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VSPVX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VSPVXVTSAX
YTD Return17.52%26.15%
1Y Return30.09%38.29%
3Y Return (Ann)11.55%8.68%
5Y Return (Ann)12.37%15.32%
10Y Return (Ann)10.63%12.88%
Sharpe Ratio2.933.03
Sortino Ratio4.144.03
Omega Ratio1.541.56
Calmar Ratio5.484.46
Martin Ratio17.5919.58
Ulcer Index1.70%1.95%
Daily Std Dev10.17%12.63%
Max Drawdown-37.05%-55.34%
Current Drawdown-0.73%-0.39%

Correlation

-0.50.00.51.00.9

The correlation between VSPVX and VTSAX is 0.92, 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

VSPVX vs. VTSAX - Performance Comparison

In the year-to-date period, VSPVX achieves a 17.52% return, which is significantly lower than VTSAX's 26.15% return. Over the past 10 years, VSPVX has underperformed VTSAX with an annualized return of 10.63%, while VTSAX has yielded a comparatively higher 12.88% 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
9.27%
13.60%
VSPVX
VTSAX

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VSPVX vs. VTSAX - Expense Ratio Comparison

VSPVX has a 0.08% expense ratio, which is higher than VTSAX's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VSPVX
Vanguard S&P 500 Value Index Fund Institutional Shares
Expense ratio chart for VSPVX: 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%
Expense ratio chart for VTSAX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VSPVX vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 Value Index Fund Institutional Shares (VSPVX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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.


VSPVX
Sharpe ratio
The chart of Sharpe ratio for VSPVX, currently valued at 2.93, compared to the broader market0.002.004.002.93
Sortino ratio
The chart of Sortino ratio for VSPVX, currently valued at 4.14, compared to the broader market0.005.0010.004.14
Omega ratio
The chart of Omega ratio for VSPVX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for VSPVX, currently valued at 5.47, compared to the broader market0.005.0010.0015.0020.005.48
Martin ratio
The chart of Martin ratio for VSPVX, currently valued at 17.59, compared to the broader market0.0020.0040.0060.0080.00100.0017.59
VTSAX
Sharpe ratio
The chart of Sharpe ratio for VTSAX, currently valued at 3.03, compared to the broader market0.002.004.003.03
Sortino ratio
The chart of Sortino ratio for VTSAX, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for VTSAX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for VTSAX, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.004.46
Martin ratio
The chart of Martin ratio for VTSAX, currently valued at 19.58, compared to the broader market0.0020.0040.0060.0080.00100.0019.58

VSPVX vs. VTSAX - Sharpe Ratio Comparison

The current VSPVX Sharpe Ratio is 2.93, which is comparable to the VTSAX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of VSPVX and VTSAX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.93
3.03
VSPVX
VTSAX

Dividends

VSPVX vs. VTSAX - Dividend Comparison

VSPVX's dividend yield for the trailing twelve months is around 1.94%, more than VTSAX's 1.25% yield.


TTM20232022202120202019201820172016201520142013
VSPVX
Vanguard S&P 500 Value Index Fund Institutional Shares
1.94%1.71%2.21%1.88%2.46%2.11%2.73%2.18%2.30%2.47%0.00%0.00%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.25%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

VSPVX vs. VTSAX - Drawdown Comparison

The maximum VSPVX drawdown since its inception was -37.05%, smaller than the maximum VTSAX drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for VSPVX and VTSAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.73%
-0.39%
VSPVX
VTSAX

Volatility

VSPVX vs. VTSAX - Volatility Comparison

The current volatility for Vanguard S&P 500 Value Index Fund Institutional Shares (VSPVX) is 3.44%, while Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) has a volatility of 4.02%. This indicates that VSPVX experiences smaller price fluctuations and is considered to be less risky than VTSAX 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%JuneJulyAugustSeptemberOctoberNovember
3.44%
4.02%
VSPVX
VTSAX