NAESX vs. ^GSPC

Last updated Jun 3, 2026

NAESX (Vanguard Small Cap Index Fund) is Small Cap Blend Equities fund managed by Vanguard, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, NAESX returned 11.15%/yr vs 13.75%/yr for ^GSPC. A 0.75 correlation means they provide meaningful diversification when combined.

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 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NAESX achieves a 13.97% return, which is significantly higher than ^GSPC's 11.16% return. Over the past 10 years, NAESX has underperformed ^GSPC with an annualized return of 11.15%, while ^GSPC has yielded a comparatively higher 13.75% annualized return.

NAESX

• 1D: -0.16%
• 1M: 2.88%
• YTD: 13.97%
• 6M: 15.10%
• 1Y: 30.19%
• 3Y*: 16.86%
• 5Y*: 6.88%
• 10Y*: 11.15%

^GSPC

• 1D: 0.13%
• 1M: 5.25%
• YTD: 11.16%
• 6M: 11.43%
• 1Y: 28.20%
• 3Y*: 21.12%
• 5Y*: 12.66%
• 10Y*: 13.75%

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

NAESX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NAESX Vanguard Small Cap Index Fund	13.97%	8.71%	12.83%	19.35%	-17.71%	17.60%	18.92%	27.22%	-9.44%	16.10%
^GSPC S&P 500 Index	11.16%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Correlation

The correlation between NAESX and ^GSPC is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.79
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Jan 3, 1980	0.75

The correlation between NAESX and ^GSPC has been stable across timeframes, ranging from 0.75 to 0.85 - a consistent structural relationship.

Return for Risk

NAESX vs. ^GSPC — Risk / Return Rank

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

NAESX

NAESX Risk / Return Rank: 50
NAESX Sharpe Ratio Rank: 40
NAESX Sortino Ratio Rank: 39
NAESX Omega Ratio Rank: 36
NAESX Calmar Ratio Rank: 71
NAESX Martin Ratio Rank: 61

^GSPC

^GSPC Risk / Return Rank: 79
^GSPC Sharpe Ratio Rank: 76
^GSPC Sortino Ratio Rank: 76
^GSPC Omega Ratio Rank: 77
^GSPC Calmar Ratio Rank: 79
^GSPC Martin Ratio Rank: 88

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.

NAESX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small Cap Index Fund (NAESX) and S&P 500 Index (^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.

	NAESX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.86	2.39	-0.53
Sortino ratio Return per unit of downside risk	2.64	3.25	-0.61
Omega ratio Gain probability vs. loss probability	1.32	1.43	-0.11
Calmar ratio Return relative to maximum drawdown	3.29	3.16	+0.14
Martin ratio Return relative to average drawdown	12.18	14.61	-2.43
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NAESX vs. ^GSPC - Sharpe Ratio Comparison

The current NAESX Sharpe Ratio is 1.86, which is comparable to the ^GSPC Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of NAESX and ^GSPC, 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

	NAESX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.86	2.39	-0.53
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.75	-0.42
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	0.76	-0.25
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	0.47	-0.04

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.

Drawdown Indicators

	NAESX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-59.77%	-56.78%	-2.99%
Max Drawdown (1Y) Largest decline over 1 year	-8.98%	-9.10%	+0.12%
Max Drawdown (3Y) Largest decline over 3 years	-25.28%	-18.90%	-6.38%
Max Drawdown (5Y) Largest decline over 5 years	-28.19%	-25.43%	-2.76%
Max Drawdown (10Y) Largest decline over 10 years	-41.82%	-33.92%	-7.90%
Current Drawdown Current decline from peak	-0.31%	0.00%	-0.31%
Average Drawdown Average peak-to-trough decline	-11.82%	-10.72%	-1.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.43%	1.97%	+0.46%

Volatility

NAESX vs. ^GSPC - Volatility Comparison

Vanguard Small Cap Index Fund (NAESX) has a higher volatility of 4.36% compared to S&P 500 Index (^GSPC) at 2.84%. 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.

Volatility by Period

	NAESX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.36%	2.84%	+1.52%
Volatility (6M) Calculated over the trailing 6-month period	11.71%	8.98%	+2.73%
Volatility (1Y) Calculated over the trailing 1-year period	16.29%	11.87%	+4.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.71%	16.90%	+3.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.60%	18.07%	+3.53%

Frequently Asked Questions

Can I hold both NAESX and ^GSPC in my portfolio?

NAESX and ^GSPC have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NAESX or ^GSPC?

NAESX has higher volatility (4.36%) compared to ^GSPC (2.84%). In terms of maximum drawdown, NAESX dropped -59.77% vs ^GSPC's -56.78%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (2.39 vs 1.85), 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.