PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TISBX vs. VMCIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TISBXVMCIX
YTD Return19.73%20.22%
1Y Return44.34%37.52%
3Y Return (Ann)1.17%3.81%
5Y Return (Ann)10.05%11.78%
10Y Return (Ann)8.96%10.26%
Sharpe Ratio1.922.88
Sortino Ratio2.673.98
Omega Ratio1.341.51
Calmar Ratio1.471.89
Martin Ratio11.3617.87
Ulcer Index3.71%2.04%
Daily Std Dev21.93%12.65%
Max Drawdown-58.62%-58.86%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between TISBX and VMCIX is 0.93, 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. VMCIX - Performance Comparison

The year-to-date returns for both investments are quite close, with TISBX having a 19.73% return and VMCIX slightly higher at 20.22%. Over the past 10 years, TISBX has underperformed VMCIX with an annualized return of 8.96%, while VMCIX has yielded a comparatively higher 10.26% 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%JuneJulyAugustSeptemberOctoberNovember
17.30%
13.32%
TISBX
VMCIX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TISBX vs. VMCIX - Expense Ratio Comparison

TISBX has a 0.05% expense ratio, which is higher than VMCIX's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TISBX
TIAA-CREF Small-Cap Blend Index Fund
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%
Expense ratio chart for VMCIX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

TISBX vs. VMCIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Small-Cap Blend Index Fund (TISBX) and Vanguard Mid-Cap Index Fund Institutional Shares (VMCIX). 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 1.92, compared to the broader market0.002.004.001.92
Sortino ratio
The chart of Sortino ratio for TISBX, currently valued at 2.67, compared to the broader market0.005.0010.002.67
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 1.47, compared to the broader market0.005.0010.0015.0020.0025.001.47
Martin ratio
The chart of Martin ratio for TISBX, currently valued at 11.36, compared to the broader market0.0020.0040.0060.0080.00100.0011.36
VMCIX
Sharpe ratio
The chart of Sharpe ratio for VMCIX, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for VMCIX, currently valued at 3.98, compared to the broader market0.005.0010.003.98
Omega ratio
The chart of Omega ratio for VMCIX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for VMCIX, currently valued at 1.89, compared to the broader market0.005.0010.0015.0020.0025.001.89
Martin ratio
The chart of Martin ratio for VMCIX, currently valued at 17.87, compared to the broader market0.0020.0040.0060.0080.00100.0017.87

TISBX vs. VMCIX - Sharpe Ratio Comparison

The current TISBX Sharpe Ratio is 1.92, which is lower than the VMCIX Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of TISBX and VMCIX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.92
2.88
TISBX
VMCIX

Dividends

TISBX vs. VMCIX - Dividend Comparison

TISBX's dividend yield for the trailing twelve months is around 1.47%, which matches VMCIX's 1.46% yield.


TTM20232022202120202019201820172016201520142013
TISBX
TIAA-CREF Small-Cap Blend Index Fund
1.47%1.76%1.61%1.25%1.06%1.38%1.60%1.48%1.59%1.79%1.65%1.40%
VMCIX
Vanguard Mid-Cap Index Fund Institutional Shares
1.46%1.52%1.60%1.12%1.45%1.48%1.83%1.36%1.46%1.48%1.29%1.18%

Drawdowns

TISBX vs. VMCIX - Drawdown Comparison

The maximum TISBX drawdown since its inception was -58.62%, roughly equal to the maximum VMCIX drawdown of -58.86%. Use the drawdown chart below to compare losses from any high point for TISBX and VMCIX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
TISBX
VMCIX

Volatility

TISBX vs. VMCIX - Volatility Comparison

TIAA-CREF Small-Cap Blend Index Fund (TISBX) has a higher volatility of 7.21% compared to Vanguard Mid-Cap Index Fund Institutional Shares (VMCIX) at 3.86%. This indicates that TISBX's price experiences larger fluctuations and is considered to be riskier than VMCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.21%
3.86%
TISBX
VMCIX