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 18.13% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, NAESX has underperformed ^GSPC with an annualized return of 9.48%, while ^GSPC has yielded a comparatively higher 11.13% annualized return.
NAESX
18.13%
4.30%
12.38%
32.50%
10.81%
9.48%
^GSPC
24.05%
1.08%
11.50%
30.38%
13.77%
11.13%
Key characteristics
| NAESX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.83 | 2.46 |
| Sortino Ratio | 2.58 | 3.31 |
| Omega Ratio | 1.32 | 1.46 |
| Calmar Ratio | 1.76 | 3.55 |
| Martin Ratio | 10.04 | 15.76 |
| Ulcer Index | 3.13% | 1.91% |
| Daily Std Dev | 17.12% | 12.23% |
| Max Drawdown | -59.77% | -56.78% |
| Current Drawdown | -2.52% | -1.40% |
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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 5.53% compared to S&P 500 (^GSPC) at 4.07%. 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.