^SP600 vs. VTMSX
Compare and contrast key facts about S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX).
VTMSX is managed by Blackrock. It was launched on Mar 25, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SP600 or VTMSX.
Key characteristics
| ^SP600 | VTMSX | |
|---|---|---|
| YTD Return | 6.65% | 8.09% |
| 1Y Return | 30.72% | 32.95% |
| 3Y Return (Ann) | 0.71% | 2.44% |
| 5Y Return (Ann) | 7.84% | 9.51% |
| 10Y Return (Ann) | 7.56% | 9.15% |
| Sharpe Ratio | 1.58 | 1.69 |
| Sortino Ratio | 2.32 | 2.47 |
| Omega Ratio | 1.28 | 1.29 |
| Calmar Ratio | 1.18 | 1.40 |
| Martin Ratio | 8.79 | 9.72 |
| Ulcer Index | 3.59% | 3.48% |
| Daily Std Dev | 20.01% | 20.02% |
| Max Drawdown | -59.17% | -57.84% |
| Current Drawdown | -4.10% | -2.48% |
Correlation
The correlation between ^SP600 and VTMSX is 1.00, 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
^SP600 vs. VTMSX - Performance Comparison
In the year-to-date period, ^SP600 achieves a 6.65% return, which is significantly lower than VTMSX's 8.09% return. Over the past 10 years, ^SP600 has underperformed VTMSX with an annualized return of 7.56%, while VTMSX has yielded a comparatively higher 9.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^SP600 vs. VTMSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX). 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.
Drawdowns
^SP600 vs. VTMSX - Drawdown Comparison
The maximum ^SP600 drawdown since its inception was -59.17%, roughly equal to the maximum VTMSX drawdown of -57.84%. Use the drawdown chart below to compare losses from any high point for ^SP600 and VTMSX. For additional features, visit the drawdowns tool.
Volatility
^SP600 vs. VTMSX - Volatility Comparison
S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) have volatilities of 4.43% and 4.44%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.