VTMSX vs. ^SP600
VTMSX (Vanguard Tax-Managed Small-Cap Fund Admiral Shares) is Small Cap Blend Equities fund managed by BlackRock, while ^SP600 (S&P 600) is an index. Over the past 10 years, VTMSX returned 11.38%/yr vs 9.65%/yr for ^SP600. With a 1.00 correlation, they move nearly in lockstep.
Performance
VTMSX vs. ^SP600 - Performance Comparison
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Returns By Period
In the year-to-date period, VTMSX achieves a 20.11% return, which is significantly higher than ^SP600's 18.45% return. Over the past 10 years, VTMSX has outperformed ^SP600 with an annualized return of 11.38%, while ^SP600 has yielded a comparatively lower 9.65% annualized return.
VTMSX
- 1D
- 0.05%
- 1M
- 4.66%
- YTD
- 20.11%
- 6M
- 17.64%
- 1Y
- 35.38%
- 3Y*
- 16.42%
- 5Y*
- 6.79%
- 10Y*
- 11.38%
^SP600
- 1D
- -0.36%
- 1M
- 4.06%
- YTD
- 18.45%
- 6M
- 15.98%
- 1Y
- 32.47%
- 3Y*
- 14.23%
- 5Y*
- 4.62%
- 10Y*
- 9.65%
VTMSX vs. ^SP600 - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VTMSX Vanguard Tax-Managed Small-Cap Fund Admiral Shares | 20.11% | 5.93% | 8.61% | 15.95% | -16.16% | 27.08% | 11.05% | 23.28% | -8.62% | 13.05% |
^SP600 S&P 600 | 18.45% | 4.23% | 6.82% | 13.89% | -17.42% | 25.27% | 9.57% | 20.86% | -9.75% | 11.73% |
Correlation
The correlation between VTMSX and ^SP600 is 1.00 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Mar 25, 1999 | 1.00 |
The correlation between VTMSX and ^SP600 has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
VTMSX vs. ^SP600 — Risk / Return Rank
VTMSX
^SP600
VTMSX vs. ^SP600 - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 600 (^SP600). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| VTMSX | ^SP600 | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.26 | ||
| Sortino ratioReturn per unit of downside risk | +0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.32 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 4.33 | 3.65 | +0.68 |
| Martin ratioReturn relative to average drawdown | 14.50 | 12.28 | +2.22 |
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Drawdowns
VTMSX vs. ^SP600 - Drawdown Comparison
The maximum VTMSX drawdown since its inception was -57.84%, roughly equal to the maximum ^SP600 drawdown of -59.17%. Use the drawdown chart below to compare losses from any high point for VTMSX and ^SP600.
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Drawdown Indicators
| VTMSX | ^SP600 | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.84% | -59.17% | +1.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.59% | -8.94% | +0.35% |
Max Drawdown (3Y)Largest decline over 3 years | -27.93% | -28.39% | +0.46% |
Max Drawdown (5Y)Largest decline over 5 years | -27.93% | -28.39% | +0.46% |
Max Drawdown (10Y)Largest decline over 10 years | -43.88% | -45.77% | +1.89% |
Current DrawdownCurrent decline from peak | 0.00% | -0.38% | +0.38% |
Average DrawdownAverage peak-to-trough decline | -8.91% | -9.26% | +0.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 2.65% | -0.09% |
Volatility
VTMSX vs. ^SP600 - Volatility Comparison
Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 600 (^SP600) have volatilities of 4.88% and 4.92%, 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.
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Volatility by Period
| VTMSX | ^SP600 | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.88% | 4.92% | -0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 12.09% | 12.12% | -0.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.78% | 17.78% | 0.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.46% | 21.46% | 0.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.15% | 23.19% | -0.04% |
Frequently Asked Questions
With a correlation of 1.00, VTMSX and ^SP600 move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^SP600 has higher volatility (4.92%) compared to VTMSX (4.88%). In terms of maximum drawdown, VTMSX dropped -57.84% vs ^SP600's -59.17%.
VTMSX currently has the higher Sharpe Ratio (2.10 vs 1.84), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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