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

Key characteristics


VTCLXVTSMX
YTD Return21.90%21.74%
1Y Return39.85%40.20%
3Y Return (Ann)8.76%8.03%
5Y Return (Ann)15.23%14.63%
10Y Return (Ann)13.09%12.49%
Sharpe Ratio3.313.31
Sortino Ratio4.384.38
Omega Ratio1.621.62
Calmar Ratio3.663.26
Martin Ratio21.2621.29
Ulcer Index1.92%1.93%
Daily Std Dev12.31%12.44%
Max Drawdown-55.18%-55.38%
Current Drawdown-0.84%-0.92%

Correlation

-0.50.00.51.01.0

The correlation between VTCLX and VTSMX is 1.00, 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

VTCLX vs. VTSMX - Performance Comparison

The year-to-date returns for both stocks are quite close, with VTCLX having a 21.90% return and VTSMX slightly lower at 21.74%. Both investments have delivered pretty close results over the past 10 years, with VTCLX having a 13.09% annualized return and VTSMX not far behind at 12.49%. 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%JuneJulyAugustSeptemberOctober
14.77%
14.97%
VTCLX
VTSMX

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VTCLX vs. VTSMX - Expense Ratio Comparison

VTCLX has a 0.09% expense ratio, which is lower than VTSMX's 0.14% 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%.


VTSMX
Vanguard Total Stock Market Index Fund Investor Shares
Expense ratio chart for VTSMX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
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%

Risk-Adjusted Performance

VTCLX vs. VTSMX - 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 Vanguard Total Stock Market Index Fund Investor Shares (VTSMX). 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.


VTCLX
Sharpe ratio
The chart of Sharpe ratio for VTCLX, currently valued at 3.31, compared to the broader market-2.000.002.004.003.31
Sortino ratio
The chart of Sortino ratio for VTCLX, currently valued at 4.38, compared to the broader market0.005.0010.004.38
Omega ratio
The chart of Omega ratio for VTCLX, currently valued at 1.62, compared to the broader market1.002.003.004.001.62
Calmar ratio
The chart of Calmar ratio for VTCLX, currently valued at 3.66, compared to the broader market0.005.0010.0015.0020.003.66
Martin ratio
The chart of Martin ratio for VTCLX, currently valued at 21.26, compared to the broader market0.0020.0040.0060.0080.0021.26
VTSMX
Sharpe ratio
The chart of Sharpe ratio for VTSMX, currently valued at 3.31, compared to the broader market-2.000.002.004.003.31
Sortino ratio
The chart of Sortino ratio for VTSMX, currently valued at 4.38, compared to the broader market0.005.0010.004.38
Omega ratio
The chart of Omega ratio for VTSMX, currently valued at 1.62, compared to the broader market1.002.003.004.001.62
Calmar ratio
The chart of Calmar ratio for VTSMX, currently valued at 3.26, compared to the broader market0.005.0010.0015.0020.003.26
Martin ratio
The chart of Martin ratio for VTSMX, currently valued at 21.29, compared to the broader market0.0020.0040.0060.0080.0021.29

VTCLX vs. VTSMX - Sharpe Ratio Comparison

The current VTCLX Sharpe Ratio is 3.31, which is comparable to the VTSMX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of VTCLX and VTSMX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctober
3.31
3.31
VTCLX
VTSMX

Dividends

VTCLX vs. VTSMX - Dividend Comparison

VTCLX's dividend yield for the trailing twelve months is around 1.09%, less than VTSMX's 1.21% yield.


TTM20232022202120202019201820172016201520142013
VTCLX
Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares
1.09%1.24%1.47%1.04%1.32%1.52%1.83%1.57%1.76%1.69%1.56%1.52%
VTSMX
Vanguard Total Stock Market Index Fund Investor Shares
1.21%1.34%1.54%1.11%1.33%1.67%1.92%1.61%1.83%1.86%1.65%1.64%

Drawdowns

VTCLX vs. VTSMX - Drawdown Comparison

The maximum VTCLX drawdown since its inception was -55.18%, roughly equal to the maximum VTSMX drawdown of -55.38%. Use the drawdown chart below to compare losses from any high point for VTCLX and VTSMX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-0.84%
-0.92%
VTCLX
VTSMX

Volatility

VTCLX vs. VTSMX - Volatility Comparison

Vanguard Tax-Managed Capital Appreciation Fund Admiral Shares (VTCLX) and Vanguard Total Stock Market Index Fund Investor Shares (VTSMX) have volatilities of 2.55% and 2.56%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
2.55%
2.56%
VTCLX
VTSMX