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

Performance

TISCX vs. VTHR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Social Choice Equity Fund (TISCX) and Vanguard Russell 3000 ETF (VTHR). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.89%
14.23%
TISCX
VTHR

Returns By Period

In the year-to-date period, TISCX achieves a 24.19% return, which is significantly lower than VTHR's 25.45% return. Both investments have delivered pretty close results over the past 10 years, with TISCX having a 12.19% annualized return and VTHR not far ahead at 12.60%.


TISCX

YTD

24.19%

1M

3.70%

6M

13.89%

1Y

31.96%

5Y (annualized)

14.79%

10Y (annualized)

12.19%

VTHR

YTD

25.45%

1M

2.47%

6M

14.23%

1Y

32.88%

5Y (annualized)

15.09%

10Y (annualized)

12.60%

Key characteristics


TISCXVTHR
Sharpe Ratio2.172.65
Sortino Ratio2.863.53
Omega Ratio1.441.49
Calmar Ratio3.843.87
Martin Ratio14.7317.11
Ulcer Index2.21%1.95%
Daily Std Dev15.07%12.58%
Max Drawdown-54.64%-34.61%
Current Drawdown-0.34%-0.89%

Compare stocks, funds, or ETFs

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


TISCX vs. VTHR - Expense Ratio Comparison

TISCX has a 0.17% expense ratio, which is higher than VTHR's 0.10% 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%.


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 VTHR: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.9

The correlation between TISCX and VTHR 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.

Risk-Adjusted Performance

TISCX vs. VTHR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Social Choice Equity Fund (TISCX) and Vanguard Russell 3000 ETF (VTHR). 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-1.000.001.002.003.004.005.002.172.65
The chart of Sortino ratio for TISCX, currently valued at 2.86, compared to the broader market0.005.0010.002.863.53
The chart of Omega ratio for TISCX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.49
The chart of Calmar ratio for TISCX, currently valued at 3.84, compared to the broader market0.005.0010.0015.0020.003.843.87
The chart of Martin ratio for TISCX, currently valued at 14.73, compared to the broader market0.0020.0040.0060.0080.00100.0014.7317.11
TISCX
VTHR

The current TISCX Sharpe Ratio is 2.17, which is comparable to the VTHR Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of TISCX and VTHR, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.17
2.65
TISCX
VTHR

Dividends

TISCX vs. VTHR - Dividend Comparison

TISCX's dividend yield for the trailing twelve months is around 1.28%, more than VTHR's 1.19% yield.


TTM20232022202120202019201820172016201520142013
TISCX
TIAA-CREF Social Choice Equity Fund
1.28%1.58%1.62%1.16%1.23%1.57%1.86%1.61%2.38%1.93%1.42%1.40%
VTHR
Vanguard Russell 3000 ETF
1.19%1.47%1.52%1.16%1.37%1.65%1.89%1.63%1.82%1.84%1.66%1.57%

Drawdowns

TISCX vs. VTHR - Drawdown Comparison

The maximum TISCX drawdown since its inception was -54.64%, which is greater than VTHR's maximum drawdown of -34.61%. Use the drawdown chart below to compare losses from any high point for TISCX and VTHR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.34%
-0.89%
TISCX
VTHR

Volatility

TISCX vs. VTHR - Volatility Comparison

TIAA-CREF Social Choice Equity Fund (TISCX) and Vanguard Russell 3000 ETF (VTHR) have volatilities of 4.19% and 4.15%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
4.15%
TISCX
VTHR