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VSCIX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


VSCIX^GSPC
YTD Return19.88%25.70%
1Y Return41.71%37.91%
3Y Return (Ann)3.58%8.59%
5Y Return (Ann)11.26%14.18%
10Y Return (Ann)9.82%11.41%
Sharpe Ratio2.262.97
Sortino Ratio3.163.97
Omega Ratio1.391.56
Calmar Ratio1.833.93
Martin Ratio12.9419.39
Ulcer Index3.08%1.90%
Daily Std Dev17.62%12.38%
Max Drawdown-59.66%-56.78%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VSCIX and ^GSPC is 0.86, 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

VSCIX vs. ^GSPC - Performance Comparison

In the year-to-date period, VSCIX achieves a 19.88% return, which is significantly lower than ^GSPC's 25.70% return. Over the past 10 years, VSCIX has underperformed ^GSPC with an annualized return of 9.82%, while ^GSPC has yielded a comparatively higher 11.41% 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
14.49%
14.80%
VSCIX
^GSPC

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Risk-Adjusted Performance

VSCIX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap Index Fund Institutional Shares (VSCIX) and S&P 500 (^GSPC). 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.


VSCIX
Sharpe ratio
The chart of Sharpe ratio for VSCIX, currently valued at 2.26, compared to the broader market0.002.004.002.26
Sortino ratio
The chart of Sortino ratio for VSCIX, currently valued at 3.16, compared to the broader market0.005.0010.003.16
Omega ratio
The chart of Omega ratio for VSCIX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for VSCIX, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.0025.001.83
Martin ratio
The chart of Martin ratio for VSCIX, currently valued at 12.94, compared to the broader market0.0020.0040.0060.0080.00100.0012.94
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market0.002.004.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market0.005.0010.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.005.0010.0015.0020.0025.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.0019.39

VSCIX vs. ^GSPC - Sharpe Ratio Comparison

The current VSCIX Sharpe Ratio is 2.26, which is comparable to the ^GSPC Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of VSCIX and ^GSPC, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.26
2.97
VSCIX
^GSPC

Drawdowns

VSCIX vs. ^GSPC - Drawdown Comparison

The maximum VSCIX drawdown since its inception was -59.66%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VSCIX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VSCIX
^GSPC

Volatility

VSCIX vs. ^GSPC - Volatility Comparison

Vanguard Small-Cap Index Fund Institutional Shares (VSCIX) has a higher volatility of 5.35% compared to S&P 500 (^GSPC) at 3.92%. This indicates that VSCIX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. 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
5.35%
3.92%
VSCIX
^GSPC