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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.


-0.50.00.51.0
Correlation: 0.8

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.

1,200.00%1,400.00%1,600.00%1,800.00%2,000.00%2,200.00%2,400.00%2,600.00%NovemberDecember2025FebruaryMarchApril
1,413.97%
2,239.62%
NAESX
^GSPC

Key characteristics

Sharpe Ratio

NAESX:

0.10

^GSPC:

0.49

Sortino Ratio

NAESX:

0.30

^GSPC:

0.81

Omega Ratio

NAESX:

1.04

^GSPC:

1.12

Calmar Ratio

NAESX:

0.09

^GSPC:

0.50

Martin Ratio

NAESX:

0.30

^GSPC:

2.07

Ulcer Index

NAESX:

7.34%

^GSPC:

4.57%

Daily Std Dev

NAESX:

22.38%

^GSPC:

19.43%

Max Drawdown

NAESX:

-59.77%

^GSPC:

-56.78%

Current Drawdown

NAESX:

-17.01%

^GSPC:

-10.73%

Returns By Period

In the year-to-date period, NAESX achieves a -10.11% return, which is significantly lower than ^GSPC's -6.75% return. Over the past 10 years, NAESX has underperformed ^GSPC with an annualized return of 7.29%, while ^GSPC has yielded a comparatively higher 10.05% annualized return.


NAESX

YTD

-10.11%

1M

-6.12%

6M

-8.69%

1Y

0.77%

5Y*

13.08%

10Y*

7.29%

^GSPC

YTD

-6.75%

1M

-5.05%

6M

-5.60%

1Y

8.15%

5Y*

14.14%

10Y*

10.05%

*Annualized

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Risk-Adjusted Performance

NAESX vs. ^GSPC — Risk-Adjusted Performance Rank

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

NAESX
The Risk-Adjusted Performance Rank of NAESX is 3232
Overall Rank
The Sharpe Ratio Rank of NAESX is 3131
Sharpe Ratio Rank
The Sortino Ratio Rank of NAESX is 3333
Sortino Ratio Rank
The Omega Ratio Rank of NAESX is 3232
Omega Ratio Rank
The Calmar Ratio Rank of NAESX is 3232
Calmar Ratio Rank
The Martin Ratio Rank of NAESX is 3030
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 7474
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 7171
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 7272
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7777
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7777
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for NAESX, currently valued at 0.10, compared to the broader market-1.000.001.002.003.00
NAESX: 0.10
^GSPC: 0.49
The chart of Sortino ratio for NAESX, currently valued at 0.30, compared to the broader market-2.000.002.004.006.008.00
NAESX: 0.30
^GSPC: 0.81
The chart of Omega ratio for NAESX, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.00
NAESX: 1.04
^GSPC: 1.12
The chart of Calmar ratio for NAESX, currently valued at 0.09, compared to the broader market0.002.004.006.008.0010.00
NAESX: 0.09
^GSPC: 0.50
The chart of Martin ratio for NAESX, currently valued at 0.30, compared to the broader market0.0010.0020.0030.0040.0050.00
NAESX: 0.30
^GSPC: 2.07

The current NAESX Sharpe Ratio is 0.10, which is lower than the ^GSPC Sharpe Ratio of 0.49. 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.10
0.49
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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-17.01%
-10.73%
NAESX
^GSPC

Volatility

NAESX vs. ^GSPC - Volatility Comparison

Vanguard Small Cap Index Fund (NAESX) and S&P 500 (^GSPC) have volatilities of 14.83% and 14.23%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
14.83%
14.23%
NAESX
^GSPC