VBR vs. VTWAX

Last updated Jun 9, 2026

VBR (Vanguard Small-Cap Value ETF) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both funds - VBR is a Small Cap Value Equities fund tracking the CRSP US Small Cap Value Index, while VTWAX is a Global Equities fund tracking the FTSE Global All Cap Index. Both are passively managed. Over the past 5 years, VBR returned 7.78%/yr vs 10.37%/yr for VTWAX. Their correlation of 0.83 suggests significant overlap in exposure. VBR charges 0.05%/yr vs 0.09%/yr for VTWAX.

Performance

VBR vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Small-Cap Value ETF (VBR) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VBR achieves a 11.45% return, which is significantly higher than VTWAX's 9.24% return.

VBR

• 1D: 0.16%
• 1M: 0.48%
• YTD: 11.45%
• 6M: 12.14%
• 1Y: 24.85%
• 3Y*: 15.60%
• 5Y*: 7.78%
• 10Y*: 10.50%

VTWAX

• 1D: -3.03%
• 1M: -0.80%
• YTD: 9.24%
• 6M: 10.08%
• 1Y: 24.85%
• 3Y*: 19.75%
• 5Y*: 10.37%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

VBR vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
VBR Vanguard Small-Cap Value ETF	11.45%	9.09%	12.40%	16.00%	-9.38%	28.08%	5.90%	9.42%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	9.24%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	17.53%

Correlation

The correlation between VBR and VTWAX is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (All Time) Calculated using the full available price history since Feb 8, 2019	0.83

The correlation between VBR and VTWAX has been stable across timeframes, ranging from 0.74 to 0.83 - a consistent structural relationship.

VBR vs. VTWAX - Sectors Allocation Comparison

Sectors	VBR	VTWAX
Industrials	18.1%	12.0%
Financial Services	17.6%	15.9%
Consumer Cyclical	12.4%	9.5%
Technology	10.6%	27.8%
Real Estate	10.1%	2.4%
Healthcare	7.9%	8.1%
Basic Materials	6.3%	4.2%
Energy	5.2%	4.3%
Utilities	4.8%	2.7%
Consumer Defensive	4.0%	4.8%
Communication Services	2.5%	8.3%

Return for Risk

VBR vs. VTWAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VBR

VBR Risk / Return Rank: 57
VBR Sharpe Ratio Rank: 53
VBR Sortino Ratio Rank: 56
VBR Omega Ratio Rank: 51
VBR Calmar Ratio Rank: 62
VBR Martin Ratio Rank: 61

VTWAX

VTWAX Risk / Return Rank: 52
VTWAX Sharpe Ratio Rank: 51
VTWAX Sortino Ratio Rank: 46
VTWAX Omega Ratio Rank: 49
VTWAX Calmar Ratio Rank: 53
VTWAX Martin Ratio Rank: 63

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VBR vs. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap Value ETF (VBR) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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.

	VBR	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	1.65	2.03	-0.38
Sortino ratio: Return per unit of downside risk	2.43	2.75	-0.32
Omega ratio: Gain probability vs. loss probability	1.29	1.37	-0.08
Calmar ratio: Return relative to maximum drawdown	2.82	2.69	+0.13
Martin ratio: Return relative to average drawdown	9.94	11.96	-2.02
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VBR vs. VTWAX - Sharpe Ratio Comparison

The current VBR Sharpe Ratio is 1.65, which is comparable to the VTWAX Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of VBR and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	VBR	VTWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.65	2.03	-0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.40	0.66	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.49	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.74	-0.32

Drawdowns

VBR vs. VTWAX - Drawdown Comparison

The maximum VBR drawdown since its inception was -61.98%, which is greater than VTWAX's maximum drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for VBR and VTWAX.

Drawdown Indicators

	VBR	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-61.98%	-34.20%	-27.78%
Max Drawdown (1Y) Largest decline over 1 year	-8.85%	-9.64%	+0.79%
Max Drawdown (3Y) Largest decline over 3 years	-24.19%	-16.43%	-7.76%
Max Drawdown (5Y) Largest decline over 5 years	-24.19%	-26.40%	+2.21%
Max Drawdown (10Y) Largest decline over 10 years	-45.28%	—	—
Current Drawdown Current decline from peak	-0.95%	-3.46%	+2.51%
Average Drawdown Average peak-to-trough decline	-8.26%	-5.30%	-2.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.51%	2.16%	+0.35%

Volatility

VBR vs. VTWAX - Volatility Comparison

The current volatility for Vanguard Small-Cap Value ETF (VBR) is 3.67%, while Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) has a volatility of 4.45%. This indicates that VBR experiences smaller price fluctuations and is considered to be less risky than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VBR	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.67%	4.45%	-0.78%
Volatility (6M) Calculated over the trailing 6-month period	10.49%	10.34%	+0.15%
Volatility (1Y) Calculated over the trailing 1-year period	15.16%	12.78%	+2.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.77%	15.77%	+4.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.74%	18.22%	+3.52%

VBR vs. VTWAX - Expense Ratio Comparison

VBR has a 0.05% expense ratio, which is lower than VTWAX's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

VBR vs. VTWAX - Dividend Comparison

VBR's dividend yield for the trailing twelve months is around 1.76%, more than VTWAX's 1.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
VBR Vanguard Small-Cap Value ETF	1.76%	1.95%	1.98%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.61%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VBR and VTWAX in my portfolio?

VBR and VTWAX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VBR or VTWAX?

VTWAX has higher volatility (4.45%) compared to VBR (3.67%). In terms of maximum drawdown, VBR dropped -61.98% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

VTWAX currently has the higher Sharpe Ratio (2.03 vs 1.65), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.