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VRTIX vs. MASKX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VRTIXMASKX
YTD Return19.40%18.98%
1Y Return42.32%39.91%
3Y Return (Ann)1.23%-1.50%
5Y Return (Ann)10.09%7.66%
10Y Return (Ann)8.96%5.71%
Sharpe Ratio1.961.86
Sortino Ratio2.812.68
Omega Ratio1.341.32
Calmar Ratio1.511.23
Martin Ratio11.3210.53
Ulcer Index3.74%3.79%
Daily Std Dev21.62%21.46%
Max Drawdown-41.69%-67.66%
Current Drawdown-1.77%-5.60%

Correlation

-0.50.00.51.01.0

The correlation between VRTIX and MASKX is 1.00, 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

VRTIX vs. MASKX - Performance Comparison

The year-to-date returns for both stocks are quite close, with VRTIX having a 19.40% return and MASKX slightly lower at 18.98%. Over the past 10 years, VRTIX has outperformed MASKX with an annualized return of 8.96%, while MASKX has yielded a comparatively lower 5.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.48%
15.15%
VRTIX
MASKX

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VRTIX vs. MASKX - Expense Ratio Comparison

VRTIX has a 0.08% expense ratio, which is lower than MASKX's 0.12% 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%.


MASKX
iShares Russell 2000 Small-Cap Index Fund
Expense ratio chart for MASKX: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VRTIX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

VRTIX vs. MASKX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 2000 Index Fund Institutional Shares (VRTIX) and iShares Russell 2000 Small-Cap Index Fund (MASKX). 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.


VRTIX
Sharpe ratio
The chart of Sharpe ratio for VRTIX, currently valued at 1.96, compared to the broader market0.002.004.001.96
Sortino ratio
The chart of Sortino ratio for VRTIX, currently valued at 2.81, compared to the broader market0.005.0010.002.81
Omega ratio
The chart of Omega ratio for VRTIX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for VRTIX, currently valued at 1.51, compared to the broader market0.005.0010.0015.0020.0025.001.51
Martin ratio
The chart of Martin ratio for VRTIX, currently valued at 11.32, compared to the broader market0.0020.0040.0060.0080.00100.0011.32
MASKX
Sharpe ratio
The chart of Sharpe ratio for MASKX, currently valued at 1.86, compared to the broader market0.002.004.001.86
Sortino ratio
The chart of Sortino ratio for MASKX, currently valued at 2.68, compared to the broader market0.005.0010.002.68
Omega ratio
The chart of Omega ratio for MASKX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for MASKX, currently valued at 1.23, compared to the broader market0.005.0010.0015.0020.0025.001.23
Martin ratio
The chart of Martin ratio for MASKX, currently valued at 10.53, compared to the broader market0.0020.0040.0060.0080.00100.0010.53

VRTIX vs. MASKX - Sharpe Ratio Comparison

The current VRTIX Sharpe Ratio is 1.96, which is comparable to the MASKX Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of VRTIX and MASKX, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.96
1.86
VRTIX
MASKX

Dividends

VRTIX vs. MASKX - Dividend Comparison

VRTIX's dividend yield for the trailing twelve months is around 1.21%, less than MASKX's 1.41% yield.


TTM20232022202120202019201820172016201520142013
VRTIX
Vanguard Russell 2000 Index Fund Institutional Shares
1.21%1.46%1.50%1.15%0.93%1.36%1.49%1.24%1.33%1.31%1.17%1.08%
MASKX
iShares Russell 2000 Small-Cap Index Fund
1.41%1.54%1.41%1.14%1.04%1.38%1.17%1.04%1.22%0.93%1.57%1.10%

Drawdowns

VRTIX vs. MASKX - Drawdown Comparison

The maximum VRTIX drawdown since its inception was -41.69%, smaller than the maximum MASKX drawdown of -67.66%. Use the drawdown chart below to compare losses from any high point for VRTIX and MASKX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.77%
-5.60%
VRTIX
MASKX

Volatility

VRTIX vs. MASKX - Volatility Comparison

Vanguard Russell 2000 Index Fund Institutional Shares (VRTIX) and iShares Russell 2000 Small-Cap Index Fund (MASKX) have volatilities of 7.41% and 7.42%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.41%
7.42%
VRTIX
MASKX