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

Correlation

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.


-0.50.00.51.00.9

Performance

VSCIX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Small-Cap Index Fund Institutional Shares (VSCIX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

500.00%600.00%700.00%800.00%900.00%1,000.00%1,100.00%JulyAugustSeptemberOctoberNovemberDecember
1,027.87%
529.41%
VSCIX
^GSPC

Key characteristics

Sharpe Ratio

VSCIX:

1.01

^GSPC:

2.10

Sortino Ratio

VSCIX:

1.47

^GSPC:

2.80

Omega Ratio

VSCIX:

1.18

^GSPC:

1.39

Calmar Ratio

VSCIX:

1.50

^GSPC:

3.09

Martin Ratio

VSCIX:

5.30

^GSPC:

13.49

Ulcer Index

VSCIX:

3.25%

^GSPC:

1.94%

Daily Std Dev

VSCIX:

17.02%

^GSPC:

12.52%

Max Drawdown

VSCIX:

-59.66%

^GSPC:

-56.78%

Current Drawdown

VSCIX:

-7.12%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, VSCIX achieves a 14.92% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, VSCIX has underperformed ^GSPC with an annualized return of 9.14%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


VSCIX

YTD

14.92%

1M

-4.36%

6M

12.00%

1Y

14.77%

5Y*

9.43%

10Y*

9.14%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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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.


Sharpe ratio
The chart of Sharpe ratio for VSCIX, currently valued at 1.01, compared to the broader market-1.000.001.002.003.004.001.012.10
The chart of Sortino ratio for VSCIX, currently valued at 1.47, compared to the broader market-2.000.002.004.006.008.0010.001.472.80
The chart of Omega ratio for VSCIX, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.181.39
The chart of Calmar ratio for VSCIX, currently valued at 1.50, compared to the broader market0.002.004.006.008.0010.0012.0014.001.503.09
The chart of Martin ratio for VSCIX, currently valued at 5.30, compared to the broader market0.0020.0040.0060.005.3013.49
VSCIX
^GSPC

The current VSCIX Sharpe Ratio is 1.01, which is lower than the ^GSPC Sharpe Ratio of 2.10. 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.01
2.10
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%JulyAugustSeptemberOctoberNovemberDecember
-7.12%
-2.62%
VSCIX
^GSPC

Volatility

VSCIX vs. ^GSPC - Volatility Comparison

Vanguard Small-Cap Index Fund Institutional Shares (VSCIX) has a higher volatility of 5.64% compared to S&P 500 (^GSPC) at 3.79%. 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%JulyAugustSeptemberOctoberNovemberDecember
5.64%
3.79%
VSCIX
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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