TISEX vs. VBR
Compare and contrast key facts about TIAA-CREF Quant Small-Cap Equity Fund (TISEX) and Vanguard Small-Cap Value ETF (VBR).
TISEX is managed by TIAA Investments. It was launched on Oct 1, 2002. VBR is a passively managed fund by Vanguard that tracks the performance of the MSCI US Small Cap Value Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TISEX or VBR.
Key characteristics
| TISEX | VBR | |
|---|---|---|
| YTD Return | 26.32% | 20.64% |
| 1Y Return | 49.09% | 39.82% |
| 3Y Return (Ann) | 6.41% | 7.31% |
| 5Y Return (Ann) | 13.34% | 12.30% |
| 10Y Return (Ann) | 10.60% | 9.71% |
| Sharpe Ratio | 2.46 | 2.41 |
| Sortino Ratio | 3.42 | 3.39 |
| Omega Ratio | 1.42 | 1.43 |
| Calmar Ratio | 2.55 | 3.37 |
| Martin Ratio | 15.72 | 13.99 |
| Ulcer Index | 3.22% | 2.95% |
| Daily Std Dev | 20.62% | 17.15% |
| Max Drawdown | -59.91% | -62.01% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between TISEX and VBR is 0.96, 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. VBR - Performance Comparison
In the year-to-date period, TISEX achieves a 26.32% return, which is significantly higher than VBR's 20.64% return. Over the past 10 years, TISEX has outperformed VBR with an annualized return of 10.60%, while VBR has yielded a comparatively lower 9.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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TISEX vs. VBR - Expense Ratio Comparison
TISEX has a 0.41% expense ratio, which is higher than VBR's 0.07% expense ratio.
Risk-Adjusted Performance
TISEX vs. VBR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Quant Small-Cap Equity Fund (TISEX) and Vanguard Small-Cap Value ETF (VBR). 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.
Dividends
TISEX vs. VBR - Dividend Comparison
TISEX's dividend yield for the trailing twelve months is around 0.83%, less than VBR's 1.86% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TISEX TIAA-CREF Quant Small-Cap Equity Fund | 0.83% | 1.05% | 1.02% | 0.63% | 0.63% | 1.08% | 0.96% | 0.85% | 0.93% | 0.82% | 0.83% | 0.87% |
VBR Vanguard Small-Cap Value ETF | 1.86% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% | 1.77% | 1.87% |
Drawdowns
TISEX vs. VBR - Drawdown Comparison
The maximum TISEX drawdown since its inception was -59.91%, roughly equal to the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for TISEX and VBR. For additional features, visit the drawdowns tool.
Volatility
TISEX vs. VBR - Volatility Comparison
TIAA-CREF Quant Small-Cap Equity Fund (TISEX) has a higher volatility of 6.88% compared to Vanguard Small-Cap Value ETF (VBR) at 5.59%. This indicates that TISEX's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.