PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NAESX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.8

Performance

NAESX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Small Cap Index Fund (NAESX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.92%
9.23%
NAESX
^GSPC

Key characteristics

Sharpe Ratio

NAESX:

0.88

^GSPC:

2.07

Sortino Ratio

NAESX:

1.30

^GSPC:

2.76

Omega Ratio

NAESX:

1.16

^GSPC:

1.39

Calmar Ratio

NAESX:

1.27

^GSPC:

3.05

Martin Ratio

NAESX:

4.53

^GSPC:

13.27

Ulcer Index

NAESX:

3.30%

^GSPC:

1.95%

Daily Std Dev

NAESX:

17.01%

^GSPC:

12.52%

Max Drawdown

NAESX:

-59.77%

^GSPC:

-56.78%

Current Drawdown

NAESX:

-7.40%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, NAESX achieves a 14.45% return, which is significantly lower than ^GSPC's 25.25% return. Over the past 10 years, NAESX has underperformed ^GSPC with an annualized return of 8.92%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.


NAESX

YTD

14.45%

1M

-6.10%

6M

11.03%

1Y

14.29%

5Y*

9.21%

10Y*

8.92%

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for NAESX, currently valued at 0.88, compared to the broader market-1.000.001.002.003.004.000.882.07
The chart of Sortino ratio for NAESX, currently valued at 1.30, compared to the broader market-2.000.002.004.006.008.0010.001.302.76
The chart of Omega ratio for NAESX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.003.501.161.39
The chart of Calmar ratio for NAESX, currently valued at 1.27, compared to the broader market0.002.004.006.008.0010.0012.0014.001.273.05
The chart of Martin ratio for NAESX, currently valued at 4.53, compared to the broader market0.0020.0040.0060.004.5313.27
NAESX
^GSPC

The current NAESX Sharpe Ratio is 0.88, which is lower than the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of NAESX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.88
2.07
NAESX
^GSPC

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.40%
-1.91%
NAESX
^GSPC

Volatility

NAESX vs. ^GSPC - Volatility Comparison

Vanguard Small Cap Index Fund (NAESX) has a higher volatility of 5.35% compared to S&P 500 (^GSPC) at 3.82%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
3.82%
NAESX
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab