BDMAX vs. VTMSX

Last updated Jul 14, 2026

BDMAX (BlackRock Global Equity Market Neutral Fund) and VTMSX (Vanguard Tax-Managed Small-Cap Fund Admiral Shares) are both mutual funds - BDMAX is a Equity Market Neutral fund actively managed by BlackRock, while VTMSX is a Small Cap Blend Equities fund managed by BlackRock. Over the past 10 years, BDMAX returned 8.20%/yr vs 10.79%/yr for VTMSX. At a 0.06 correlation, their price movements are largely independent. BDMAX charges 1.60%/yr vs 0.09%/yr for VTMSX.

Performance

BDMAX vs. VTMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Global Equity Market Neutral Fund (BDMAX) 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, BDMAX achieves a 11.09% return, which is significantly lower than VTMSX's 21.86% return. Over the past 10 years, BDMAX has underperformed VTMSX with an annualized return of 8.20%, while VTMSX has yielded a comparatively higher 10.79% annualized return.

BDMAX

• 1D: 0.00%
• 1M: -1.00%
• 6M: 9.25%
• YTD: 11.09%
• 1Y: 22.64%
• 3Y*: 20.36%
• 5Y*: 12.65%
• 10Y*: 8.20%

VTMSX

• 1D: 0.02%
• 1M: 1.52%
• 6M: 15.74%
• YTD: 21.86%
• 1Y: 30.81%
• 3Y*: 14.98%
• 5Y*: 7.23%
• 10Y*: 10.79%

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

BDMAX vs. VTMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BDMAX BlackRock Global Equity Market Neutral Fund	11.09%	18.08%	21.12%	14.27%	1.57%	3.11%	-0.05%	-1.02%	1.86%	12.57%
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares	21.86%	5.93%	8.61%	15.95%	-16.16%	27.08%	11.05%	23.28%	-8.62%	13.05%

Correlation

The correlation between BDMAX and VTMSX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.13
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013	0.06

Over the past year, BDMAX and VTMSX have become more correlated (0.28) than their long-term average of 0.06, meaning their price movements have been converging.

Return for Risk

BDMAX vs. VTMSX — Risk / Return Rank

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

BDMAX

BDMAX Risk / Return Rank: 96
BDMAX Sharpe Ratio Rank: 98
BDMAX Sortino Ratio Rank: 96
BDMAX Omega Ratio Rank: 92
BDMAX Calmar Ratio Rank: 98
BDMAX Martin Ratio Rank: 96

VTMSX

VTMSX Risk / Return Rank: 68
VTMSX Sharpe Ratio Rank: 57
VTMSX Sortino Ratio Rank: 63
VTMSX Omega Ratio Rank: 50
VTMSX Calmar Ratio Rank: 88
VTMSX Martin Ratio Rank: 82

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.

BDMAX vs. VTMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Global Equity Market Neutral Fund (BDMAX) 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.

	BDMAX	VTMSX	Difference
Sharpe ratio: Return per unit of total volatility	3.14	1.68	+1.45
Sortino ratio: Return per unit of downside risk	4.54	2.50	+2.03
Omega ratio: Gain probability vs. loss probability	1.59	1.29	+0.29
Calmar ratio: Return relative to maximum drawdown	6.97	3.45	+3.52
Martin ratio: Return relative to average drawdown	18.93	11.53	+7.40

BDMAX vs. VTMSX - Sharpe Ratio Comparison

The current BDMAX Sharpe Ratio is 3.14, which is higher than the VTMSX Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of BDMAX 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.

Drawdowns

BDMAX vs. VTMSX - Drawdown Comparison

The maximum BDMAX drawdown since its inception was -12.37%, smaller than the maximum VTMSX drawdown of -57.84%. Use the drawdown chart below to compare losses from any high point for BDMAX and VTMSX.

Drawdown Indicators

	BDMAX	VTMSX	Difference
Max Drawdown Largest peak-to-trough decline	-12.37%	-57.84%	+45.47%
Max Drawdown (1Y) Largest decline over 1 year	-3.25%	-8.59%	+5.34%
Max Drawdown (3Y) Largest decline over 3 years	-4.15%	-27.93%	+23.78%
Max Drawdown (5Y) Largest decline over 5 years	-5.64%	-27.93%	+22.29%
Max Drawdown (10Y) Largest decline over 10 years	-9.71%	-43.88%	+34.17%
Current Drawdown Current decline from peak	-1.80%	-1.87%	+0.07%
Average Drawdown Average peak-to-trough decline	-2.81%	-8.90%	+6.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.19%	2.58%	-1.39%

Volatility

BDMAX vs. VTMSX - Volatility Comparison

The current volatility for BlackRock Global Equity Market Neutral Fund (BDMAX) is 2.55%, while Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) has a volatility of 4.67%. This indicates that BDMAX experiences smaller price fluctuations and is considered to be less risky than VTMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BDMAX	VTMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.55%	4.67%	-2.12%
Volatility (6M) Calculated over the trailing 6-month period	5.03%	12.09%	-7.06%
Volatility (1Y) Calculated over the trailing 1-year period	7.25%	17.60%	-10.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.61%	21.42%	-14.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.87%	23.06%	-17.19%

BDMAX vs. VTMSX - Expense Ratio Comparison

BDMAX has a 1.60% expense ratio, which is higher than VTMSX's 0.09% expense ratio.

Dividends

BDMAX vs. VTMSX - Dividend Comparison

BDMAX's dividend yield for the trailing twelve months is around 8.05%, more than VTMSX's 1.20% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BDMAX BlackRock Global Equity Market Neutral Fund	8.05%	8.94%	13.39%	7.14%	0.00%	1.25%	0.04%	6.60%	0.85%	0.00%	0.00%	1.56%
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares	1.20%	1.28%	1.44%	1.50%	1.51%	1.16%	1.09%	1.15%	1.26%	1.11%	1.01%	1.26%

Frequently Asked Questions

Can I hold both BDMAX and VTMSX in my portfolio?

BDMAX and VTMSX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BDMAX or VTMSX?

VTMSX has higher volatility (4.67%) compared to BDMAX (2.55%). In terms of maximum drawdown, BDMAX dropped -12.37% vs VTMSX's -57.84%.

Which has better risk-adjusted returns?

BDMAX currently has the higher Sharpe Ratio (3.14 vs 1.68), 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.