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VTCLX vs. QUAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VTCLX vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares (VTCLX) and iShares Edge MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.01%
9.96%
VTCLX
QUAL

Returns By Period

The year-to-date returns for both stocks are quite close, with VTCLX having a 24.66% return and QUAL slightly lower at 23.85%. Both investments have delivered pretty close results over the past 10 years, with VTCLX having a 13.08% annualized return and QUAL not far ahead at 13.09%.


VTCLX

YTD

24.66%

1M

1.66%

6M

12.13%

1Y

31.83%

5Y (annualized)

15.38%

10Y (annualized)

13.08%

QUAL

YTD

23.85%

1M

-0.59%

6M

9.70%

1Y

29.94%

5Y (annualized)

14.89%

10Y (annualized)

13.09%

Key characteristics


VTCLXQUAL
Sharpe Ratio2.542.36
Sortino Ratio3.393.26
Omega Ratio1.471.43
Calmar Ratio3.683.89
Martin Ratio16.1514.73
Ulcer Index1.95%2.02%
Daily Std Dev12.44%12.58%
Max Drawdown-55.18%-34.06%
Current Drawdown-1.41%-1.91%

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VTCLX vs. QUAL - Expense Ratio Comparison

VTCLX has a 0.09% expense ratio, which is lower than QUAL's 0.15% 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%.


QUAL
iShares Edge MSCI USA Quality Factor ETF
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VTCLX: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.01.0

The correlation between VTCLX and QUAL is 0.96, 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.

Risk-Adjusted Performance

VTCLX vs. QUAL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares (VTCLX) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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 VTCLX, currently valued at 2.54, compared to the broader market-1.000.001.002.003.004.005.002.542.36
The chart of Sortino ratio for VTCLX, currently valued at 3.39, compared to the broader market0.005.0010.003.393.26
The chart of Omega ratio for VTCLX, currently valued at 1.47, compared to the broader market1.002.003.004.001.471.43
The chart of Calmar ratio for VTCLX, currently valued at 3.68, compared to the broader market0.005.0010.0015.0020.0025.003.683.89
The chart of Martin ratio for VTCLX, currently valued at 16.15, compared to the broader market0.0020.0040.0060.0080.00100.0016.1514.73
VTCLX
QUAL

The current VTCLX Sharpe Ratio is 2.54, which is comparable to the QUAL Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of VTCLX and QUAL, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.54
2.36
VTCLX
QUAL

Dividends

VTCLX vs. QUAL - Dividend Comparison

VTCLX's dividend yield for the trailing twelve months is around 1.07%, more than QUAL's 1.00% yield.


TTM20232022202120202019201820172016201520142013
VTCLX
Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares
1.07%1.24%1.47%1.04%1.32%1.52%1.83%1.57%1.76%1.69%1.56%1.52%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.00%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%

Drawdowns

VTCLX vs. QUAL - Drawdown Comparison

The maximum VTCLX drawdown since its inception was -55.18%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for VTCLX and QUAL. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.41%
-1.91%
VTCLX
QUAL

Volatility

VTCLX vs. QUAL - Volatility Comparison

Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares (VTCLX) has a higher volatility of 4.21% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.79%. This indicates that VTCLX's price experiences larger fluctuations and is considered to be riskier than QUAL 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
4.21%
3.79%
VTCLX
QUAL