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TISBX vs. TISEX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TISBXTISEX
YTD Return19.37%24.22%
1Y Return42.30%46.32%
3Y Return (Ann)1.28%5.81%
5Y Return (Ann)10.13%12.95%
10Y Return (Ann)8.99%10.41%
Sharpe Ratio1.932.26
Sortino Ratio2.683.18
Omega Ratio1.341.39
Calmar Ratio1.522.37
Martin Ratio11.4114.46
Ulcer Index3.71%3.22%
Daily Std Dev21.97%20.66%
Max Drawdown-58.62%-59.91%
Current Drawdown-1.74%-1.67%

Correlation

-0.50.00.51.01.0

The correlation between TISBX and TISEX is 0.99, 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.

Performance

TISBX vs. TISEX - Performance Comparison

In the year-to-date period, TISBX achieves a 19.37% return, which is significantly lower than TISEX's 24.22% return. Over the past 10 years, TISBX has underperformed TISEX with an annualized return of 8.99%, while TISEX has yielded a comparatively higher 10.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.46%
17.16%
TISBX
TISEX

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TISBX vs. TISEX - Expense Ratio Comparison

TISBX has a 0.05% expense ratio, which is lower than TISEX's 0.41% expense ratio.


TISEX
TIAA-CREF Quant Small-Cap Equity Fund
Expense ratio chart for TISEX: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for TISBX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

TISBX vs. TISEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Small-Cap Blend Index Fund (TISBX) and TIAA-CREF Quant Small-Cap Equity Fund (TISEX). 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.


TISBX
Sharpe ratio
The chart of Sharpe ratio for TISBX, currently valued at 1.93, compared to the broader market0.002.004.001.93
Sortino ratio
The chart of Sortino ratio for TISBX, currently valued at 2.68, compared to the broader market0.005.0010.002.68
Omega ratio
The chart of Omega ratio for TISBX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for TISBX, currently valued at 1.52, compared to the broader market0.005.0010.0015.0020.001.52
Martin ratio
The chart of Martin ratio for TISBX, currently valued at 11.41, compared to the broader market0.0020.0040.0060.0080.00100.0011.41
TISEX
Sharpe ratio
The chart of Sharpe ratio for TISEX, currently valued at 2.26, compared to the broader market0.002.004.002.26
Sortino ratio
The chart of Sortino ratio for TISEX, currently valued at 3.18, compared to the broader market0.005.0010.003.18
Omega ratio
The chart of Omega ratio for TISEX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for TISEX, currently valued at 2.37, compared to the broader market0.005.0010.0015.0020.002.37
Martin ratio
The chart of Martin ratio for TISEX, currently valued at 14.46, compared to the broader market0.0020.0040.0060.0080.00100.0014.46

TISBX vs. TISEX - Sharpe Ratio Comparison

The current TISBX Sharpe Ratio is 1.93, which is comparable to the TISEX Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of TISBX and TISEX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.93
2.26
TISBX
TISEX

Dividends

TISBX vs. TISEX - Dividend Comparison

TISBX's dividend yield for the trailing twelve months is around 1.48%, more than TISEX's 0.85% yield.


TTM20232022202120202019201820172016201520142013
TISBX
TIAA-CREF Small-Cap Blend Index Fund
1.48%1.76%1.61%1.25%1.06%1.38%1.60%1.48%1.59%1.79%1.65%1.40%
TISEX
TIAA-CREF Quant Small-Cap Equity Fund
0.85%1.05%1.02%0.63%0.63%1.08%0.96%0.85%0.93%0.82%0.83%0.87%

Drawdowns

TISBX vs. TISEX - Drawdown Comparison

The maximum TISBX drawdown since its inception was -58.62%, roughly equal to the maximum TISEX drawdown of -59.91%. Use the drawdown chart below to compare losses from any high point for TISBX and TISEX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
-1.67%
TISBX
TISEX

Volatility

TISBX vs. TISEX - Volatility Comparison

TIAA-CREF Small-Cap Blend Index Fund (TISBX) and TIAA-CREF Quant Small-Cap Equity Fund (TISEX) have volatilities of 7.39% and 7.18%, 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.


4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.39%
7.18%
TISBX
TISEX