SCRZX vs. VTMSX
SCRZX (AB Small Cap Core Portfolio) and VTMSX (Vanguard Tax-Managed Small-Cap Fund Admiral Shares) are both Small Cap Blend Equities funds. Over the past 10 years, SCRZX returned 9.77%/yr vs 10.90%/yr for VTMSX. Their 0.97 correlation means they have historically moved very closely together. SCRZX charges 0.87%/yr vs 0.05%/yr for VTMSX.
Performance
SCRZX vs. VTMSX - Performance Comparison
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Returns By Period
In the year-to-date period, SCRZX achieves a 19.79% return, which is significantly lower than VTMSX's 21.81% return. Over the past 10 years, SCRZX has underperformed VTMSX with an annualized return of 9.77%, while VTMSX has yielded a comparatively higher 10.90% annualized return.
SCRZX
- 1D
- -0.50%
- 1M
- -1.55%
- 6M
- 12.83%
- YTD
- 19.79%
- 1Y
- 33.08%
- 3Y*
- 13.63%
- 5Y*
- 7.82%
- 10Y*
- 9.77%
- ALL TIME*
- 9.86%
VTMSX
- 1D
- -0.10%
- 1M
- -0.66%
- 6M
- 14.07%
- YTD
- 21.81%
- 1Y
- 35.99%
- 3Y*
- 13.45%
- 5Y*
- 7.50%
- 10Y*
- 10.90%
- ALL TIME*
- 10.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
SCRZX vs. VTMSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SCRZX AB Small Cap Core Portfolio | 19.79% | 7.75% | 7.72% | 20.91% | -18.89% | 23.27% | 12.41% | 24.28% | -13.25% | 7.40% |
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares | 21.81% | 5.93% | 8.61% | 15.95% | -16.16% | 27.08% | 11.05% | 23.28% | -8.62% | 13.05% |
Correlation
The correlation between SCRZX and VTMSX is 0.92, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.96 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.97 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.97 |
The correlation between SCRZX and VTMSX has been stable across timeframes, ranging from 0.92 to 0.97 - a consistent structural relationship.
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Return for Risk
SCRZX vs. VTMSX — Risk / Return Rank
SCRZX
VTMSX
SCRZX vs. VTMSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AB Small Cap Core Portfolio (SCRZX) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SCRZX | VTMSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.31 | ||
| Sortino ratioReturn per unit of downside risk | -0.46 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.34 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.22 | 3.95 | -0.73 |
| Martin ratioReturn relative to average drawdown | 11.28 | 13.44 | -2.16 |
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Drawdowns
SCRZX vs. VTMSX - Drawdown Comparison
The maximum SCRZX drawdown since its inception was -44.82%, smaller than the maximum VTMSX drawdown of -57.84%. Use the drawdown chart below to compare losses from any high point for SCRZX and VTMSX.
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Drawdown Indicators
| SCRZX | VTMSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.82% | -57.84% | +13.02% |
Max Drawdown (1Y)Largest decline over 1 year | -9.37% | -8.59% | -0.78% |
Max Drawdown (3Y)Largest decline over 3 years | -28.46% | -27.93% | -0.53% |
Max Drawdown (5Y)Largest decline over 5 years | -29.24% | -27.93% | -1.31% |
Max Drawdown (10Y)Largest decline over 10 years | -44.82% | -43.88% | -0.94% |
Current DrawdownCurrent decline from peak | -2.31% | -1.91% | -0.40% |
Average DrawdownAverage peak-to-trough decline | -8.53% | -8.88% | +0.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 2.52% | +0.16% |
Volatility
SCRZX vs. VTMSX - Volatility Comparison
AB Small Cap Core Portfolio (SCRZX) and Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) have volatilities of 3.56% and 3.44%, 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.
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Volatility by Period
| SCRZX | VTMSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.56% | 3.44% | +0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 13.16% | 11.66% | +1.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.41% | 17.38% | +1.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.93% | 21.31% | +0.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.20% | 23.07% | +0.13% |
SCRZX vs. VTMSX - Expense Ratio Comparison
SCRZX has a 0.87% expense ratio, which is higher than VTMSX's 0.05% expense ratio.
Dividends
SCRZX vs. VTMSX - Dividend Comparison
SCRZX's dividend yield for the trailing twelve months is around 8.96%, more than VTMSX's 1.20% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SCRZX AB Small Cap Core Portfolio | 8.96% | 10.74% | 15.00% | 8.51% | 8.47% | 5.95% | 0.51% | 0.47% | 8.63% | 6.37% | 0.28% | 0.00% |
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares | 1.20% | 1.28% | 1.44% | 1.50% | 1.51% | 1.16% | 1.09% | 1.15% | 1.26% | 1.11% | 1.01% | 1.26% |
Frequently Asked Questions
With a correlation of 0.92, SCRZX and VTMSX 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.
SCRZX has higher volatility (3.56%) compared to VTMSX (3.44%). In terms of maximum drawdown, SCRZX dropped -44.82% vs VTMSX's -57.84%.
VTMSX currently has the higher Sharpe Ratio (1.96 vs 1.64), 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.
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