.46%, which is greater than VWITX's maximum drawdown of -11.56%. Use the drawdown chart below to compare losses from any high point for VWLTX and VWITX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.64%
-1.34%
VWLTX
VWITX

Volatility

VWLTX vs. VWITX - Volatility Comparison

Vanguard Long-Term Tax-Exempt Fund Investor Shares (VWLTX) has a higher volatility of 1.93% compared to Vanguard Intermediate-Term Tax-Exempt Fund Investor Shares (VWITX) at 1.38%. This indicates that VWLTX's price experiences larger fluctuations and is considered to be riskier than VWITX 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
1.93%
1.38%
VWLTX
VWITX