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VSMAX vs. IWM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VSMAX and IWM is 0.98, 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.


-0.50.00.51.01.0

Performance

VSMAX vs. IWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) and iShares Russell 2000 ETF (IWM). The values are adjusted to include any dividend payments, if applicable.

500.00%600.00%700.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
770.96%
542.62%
VSMAX
IWM

Key characteristics

Sharpe Ratio

VSMAX:

1.01

IWM:

0.69

Sortino Ratio

VSMAX:

1.47

IWM:

1.10

Omega Ratio

VSMAX:

1.18

IWM:

1.13

Calmar Ratio

VSMAX:

1.50

IWM:

0.74

Martin Ratio

VSMAX:

5.30

IWM:

3.63

Ulcer Index

VSMAX:

3.25%

IWM:

3.97%

Daily Std Dev

VSMAX:

17.02%

IWM:

20.85%

Max Drawdown

VSMAX:

-59.68%

IWM:

-59.05%

Current Drawdown

VSMAX:

-7.11%

IWM:

-8.18%

Returns By Period

In the year-to-date period, VSMAX achieves a 14.92% return, which is significantly higher than IWM's 11.87% return. Over the past 10 years, VSMAX has outperformed IWM with an annualized return of 9.14%, while IWM has yielded a comparatively lower 7.83% annualized return.


VSMAX

YTD

14.92%

1M

-4.35%

6M

12.01%

1Y

14.77%

5Y*

9.44%

10Y*

9.14%

IWM

YTD

11.87%

1M

-3.62%

6M

11.47%

1Y

12.48%

5Y*

7.37%

10Y*

7.83%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VSMAX vs. IWM - Expense Ratio Comparison

VSMAX has a 0.05% expense ratio, which is lower than IWM's 0.19% 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%.


IWM
iShares Russell 2000 ETF
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VSMAX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

VSMAX vs. IWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) and iShares Russell 2000 ETF (IWM). 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 VSMAX, currently valued at 1.01, compared to the broader market-1.000.001.002.003.004.001.010.69
The chart of Sortino ratio for VSMAX, currently valued at 1.47, compared to the broader market-2.000.002.004.006.008.0010.001.471.10
The chart of Omega ratio for VSMAX, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.003.501.181.13
The chart of Calmar ratio for VSMAX, currently valued at 1.50, compared to the broader market0.002.004.006.008.0010.0012.0014.001.500.74
The chart of Martin ratio for VSMAX, currently valued at 5.30, compared to the broader market0.0020.0040.0060.005.303.63
VSMAX
IWM

The current VSMAX Sharpe Ratio is 1.01, which is higher than the IWM Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of VSMAX and IWM, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.01
0.69
VSMAX
IWM

Dividends

VSMAX vs. IWM - Dividend Comparison

VSMAX's dividend yield for the trailing twelve months is around 0.92%, less than IWM's 1.14% yield.


TTM20232022202120202019201820172016201520142013
VSMAX
Vanguard Small-Cap Index Fund Admiral Shares
0.92%1.55%1.54%1.24%1.14%1.39%1.67%1.35%1.49%1.48%1.43%1.31%
IWM
iShares Russell 2000 ETF
1.14%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%

Drawdowns

VSMAX vs. IWM - Drawdown Comparison

The maximum VSMAX drawdown since its inception was -59.68%, roughly equal to the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for VSMAX and IWM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.11%
-8.18%
VSMAX
IWM

Volatility

VSMAX vs. IWM - Volatility Comparison

The current volatility for Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) is 5.64%, while iShares Russell 2000 ETF (IWM) has a volatility of 6.16%. This indicates that VSMAX experiences smaller price fluctuations and is considered to be less risky than IWM based on this measure. 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%JulyAugustSeptemberOctoberNovemberDecember
5.64%
6.16%
VSMAX
IWM
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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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