^SP600 vs. VTMSX
^SP600 (S&P 600) is an index, while VTMSX (Vanguard Tax-Managed Small-Cap Fund Admiral Shares) is Small Cap Blend Equities fund managed by BlackRock. Over the past 10 years, ^SP600 returned 9.65%/yr vs 11.38%/yr for VTMSX. With a 1.00 correlation, they move nearly in lockstep.
Performance
^SP600 vs. VTMSX - Performance Comparison
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Returns By Period
In the year-to-date period, ^SP600 achieves a 18.45% return, which is significantly lower than VTMSX's 20.11% return. Over the past 10 years, ^SP600 has underperformed VTMSX with an annualized return of 9.65%, while VTMSX has yielded a comparatively higher 11.38% annualized return.
^SP600
- 1D
- -0.36%
- 1M
- 4.06%
- YTD
- 18.45%
- 6M
- 15.98%
- 1Y
- 32.47%
- 3Y*
- 14.23%
- 5Y*
- 4.62%
- 10Y*
- 9.65%
VTMSX
- 1D
- 0.05%
- 1M
- 4.66%
- YTD
- 20.11%
- 6M
- 17.64%
- 1Y
- 35.38%
- 3Y*
- 16.42%
- 5Y*
- 6.79%
- 10Y*
- 11.38%
^SP600 vs. VTMSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SP600 S&P 600 | 18.45% | 4.23% | 6.82% | 13.89% | -17.42% | 25.27% | 9.57% | 20.86% | -9.75% | 11.73% |
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares | 20.11% | 5.93% | 8.61% | 15.95% | -16.16% | 27.08% | 11.05% | 23.28% | -8.62% | 13.05% |
Correlation
The correlation between ^SP600 and VTMSX is 1.00 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Mar 25, 1999 | 1.00 |
The correlation between ^SP600 and VTMSX has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
^SP600 vs. VTMSX — Risk / Return Rank
^SP600
VTMSX
^SP600 vs. VTMSX - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SP600 | VTMSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.36 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.65 | 4.33 | -0.68 |
| Martin ratioReturn relative to average drawdown | 12.28 | 14.50 | -2.22 |
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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.
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Drawdown Indicators
| ^SP600 | VTMSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.17% | -57.84% | -1.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -8.59% | -0.35% |
Max Drawdown (3Y)Largest decline over 3 years | -28.39% | -27.93% | -0.46% |
Max Drawdown (5Y)Largest decline over 5 years | -28.39% | -27.93% | -0.46% |
Max Drawdown (10Y)Largest decline over 10 years | -45.77% | -43.88% | -1.89% |
Current DrawdownCurrent decline from peak | -0.38% | 0.00% | -0.38% |
Average DrawdownAverage peak-to-trough decline | -9.26% | -8.91% | -0.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 2.56% | +0.09% |
Volatility
^SP600 vs. VTMSX - Volatility Comparison
S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) have volatilities of 4.92% and 4.88%, 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.
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Volatility by Period
| ^SP600 | VTMSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.92% | 4.88% | +0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 12.12% | 12.09% | +0.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.78% | 17.78% | 0.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.46% | 21.46% | 0.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.19% | 23.15% | +0.04% |
Frequently Asked Questions
With a correlation of 1.00, ^SP600 and VTMSX 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.
^SP600 has higher volatility (4.92%) compared to VTMSX (4.88%). In terms of maximum drawdown, ^SP600 dropped -59.17% vs VTMSX's -57.84%.
VTMSX currently has the higher Sharpe Ratio (2.10 vs 1.84), 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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