^SML vs. SMLF
^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 9.01%/yr vs 12.36%/yr for SMLF. Their correlation of 0.91 suggests significant overlap in exposure.
Performance
^SML vs. SMLF - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with ^SML having a 14.59% return and SMLF slightly lower at 14.46%. Over the past 10 years, ^SML has underperformed SMLF with an annualized return of 9.01%, while SMLF has yielded a comparatively higher 12.36% annualized return.
^SML
- 1D
- -0.85%
- 1M
- 1.57%
- YTD
- 14.59%
- 6M
- 13.25%
- 1Y
- 29.43%
- 3Y*
- 12.49%
- 5Y*
- 3.98%
- 10Y*
- 9.01%
SMLF
- 1D
- -0.72%
- 1M
- 4.07%
- YTD
- 14.46%
- 6M
- 14.20%
- 1Y
- 30.98%
- 3Y*
- 19.85%
- 5Y*
- 10.89%
- 10Y*
- 12.36%
^SML vs. SMLF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SML S&P Small-Cap 600 Index | 14.59% | 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 | 14.46% | 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.
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Return for Risk
^SML vs. SMLF — Risk / Return Rank
^SML
SMLF
^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 ratioReturn per unit of total volatility | -0.13 | ||
| Sortino ratioReturn per unit of downside risk | -0.08 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.31 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.31 | 3.57 | -0.26 |
| Martin ratioReturn relative to average drawdown | 11.03 | 12.27 | -1.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^SML | SMLF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.69 | 1.81 | -0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.19 | 0.52 | -0.33 |
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 | 0.41 | 0.54 | -0.12 |
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.
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Drawdown Indicators
| ^SML | SMLF | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -0.92% | -0.72% | -0.20% |
Average DrawdownAverage peak-to-trough decline | -9.51% | -6.60% | -2.91% |
Ulcer IndexDepth 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 4.45%, while iShares MSCI USA Small-Cap Multifactor ETF (SMLF) has a volatility of 4.80%. 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.
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Volatility by Period
| ^SML | SMLF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.45% | 4.80% | -0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 11.73% | 12.31% | -0.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.58% | 17.21% | +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% | 21.78% | +1.42% |
Frequently Asked Questions
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.
SMLF has higher volatility (4.80%) compared to ^SML (4.45%). In terms of maximum drawdown, ^SML dropped -59.17% vs SMLF's -41.89%.
SMLF currently has the higher Sharpe Ratio (1.81 vs 1.69), 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.
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