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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Russell Investment Tax-Managed U.S. Large Cap Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) has returned -7.47% so far this year and 11.02% over the past 12 months. Over the last ten years, RETSX has had an annualized return of 11.63%, just under the S&P 500 Index benchmark’s 12.16%.
Russell Investment Tax-Managed U.S. Large Cap Fund
- 1D
- -0.28%
- 1M
- -7.60%
- YTD
- -7.47%
- 6M
- -5.43%
- 1Y
- 11.02%
- 3Y*
- 14.07%
- 5Y*
- 8.91%
- 10Y*
- 11.63%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 1997, RETSX's average daily return is +0.04%, while the average monthly return is +0.78%. At this rate, your investment would double in approximately 7.4 years.
Historically, 63% of months were positive and 37% were negative. The best month was Apr 2020 with a return of +12.4%, while the worst month was Oct 2008 at -17.1%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 5 months.
On a daily basis, RETSX closed higher 52% of trading days. The best single day was Oct 13, 2008 with a return of +12.3%, while the worst single day was Mar 16, 2020 at -12.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.81% | -0.66% | -7.60% | -7.47% | |||||||||
| 2025 | 2.81% | -1.68% | -5.62% | -1.12% | 6.00% | 5.11% | 1.81% | 2.05% | 2.55% | 1.71% | 0.27% | 0.22% | 14.45% |
| 2024 | 1.67% | 4.94% | 3.60% | -4.01% | 4.08% | 2.84% | 1.32% | 2.12% | 1.47% | -1.21% | 5.75% | -3.33% | 20.43% |
| 2023 | 6.94% | -2.63% | 2.94% | 1.58% | -0.36% | 6.17% | 3.36% | -1.61% | -4.16% | -2.09% | 8.63% | 4.47% | 24.74% |
| 2022 | -5.11% | -3.18% | 2.73% | -8.60% | 0.26% | -8.79% | 8.72% | -4.07% | -9.12% | 8.04% | 6.09% | -5.45% | -18.96% |
| 2021 | -1.56% | 2.66% | 3.94% | 5.81% | 0.57% | 2.15% | 2.34% | 2.77% | -4.62% | 6.93% | -2.04% | 4.04% | 24.82% |
Benchmark Metrics
Russell Investment Tax-Managed U.S. Large Cap Fund has an annualized alpha of 0.66%, beta of 1.01, and R² of 0.98 versus S&P 500 Index. Calculated based on daily prices since January 03, 1997.
- With beta of 1.01 and R² of 0.98, this fund moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 0.66%
- Beta
- 1.01
- R²
- 0.98
- Upside Capture
- 103.63%
- Downside Capture
- 100.35%
Expense Ratio
RETSX has an expense ratio of 0.92%, placing it in the medium range.
Return for Risk
Risk / Return Rank
RETSX ranks 27 for risk / return — below 27% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and compare them to a chosen benchmark (S&P 500 Index).
| RETSX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.65 | 0.90 | -0.25 |
Sortino ratioReturn per unit of downside risk | 1.05 | 1.39 | -0.34 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.21 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.77 | 1.40 | -0.63 |
Martin ratioReturn relative to average drawdown | 3.50 | 6.61 | -3.11 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore RETSX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Russell Investment Tax-Managed U.S. Large Cap Fund provided a 0.48% dividend yield over the last twelve months, with an annual payout of $0.43 per share. The fund has been increasing its distributions for 4 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.43 | $0.43 | $0.41 | $0.38 | $0.34 | $0.10 | $0.26 | $0.38 | $0.34 | $0.42 | $0.29 | $0.24 |
Dividend yield | 0.48% | 0.44% | 0.49% | 0.54% | 0.59% | 0.14% | 0.47% | 0.78% | 0.90% | 1.02% | 0.84% | 0.76% |
Monthly Dividends
The table displays the monthly dividend distributions for Russell Investment Tax-Managed U.S. Large Cap Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.43 | $0.43 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.41 | $0.41 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.38 | $0.38 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.34 | $0.34 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.10 | $0.10 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Russell Investment Tax-Managed U.S. Large Cap Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Russell Investment Tax-Managed U.S. Large Cap Fund was 57.35%, occurring on Mar 9, 2009. Recovery took 888 trading sessions.
The current Russell Investment Tax-Managed U.S. Large Cap Fund drawdown is 9.29%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -57.35% | Oct 10, 2007 | 355 | Mar 9, 2009 | 888 | Sep 13, 2012 | 1243 |
| -48.07% | Sep 5, 2000 | 525 | Oct 9, 2002 | 1072 | Jan 12, 2007 | 1597 |
| -33.52% | Feb 20, 2020 | 23 | Mar 23, 2020 | 102 | Aug 17, 2020 | 125 |
| -25.62% | Dec 30, 2021 | 190 | Sep 30, 2022 | 306 | Dec 19, 2023 | 496 |
| -20.18% | Jul 20, 1998 | 31 | Aug 31, 1998 | 59 | Nov 23, 1998 | 90 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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