PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^SP600 vs. VTMSX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP600VTMSX
YTD Return6.65%8.09%
1Y Return30.72%32.95%
3Y Return (Ann)0.71%2.44%
5Y Return (Ann)7.84%9.51%
10Y Return (Ann)7.56%9.15%
Sharpe Ratio1.581.69
Sortino Ratio2.322.47
Omega Ratio1.281.29
Calmar Ratio1.181.40
Martin Ratio8.799.72
Ulcer Index3.59%3.48%
Daily Std Dev20.01%20.02%
Max Drawdown-59.17%-57.84%
Current Drawdown-4.10%-2.48%

Correlation

-0.50.00.51.01.0

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.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
10.88%
11.77%
^SP600
VTMSX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


^SP600
Sharpe ratio
The chart of Sharpe ratio for ^SP600, currently valued at 1.58, compared to the broader market-1.000.001.002.003.001.58
Sortino ratio
The chart of Sortino ratio for ^SP600, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Omega ratio
The chart of Omega ratio for ^SP600, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.28
Calmar ratio
The chart of Calmar ratio for ^SP600, currently valued at 1.18, compared to the broader market0.001.002.003.004.001.18
Martin ratio
The chart of Martin ratio for ^SP600, currently valued at 8.79, compared to the broader market0.005.0010.0015.0020.008.79
VTMSX
Sharpe ratio
The chart of Sharpe ratio for VTMSX, currently valued at 1.69, compared to the broader market-1.000.001.002.003.001.69
Sortino ratio
The chart of Sortino ratio for VTMSX, currently valued at 2.47, compared to the broader market-1.000.001.002.003.004.002.47
Omega ratio
The chart of Omega ratio for VTMSX, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for VTMSX, currently valued at 1.40, compared to the broader market0.001.002.003.004.001.40
Martin ratio
The chart of Martin ratio for VTMSX, currently valued at 9.72, compared to the broader market0.005.0010.0015.0020.009.72

^SP600 vs. VTMSX - Sharpe Ratio Comparison

The current ^SP600 Sharpe Ratio is 1.58, which is comparable to the VTMSX Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of ^SP600 and VTMSX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50MayJuneJulyAugustSeptemberOctober
1.58
1.69
^SP600
VTMSX

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-4.10%
-2.48%
^SP600
VTMSX

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.


4.00%5.00%6.00%7.00%8.00%9.00%MayJuneJulyAugustSeptemberOctober
4.43%
4.44%
^SP600
VTMSX