RETSX vs. VTMFX

Last updated Jun 4, 2026

RETSX (Russell Investment Tax-Managed U.S. Large Cap Fund) and VTMFX (Vanguard Tax-Managed Balanced Fund Admiral Shares) are both mutual funds - RETSX is a Large Cap Blend Equities fund managed by BlackRock, while VTMFX is a Diversified Portfolio fund managed by BlackRock. Over the past 10 years, RETSX returned 13.31%/yr vs 8.70%/yr for VTMFX. With a 0.97 correlation, they move nearly in lockstep. RETSX charges 0.92%/yr vs 0.09%/yr for VTMFX.

Performance

RETSX vs. VTMFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, RETSX achieves a 9.76% return, which is significantly higher than VTMFX's 6.03% return. Over the past 10 years, RETSX has outperformed VTMFX with an annualized return of 13.31%, while VTMFX has yielded a comparatively lower 8.70% annualized return.

RETSX

• 1D: -0.07%
• 1M: 5.72%
• YTD: 9.76%
• 6M: 9.96%
• 1Y: 24.28%
• 3Y*: 19.33%
• 5Y*: 11.38%
• 10Y*: 13.31%

VTMFX

• 1D: 0.17%
• 1M: 3.06%
• YTD: 6.03%
• 6M: 6.16%
• 1Y: 16.91%
• 3Y*: 12.75%
• 5Y*: 7.33%
• 10Y*: 8.70%

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

RETSX vs. VTMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RETSX Russell Investment Tax-Managed U.S. Large Cap Fund	9.76%	14.45%	20.43%	24.74%	-18.96%	24.82%	17.70%	28.94%	-6.97%	21.51%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	6.03%	11.28%	12.17%	15.55%	-12.69%	13.10%	13.31%	18.01%	-1.40%	12.61%

Correlation

The correlation between RETSX and VTMFX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.96
Correlation (All Time) Calculated using the full available price history since Jan 3, 1997	0.97

The correlation between RETSX and VTMFX has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.

Return for Risk

RETSX vs. VTMFX — Risk / Return Rank

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

RETSX

RETSX Risk / Return Rank: 53
RETSX Sharpe Ratio Rank: 54
RETSX Sortino Ratio Rank: 49
RETSX Omega Ratio Rank: 49
RETSX Calmar Ratio Rank: 51
RETSX Martin Ratio Rank: 59

VTMFX

VTMFX Risk / Return Rank: 81
VTMFX Sharpe Ratio Rank: 87
VTMFX Sortino Ratio Rank: 86
VTMFX Omega Ratio Rank: 83
VTMFX Calmar Ratio Rank: 69
VTMFX Martin Ratio Rank: 82

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.

RETSX vs. VTMFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). 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.

	RETSX	VTMFX	Difference
Sharpe ratio: Return per unit of total volatility	2.16	2.83	-0.67
Sortino ratio: Return per unit of downside risk	2.96	4.05	-1.08
Omega ratio: Gain probability vs. loss probability	1.39	1.55	-0.16
Calmar ratio: Return relative to maximum drawdown	2.72	3.22	-0.50
Martin ratio: Return relative to average drawdown	11.86	15.40	-3.54
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RETSX vs. VTMFX - Sharpe Ratio Comparison

The current RETSX Sharpe Ratio is 2.16, which is comparable to the VTMFX Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of RETSX and VTMFX, 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

	RETSX	VTMFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.16	2.83	-0.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.86	-0.18
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.96	-0.21
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.85	-0.39

Drawdowns

RETSX vs. VTMFX - Drawdown Comparison

The maximum RETSX drawdown since its inception was -57.35%, which is greater than VTMFX's maximum drawdown of -28.49%. Use the drawdown chart below to compare losses from any high point for RETSX and VTMFX.

Drawdown Indicators

	RETSX	VTMFX	Difference
Max Drawdown Largest peak-to-trough decline	-57.35%	-28.49%	-28.86%
Max Drawdown (1Y) Largest decline over 1 year	-9.29%	-5.38%	-3.91%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-10.61%	-8.18%
Max Drawdown (5Y) Largest decline over 5 years	-25.62%	-17.40%	-8.22%
Max Drawdown (10Y) Largest decline over 10 years	-33.52%	-21.87%	-11.65%
Current Drawdown Current decline from peak	-0.07%	0.00%	-0.07%
Average Drawdown Average peak-to-trough decline	-10.54%	-3.55%	-6.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.12%	1.12%	+1.00%

Volatility

RETSX vs. VTMFX - Volatility Comparison

Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) has a higher volatility of 2.82% compared to Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX) at 1.70%. This indicates that RETSX's price experiences larger fluctuations and is considered to be riskier than VTMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RETSX	VTMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.82%	1.70%	+1.12%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	4.75%	+4.00%
Volatility (1Y) Calculated over the trailing 1-year period	11.71%	6.13%	+5.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.70%	8.52%	+8.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.82%	9.12%	+8.70%

RETSX vs. VTMFX - Expense Ratio Comparison

RETSX has a 0.92% expense ratio, which is higher than VTMFX's 0.09% expense ratio.

Dividends

RETSX vs. VTMFX - Dividend Comparison

RETSX's dividend yield for the trailing twelve months is around 0.40%, less than VTMFX's 2.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
RETSX Russell Investment Tax-Managed U.S. Large Cap Fund	0.40%	0.44%	0.49%	0.54%	0.59%	0.14%	0.47%	0.78%	0.90%	1.02%	0.84%	0.76%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	2.10%	2.14%	2.08%	1.94%	1.85%	1.38%	1.72%	2.05%	2.22%	2.00%	2.13%	2.06%

Frequently Asked Questions

Can I hold both RETSX and VTMFX in my portfolio?

With a correlation of 0.98, RETSX and VTMFX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, RETSX or VTMFX?

RETSX has higher volatility (2.82%) compared to VTMFX (1.70%). In terms of maximum drawdown, RETSX dropped -57.35% vs VTMFX's -28.49%.

Which has better risk-adjusted returns?

VTMFX currently has the higher Sharpe Ratio (2.83 vs 2.16), 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.