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

Key characteristics


TISEXAVUV
YTD Return24.39%16.20%
1Y Return48.36%39.85%
3Y Return (Ann)5.73%9.19%
5Y Return (Ann)12.90%15.99%
Sharpe Ratio2.251.78
Sortino Ratio3.172.62
Omega Ratio1.391.33
Calmar Ratio2.243.51
Martin Ratio14.389.27
Ulcer Index3.22%4.16%
Daily Std Dev20.61%21.70%
Max Drawdown-59.91%-49.42%
Current Drawdown0.00%-1.06%

Correlation

-0.50.00.51.00.9

The correlation between TISEX and AVUV is 0.91, 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

TISEX vs. AVUV - Performance Comparison

In the year-to-date period, TISEX achieves a 24.39% return, which is significantly higher than AVUV's 16.20% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


60.00%80.00%100.00%120.00%JuneJulyAugustSeptemberOctoberNovember
87.98%
122.83%
TISEX
AVUV

Compare stocks, funds, or ETFs

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


TISEX vs. AVUV - Expense Ratio Comparison

TISEX has a 0.41% expense ratio, which is higher than AVUV's 0.25% 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 AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

TISEX vs. AVUV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Quant Small-Cap Equity Fund (TISEX) and Avantis U.S. Small Cap Value ETF (AVUV). 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.


TISEX
Sharpe ratio
The chart of Sharpe ratio for TISEX, currently valued at 2.25, compared to the broader market0.002.004.002.25
Sortino ratio
The chart of Sortino ratio for TISEX, currently valued at 3.17, compared to the broader market0.005.0010.003.17
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 2.24, compared to the broader market0.005.0010.0015.0020.002.24
Martin ratio
The chart of Martin ratio for TISEX, currently valued at 14.38, compared to the broader market0.0020.0040.0060.0080.00100.0014.38
AVUV
Sharpe ratio
The chart of Sharpe ratio for AVUV, currently valued at 1.78, compared to the broader market0.002.004.001.78
Sortino ratio
The chart of Sortino ratio for AVUV, currently valued at 2.62, compared to the broader market0.005.0010.002.62
Omega ratio
The chart of Omega ratio for AVUV, currently valued at 1.33, compared to the broader market1.002.003.004.001.33
Calmar ratio
The chart of Calmar ratio for AVUV, currently valued at 3.51, compared to the broader market0.005.0010.0015.0020.003.51
Martin ratio
The chart of Martin ratio for AVUV, currently valued at 9.27, compared to the broader market0.0020.0040.0060.0080.00100.009.27

TISEX vs. AVUV - Sharpe Ratio Comparison

The current TISEX Sharpe Ratio is 2.25, which is comparable to the AVUV Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of TISEX and AVUV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.25
1.78
TISEX
AVUV

Dividends

TISEX vs. AVUV - Dividend Comparison

TISEX's dividend yield for the trailing twelve months is around 0.85%, less than AVUV's 1.51% yield.


TTM20232022202120202019201820172016201520142013
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%
AVUV
Avantis U.S. Small Cap Value ETF
1.51%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

TISEX vs. AVUV - Drawdown Comparison

The maximum TISEX drawdown since its inception was -59.91%, which is greater than AVUV's maximum drawdown of -49.42%. Use the drawdown chart below to compare losses from any high point for TISEX and AVUV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.06%
TISEX
AVUV

Volatility

TISEX vs. AVUV - Volatility Comparison

The current volatility for TIAA-CREF Quant Small-Cap Equity Fund (TISEX) is 6.99%, while Avantis U.S. Small Cap Value ETF (AVUV) has a volatility of 8.61%. This indicates that TISEX experiences smaller price fluctuations and is considered to be less risky than AVUV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.99%
8.61%
TISEX
AVUV