NAESX vs. ^GSPC
Compare and contrast key facts about Vanguard Small Cap Index Fund (NAESX) and S&P 500 (^GSPC).
NAESX is managed by Vanguard. It was launched on Oct 3, 1960.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NAESX or ^GSPC.
Performance
NAESX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, NAESX achieves a 21.88% return, which is significantly lower than ^GSPC's 25.15% return. Over the past 10 years, NAESX has underperformed ^GSPC with an annualized return of 9.73%, while ^GSPC has yielded a comparatively higher 11.21% annualized return.
NAESX
21.88%
8.85%
16.50%
35.87%
11.49%
9.73%
^GSPC
25.15%
2.97%
12.53%
31.00%
13.95%
11.21%
Key characteristics
| NAESX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.08 | 2.53 |
| Sortino Ratio | 2.89 | 3.39 |
| Omega Ratio | 1.36 | 1.47 |
| Calmar Ratio | 2.07 | 3.65 |
| Martin Ratio | 11.47 | 16.21 |
| Ulcer Index | 3.13% | 1.91% |
| Daily Std Dev | 17.21% | 12.23% |
| Max Drawdown | -59.77% | -56.78% |
| Current Drawdown | 0.00% | -0.53% |
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Correlation
The correlation between NAESX and ^GSPC is 0.81, 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.
Risk-Adjusted Performance
NAESX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Small Cap Index Fund (NAESX) and S&P 500 (^GSPC). 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.
Drawdowns
NAESX vs. ^GSPC - Drawdown Comparison
The maximum NAESX drawdown since its inception was -59.77%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NAESX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
NAESX vs. ^GSPC - Volatility Comparison
Vanguard Small Cap Index Fund (NAESX) has a higher volatility of 5.75% compared to S&P 500 (^GSPC) at 3.97%. This indicates that NAESX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.