^SP600 vs. VTMSX

Last updated Jun 4, 2026

^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 9.01%/yr vs 10.79%/yr for VTMSX. With a 1.00 correlation, they move nearly in lockstep.

Performance

^SP600 vs. VTMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^SP600 achieves a 14.59% return, which is significantly lower than VTMSX's 16.65% return. Over the past 10 years, ^SP600 has underperformed VTMSX with an annualized return of 9.01%, while VTMSX has yielded a comparatively higher 10.79% annualized return.

^SP600

• 1D: -0.85%
• 1M: 1.57%
• YTD: 14.59%
• 6M: 13.25%
• 1Y: 29.43%
• 3Y*: 12.49%
• 5Y*: 3.98%
• 10Y*: 9.01%

VTMSX

• 1D: 0.92%
• 1M: 2.71%
• YTD: 16.65%
• 6M: 15.43%
• 1Y: 32.94%
• 3Y*: 14.82%
• 5Y*: 5.98%
• 10Y*: 10.79%

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

^SP600 vs. VTMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SP600 S&P 600	14.59%	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	16.65%	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 26, 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.

Return for Risk

^SP600 vs. VTMSX — Risk / Return Rank

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

^SP600

^SP600 Risk / Return Rank: 66
^SP600 Sharpe Ratio Rank: 57
^SP600 Sortino Ratio Rank: 61
^SP600 Omega Ratio Rank: 57
^SP600 Calmar Ratio Rank: 81
^SP600 Martin Ratio Rank: 71

VTMSX

VTMSX Risk / Return Rank: 59
VTMSX Sharpe Ratio Rank: 47
VTMSX Sortino Ratio Rank: 48
VTMSX Omega Ratio Rank: 41
VTMSX Calmar Ratio Rank: 86
VTMSX Martin Ratio Rank: 71

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.

^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.

	^SP600	VTMSX	Difference
Sharpe ratio Return per unit of total volatility	1.69	2.01	-0.32
Sortino ratio Return per unit of downside risk	2.48	2.89	-0.42
Omega ratio Gain probability vs. loss probability	1.29	1.35	-0.05
Calmar ratio Return relative to maximum drawdown	3.31	4.10	-0.79
Martin ratio Return relative to average drawdown	11.03	13.62	-2.58
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SP600 vs. VTMSX - Sharpe Ratio Comparison

The current ^SP600 Sharpe Ratio is 1.69, which is comparable to the VTMSX Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of ^SP600 and VTMSX, 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

	^SP600	VTMSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.69	2.01	-0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.19	0.28	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	0.47	-0.08
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.46	0.00

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.

Drawdown Indicators

	^SP600	VTMSX	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-0.92%	0.00%	-0.92%
Average Drawdown Average peak-to-trough decline	-9.28%	-8.93%	-0.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	2.58%	+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 4.45% and 4.51%, 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.

Volatility by Period

	^SP600	VTMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.45%	4.51%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	11.73%	11.69%	+0.04%
Volatility (1Y) Calculated over the trailing 1-year period	17.58%	17.53%	+0.05%
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%	23.12%	+0.07%

Frequently Asked Questions

Can I hold both ^SP600 and VTMSX in my portfolio?

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.

Which is riskier, ^SP600 or VTMSX?

VTMSX has higher volatility (4.51%) compared to ^SP600 (4.45%). In terms of maximum drawdown, ^SP600 dropped -59.17% vs VTMSX's -57.84%.

Which has better risk-adjusted returns?

VTMSX currently has the higher Sharpe Ratio (2.01 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.