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TISCX vs. NAESX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TISCX vs. NAESX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Social Choice Equity Fund (TISCX) and Vanguard Small Cap Index Fund (NAESX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.96%
16.50%
TISCX
NAESX

Returns By Period

In the year-to-date period, TISCX achieves a 24.89% return, which is significantly higher than NAESX's 21.88% return. Over the past 10 years, TISCX has outperformed NAESX with an annualized return of 12.26%, while NAESX has yielded a comparatively lower 9.73% annualized return.


TISCX

YTD

24.89%

1M

5.00%

6M

13.96%

1Y

32.70%

5Y (annualized)

14.91%

10Y (annualized)

12.26%

NAESX

YTD

21.88%

1M

8.85%

6M

16.50%

1Y

35.87%

5Y (annualized)

11.49%

10Y (annualized)

9.73%

Key characteristics


TISCXNAESX
Sharpe Ratio2.172.08
Sortino Ratio2.872.89
Omega Ratio1.451.36
Calmar Ratio3.852.07
Martin Ratio14.7711.47
Ulcer Index2.21%3.13%
Daily Std Dev15.07%17.21%
Max Drawdown-54.64%-59.77%
Current Drawdown0.00%0.00%

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TISCX vs. NAESX - Expense Ratio Comparison

Both TISCX and NAESX have an expense ratio of 0.17%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


TISCX
TIAA-CREF Social Choice Equity Fund
Expense ratio chart for TISCX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
Expense ratio chart for NAESX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%

Correlation

-0.50.00.51.00.9

The correlation between TISCX and NAESX is 0.92, 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.

Risk-Adjusted Performance

TISCX vs. NAESX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Social Choice Equity Fund (TISCX) and Vanguard Small Cap Index Fund (NAESX). 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.


Sharpe ratio
The chart of Sharpe ratio for TISCX, currently valued at 2.17, compared to the broader market-1.000.001.002.003.004.005.002.172.08
The chart of Sortino ratio for TISCX, currently valued at 2.87, compared to the broader market0.005.0010.002.872.89
The chart of Omega ratio for TISCX, currently valued at 1.45, compared to the broader market1.002.003.004.001.451.36
The chart of Calmar ratio for TISCX, currently valued at 3.85, compared to the broader market0.005.0010.0015.0020.003.852.07
The chart of Martin ratio for TISCX, currently valued at 14.77, compared to the broader market0.0020.0040.0060.0080.00100.0014.7711.47
TISCX
NAESX

The current TISCX Sharpe Ratio is 2.17, which is comparable to the NAESX Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of TISCX and NAESX, 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
2.17
2.08
TISCX
NAESX

Dividends

TISCX vs. NAESX - Dividend Comparison

TISCX's dividend yield for the trailing twelve months is around 1.27%, more than NAESX's 1.18% yield.


TTM20232022202120202019201820172016201520142013
TISCX
TIAA-CREF Social Choice Equity Fund
1.27%1.58%1.62%1.16%1.23%1.57%1.86%1.61%2.38%1.93%1.42%1.40%
NAESX
Vanguard Small Cap Index Fund
1.18%1.44%1.41%1.12%1.05%1.28%1.53%1.24%1.39%1.35%1.27%1.17%

Drawdowns

TISCX vs. NAESX - Drawdown Comparison

The maximum TISCX drawdown since its inception was -54.64%, smaller than the maximum NAESX drawdown of -59.77%. Use the drawdown chart below to compare losses from any high point for TISCX and NAESX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
TISCX
NAESX

Volatility

TISCX vs. NAESX - Volatility Comparison

The current volatility for TIAA-CREF Social Choice Equity Fund (TISCX) is 4.21%, while Vanguard Small Cap Index Fund (NAESX) has a volatility of 5.75%. This indicates that TISCX experiences smaller price fluctuations and is considered to be less risky than NAESX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.21%
5.75%
TISCX
NAESX