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^SP600 vs. VTMSX

Last updated Feb 24, 2024

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


^SP600VTMSX
YTD Return-1.73%-1.83%
1Y Return3.05%5.39%
3Y Return (Ann)0.18%1.48%
5Y Return (Ann)5.59%7.24%
10Y Return (Ann)6.99%8.52%
Sharpe Ratio0.180.28
Daily Std Dev20.31%20.29%
Max Drawdown-59.17%-57.84%
Current Drawdown-11.63%-8.43%

Correlation

1.00
-1.001.00

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.

^SP600 vs. VTMSX - Performance Comparison

In the year-to-date period, ^SP600 achieves a -1.73% return, which is significantly higher than VTMSX's -1.83% return. Over the past 10 years, ^SP600 has underperformed VTMSX with an annualized return of 6.99%, while VTMSX has yielded a comparatively higher 8.52% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2024February
8.25%
8.90%
^SP600
VTMSX

Compare stocks, funds, or ETFs


S&P 600

Vanguard Tax-Managed Small-Cap Fund Admiral Shares

^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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^SP600
S&P 600
0.18
VTMSX
Vanguard Tax-Managed Small-Cap Fund Admiral Shares
0.27

^SP600 vs. VTMSX - Sharpe Ratio Comparison

The current ^SP600 Sharpe Ratio is 0.18, which is lower than the VTMSX Sharpe Ratio of 0.27. The chart below compares the 12-month rolling Sharpe Ratio of ^SP600 and VTMSX.


Rolling 12-month Sharpe Ratio-0.40-0.200.000.200.400.600.80SeptemberOctoberNovemberDecember2024February
0.18
0.27
^SP600
VTMSX

^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%. The drawdown chart below compares losses from any high point along the way for ^SP600 and VTMSX


-25.00%-20.00%-15.00%-10.00%-5.00%SeptemberOctoberNovemberDecember2024February
-11.63%
-8.43%
^SP600
VTMSX

^SP600 vs. VTMSX - Volatility Comparison

S&P 600 (^SP600) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) have volatilities of 6.86% and 6.83%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%SeptemberOctoberNovemberDecember2024February
6.86%
6.83%
^SP600
VTMSX