^SML vs. SMLF

Last updated Jun 3, 2026

^SML (S&P Small-Cap 600 Index) is an index, while SMLF (iShares MSCI USA Small-Cap Multifactor ETF) is Small Cap Blend Equities fund tracking the MSCI USA Small Cap Diversified Multi-Factor. Over the past 10 years, ^SML returned 9.11%/yr vs 12.44%/yr for SMLF. Their correlation of 0.91 suggests significant overlap in exposure.

Performance

^SML vs. SMLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P Small-Cap 600 Index (^SML) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with ^SML having a 15.58% return and SMLF slightly lower at 15.29%. Over the past 10 years, ^SML has underperformed SMLF with an annualized return of 9.11%, while SMLF has yielded a comparatively higher 12.44% annualized return.

^SML

• 1D: 0.88%
• 1M: 1.41%
• YTD: 15.58%
• 6M: 15.88%
• 1Y: 32.63%
• 3Y*: 12.81%
• 5Y*: 4.20%
• 10Y*: 9.11%

SMLF

• 1D: 0.48%
• 1M: 4.34%
• YTD: 15.29%
• 6M: 16.02%
• 1Y: 33.93%
• 3Y*: 20.13%
• 5Y*: 11.16%
• 10Y*: 12.44%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^SML vs. SMLF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SML S&P Small-Cap 600 Index	15.58%	4.23%	6.82%	13.89%	-17.42%	25.27%	9.57%	20.86%	-9.75%	11.73%
SMLF iShares MSCI USA Small-Cap Multifactor ETF	15.29%	12.30%	16.33%	19.99%	-12.19%	26.53%	8.38%	21.56%	-8.42%	12.70%

Correlation

The correlation between ^SML and SMLF is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since May 1, 2015	0.91

The correlation between ^SML and SMLF has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.

Return for Risk

^SML vs. SMLF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SML

^SML Risk / Return Rank: 70
^SML Sharpe Ratio Rank: 62
^SML Sortino Ratio Rank: 67
^SML Omega Ratio Rank: 63
^SML Calmar Ratio Rank: 85
^SML Martin Ratio Rank: 76

SMLF

SMLF Risk / Return Rank: 63
SMLF Sharpe Ratio Rank: 58
SMLF Sortino Ratio Rank: 58
SMLF Omega Ratio Rank: 54
SMLF Calmar Ratio Rank: 76
SMLF Martin Ratio Rank: 70

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^SML vs. SMLF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P Small-Cap 600 Index (^SML) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). 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.

	^SML	SMLF	Difference
Sharpe ratio Return per unit of total volatility	1.87	1.98	-0.12
Sortino ratio Return per unit of downside risk	2.71	2.76	-0.06
Omega ratio Gain probability vs. loss probability	1.32	1.34	-0.01
Calmar ratio Return relative to maximum drawdown	3.59	3.89	-0.30
Martin ratio Return relative to average drawdown	12.00	13.38	-1.38
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SML vs. SMLF - Sharpe Ratio Comparison

The current ^SML Sharpe Ratio is 1.87, which is comparable to the SMLF Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of ^SML and SMLF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^SML	SMLF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.87	1.98	-0.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.20	0.53	-0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	0.57	-0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.54	-0.13

Drawdowns

^SML vs. SMLF - Drawdown Comparison

The maximum ^SML drawdown since its inception was -59.17%, which is greater than SMLF's maximum drawdown of -41.89%. Use the drawdown chart below to compare losses from any high point for ^SML and SMLF.

Drawdown Indicators

	^SML	SMLF	Difference
Max Drawdown Largest peak-to-trough decline	-59.17%	-41.89%	-17.28%
Max Drawdown (1Y) Largest decline over 1 year	-8.94%	-8.71%	-0.23%
Max Drawdown (3Y) Largest decline over 3 years	-28.39%	-26.28%	-2.11%
Max Drawdown (5Y) Largest decline over 5 years	-28.39%	-26.28%	-2.11%
Max Drawdown (10Y) Largest decline over 10 years	-45.77%	-41.89%	-3.88%
Current Drawdown Current decline from peak	-0.07%	0.00%	-0.07%
Average Drawdown Average peak-to-trough decline	-9.51%	-6.60%	-2.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	2.53%	+0.14%

Volatility

^SML vs. SMLF - Volatility Comparison

The current volatility for S&P Small-Cap 600 Index (^SML) is 4.49%, while iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a volatility of 4.76%. This indicates that ^SML experiences smaller price fluctuations and is considered to be less risky than SMLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SML	SMLF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.49%	4.76%	-0.27%
Volatility (6M) Calculated over the trailing 6-month period	11.71%	12.30%	-0.59%
Volatility (1Y) Calculated over the trailing 1-year period	17.56%	17.19%	+0.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.45%	21.09%	+0.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.20%	21.79%	+1.41%

Frequently Asked Questions

Can I hold both ^SML and SMLF in my portfolio?

With a correlation of 0.93, ^SML and SMLF move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^SML or SMLF?

SMLF has higher volatility (4.76%) compared to ^SML (4.49%). In terms of maximum drawdown, ^SML dropped -59.17% vs SMLF's -41.89%.

Which has better risk-adjusted returns?

SMLF currently has the higher Sharpe Ratio (1.98 vs 1.87), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.