DSM vs. VSMAX

Last updated Jun 5, 2026

DSM (Dimensional Small Cap Equity Fund) and VSMAX (Vanguard Small-Cap Index Fund Admiral Shares) are both Small Cap Blend Equities funds. Over the past 10 years, DSM returned 1.27%/yr vs 11.29%/yr for VSMAX. At a 0.12 correlation, their price movements are largely independent. DSM charges 0.03%/yr vs 0.05%/yr for VSMAX.

Performance

DSM vs. VSMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Small Cap Equity Fund (DSM) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DSM achieves a 1.26% return, which is significantly lower than VSMAX's 14.16% return. Over the past 10 years, DSM has underperformed VSMAX with an annualized return of 1.27%, while VSMAX has yielded a comparatively higher 11.29% annualized return.

DSM

• 1D: 0.33%
• 1M: 0.75%
• YTD: 1.26%
• 6M: 4.70%
• 1Y: 15.73%
• 3Y*: 7.20%
• 5Y*: -1.40%
• 10Y*: 1.27%

VSMAX

• 1D: -0.68%
• 1M: 2.34%
• YTD: 14.16%
• 6M: 13.54%
• 1Y: 28.90%
• 3Y*: 17.04%
• 5Y*: 7.10%
• 10Y*: 11.29%

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

DSM vs. VSMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DSM Dimensional Small Cap Equity Fund	1.26%	10.90%	5.52%	3.18%	-27.04%	10.89%	3.32%	20.57%	-13.60%	12.79%
VSMAX Vanguard Small-Cap Index Fund Admiral Shares	14.16%	8.83%	14.23%	18.17%	-17.61%	17.74%	19.06%	27.36%	-9.33%	16.24%

Correlation

The correlation between DSM and VSMAX is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.26
Correlation (3Y) Calculated over the trailing 3-year period	0.27
Correlation (5Y) Calculated over the trailing 5-year period	0.25
Correlation (10Y) Calculated over the trailing 10-year period	0.17
Correlation (All Time) Calculated using the full available price history since Nov 14, 2000	0.12

The correlation between DSM and VSMAX shifts across timeframes, from 0.12 (all time) to 0.27 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

DSM vs. VSMAX — Risk / Return Rank

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

DSM

DSM Risk / Return Rank: 34
DSM Sharpe Ratio Rank: 29
DSM Sortino Ratio Rank: 37
DSM Omega Ratio Rank: 32
DSM Calmar Ratio Rank: 38
DSM Martin Ratio Rank: 36

VSMAX

VSMAX Risk / Return Rank: 47
VSMAX Sharpe Ratio Rank: 37
VSMAX Sortino Ratio Rank: 37
VSMAX Omega Ratio Rank: 34
VSMAX Calmar Ratio Rank: 70
VSMAX Martin Ratio Rank: 60

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.

DSM vs. VSMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Small Cap Equity Fund (DSM) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). 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.

	DSM	VSMAX	Difference
Sharpe ratio: Return per unit of total volatility	1.51	1.78	-0.27
Sortino ratio: Return per unit of downside risk	2.48	2.55	-0.07
Omega ratio: Gain probability vs. loss probability	1.28	1.31	-0.02
Calmar ratio: Return relative to maximum drawdown	2.27	3.22	-0.95
Martin ratio: Return relative to average drawdown	7.71	11.89	-4.18
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DSM vs. VSMAX - Sharpe Ratio Comparison

The current DSM Sharpe Ratio is 1.51, which is comparable to the VSMAX Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of DSM and VSMAX, 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

	DSM	VSMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.51	1.78	-0.27
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.11	0.34	-0.46
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.09	0.53	-0.43
Sharpe Ratio (All Time) Calculated using the full available price history	0.31	0.39	-0.08

Drawdowns

DSM vs. VSMAX - Drawdown Comparison

The maximum DSM drawdown since its inception was -49.15%, smaller than the maximum VSMAX drawdown of -59.68%. Use the drawdown chart below to compare losses from any high point for DSM and VSMAX.

Drawdown Indicators

	DSM	VSMAX	Difference
Max Drawdown Largest peak-to-trough decline	-49.15%	-59.68%	+10.53%
Max Drawdown (1Y) Largest decline over 1 year	-6.95%	-8.97%	+2.02%
Max Drawdown (3Y) Largest decline over 3 years	-17.04%	-25.25%	+8.21%
Max Drawdown (5Y) Largest decline over 5 years	-38.75%	-28.14%	-10.61%
Max Drawdown (10Y) Largest decline over 10 years	-38.75%	-41.82%	+3.07%
Current Drawdown Current decline from peak	-11.59%	-0.68%	-10.91%
Average Drawdown Average peak-to-trough decline	-8.27%	-9.69%	+1.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.05%	2.43%	-0.38%

Volatility

DSM vs. VSMAX - Volatility Comparison

The current volatility for Dimensional Small Cap Equity Fund (DSM) is 2.79%, while Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) has a volatility of 4.43%. This indicates that DSM experiences smaller price fluctuations and is considered to be less risky than VSMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DSM	VSMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.79%	4.43%	-1.64%
Volatility (6M) Calculated over the trailing 6-month period	8.27%	11.72%	-3.45%
Volatility (1Y) Calculated over the trailing 1-year period	10.45%	16.29%	-5.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.45%	20.71%	-8.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.49%	21.56%	-8.07%

DSM vs. VSMAX - Expense Ratio Comparison

DSM has a 0.03% expense ratio, which is lower than VSMAX's 0.05% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

DSM vs. VSMAX - Dividend Comparison

DSM's dividend yield for the trailing twelve months is around 4.71%, more than VSMAX's 1.19% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DSM Dimensional Small Cap Equity Fund	4.71%	4.07%	3.72%	4.27%	5.95%	4.31%	4.57%	5.19%	6.11%	5.82%	6.19%	6.17%
VSMAX Vanguard Small-Cap Index Fund Admiral Shares	1.19%	1.33%	1.30%	1.56%	1.54%	1.24%	1.14%	1.39%	1.67%	1.35%	1.49%	1.48%

Frequently Asked Questions

Can I hold both DSM and VSMAX in my portfolio?

DSM and VSMAX have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DSM or VSMAX?

VSMAX has higher volatility (4.43%) compared to DSM (2.79%). In terms of maximum drawdown, DSM dropped -49.15% vs VSMAX's -59.68%.

Which has better risk-adjusted returns?

VSMAX currently has the higher Sharpe Ratio (1.78 vs 1.51), 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.