RETSX vs. VYM

Last updated Jun 4, 2026

RETSX (Russell Investment Tax-Managed U.S. Large Cap Fund) and VYM (Vanguard High Dividend Yield ETF) are both funds - RETSX is a Large Cap Blend Equities fund managed by BlackRock, while VYM is a Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 10 years, RETSX returned 13.31%/yr vs 11.90%/yr for VYM. Their correlation of 0.88 suggests significant overlap in exposure. RETSX charges 0.92%/yr vs 0.04%/yr for VYM.

Performance

RETSX vs. VYM - 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 High Dividend Yield ETF (VYM). 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 lower than VYM's 12.47% return. Over the past 10 years, RETSX has outperformed VYM with an annualized return of 13.31%, while VYM has yielded a comparatively lower 11.90% 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%

VYM

• 1D: -0.43%
• 1M: 3.38%
• YTD: 12.47%
• 6M: 12.01%
• 1Y: 26.16%
• 3Y*: 18.88%
• 5Y*: 11.48%
• 10Y*: 11.90%

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

RETSX vs. VYM - 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%
VYM Vanguard High Dividend Yield ETF	12.47%	15.42%	17.60%	6.57%	-0.43%	26.20%	1.15%	24.06%	-5.92%	16.42%

Correlation

The correlation between RETSX and VYM is 0.72, 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	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Nov 17, 2006	0.88

The correlation between RETSX and VYM shifts across timeframes, from 0.72 (1 year) to 0.88 (all time), reflecting how their relationship changes across market environments.

Return for Risk

RETSX vs. VYM — 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

VYM

VYM Risk / Return Rank: 77
VYM Sharpe Ratio Rank: 77
VYM Sortino Ratio Rank: 80
VYM Omega Ratio Rank: 76
VYM Calmar Ratio Rank: 76
VYM Martin Ratio Rank: 75

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. VYM - 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 High Dividend Yield ETF (VYM). 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	VYM	Difference
Sharpe ratio: Return per unit of total volatility	2.16	2.56	-0.40
Sortino ratio: Return per unit of downside risk	2.96	3.65	-0.69
Omega ratio: Gain probability vs. loss probability	1.39	1.46	-0.08
Calmar ratio: Return relative to maximum drawdown	2.72	3.93	-1.21
Martin ratio: Return relative to average drawdown	11.86	14.76	-2.90
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. VYM - Sharpe Ratio Comparison

The current RETSX Sharpe Ratio is 2.16, which is comparable to the VYM Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of RETSX and VYM, 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	VYM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.16	2.56	-0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.83	-0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.73	+0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.51	-0.05

Drawdowns

RETSX vs. VYM - Drawdown Comparison

The maximum RETSX drawdown since its inception was -57.35%, roughly equal to the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for RETSX and VYM.

Drawdown Indicators

	RETSX	VYM	Difference
Max Drawdown Largest peak-to-trough decline	-57.35%	-56.98%	-0.37%
Max Drawdown (1Y) Largest decline over 1 year	-9.29%	-6.69%	-2.60%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-14.46%	-4.33%
Max Drawdown (5Y) Largest decline over 5 years	-25.62%	-15.84%	-9.78%
Max Drawdown (10Y) Largest decline over 10 years	-33.52%	-35.21%	+1.69%
Current Drawdown Current decline from peak	-0.07%	-0.43%	+0.36%
Average Drawdown Average peak-to-trough decline	-10.54%	-7.19%	-3.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.12%	1.78%	+0.34%

Volatility

RETSX vs. VYM - Volatility Comparison

Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and Vanguard High Dividend Yield ETF (VYM) have volatilities of 2.82% and 2.77%, 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.

Volatility by Period

	RETSX	VYM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.82%	2.77%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	8.75%	7.67%	+1.08%
Volatility (1Y) Calculated over the trailing 1-year period	11.71%	10.28%	+1.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.70%	13.96%	+2.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.82%	16.34%	+1.48%

RETSX vs. VYM - Expense Ratio Comparison

RETSX has a 0.92% expense ratio, which is higher than VYM's 0.04% expense ratio.

Dividends

RETSX vs. VYM - Dividend Comparison

RETSX's dividend yield for the trailing twelve months is around 0.40%, less than VYM's 2.19% 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%
VYM Vanguard High Dividend Yield ETF	2.19%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%

Frequently Asked Questions

Can I hold both RETSX and VYM in my portfolio?

RETSX and VYM have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RETSX or VYM?

RETSX has higher volatility (2.82%) compared to VYM (2.77%). In terms of maximum drawdown, RETSX dropped -57.35% vs VYM's -56.98%.

Which has better risk-adjusted returns?

VYM currently has the higher Sharpe Ratio (2.56 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.