VTMSX vs. ^SP500TR
Compare and contrast key facts about Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 500 Total Return (^SP500TR).
VTMSX is managed by Blackrock. It was launched on Mar 25, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VTMSX or ^SP500TR.
Performance
VTMSX vs. ^SP500TR - Performance Comparison
Returns By Period
In the year-to-date period, VTMSX achieves a 12.63% return, which is significantly lower than ^SP500TR's 24.56% return. Over the past 10 years, VTMSX has underperformed ^SP500TR with an annualized return of 9.65%, while ^SP500TR has yielded a comparatively higher 13.16% annualized return.
VTMSX
12.63%
1.61%
10.20%
28.44%
10.01%
9.65%
^SP500TR
24.56%
0.19%
11.42%
31.86%
15.35%
13.16%
Key characteristics
| VTMSX | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | 1.32 | 2.63 |
| Sortino Ratio | 1.99 | 3.52 |
| Omega Ratio | 1.23 | 1.49 |
| Calmar Ratio | 1.45 | 3.81 |
| Martin Ratio | 7.56 | 17.22 |
| Ulcer Index | 3.50% | 1.87% |
| Daily Std Dev | 20.10% | 12.25% |
| Max Drawdown | -57.84% | -55.25% |
| Current Drawdown | -4.44% | -2.14% |
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Correlation
The correlation between VTMSX and ^SP500TR is 0.84, 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
VTMSX vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 500 Total Return (^SP500TR). 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.
Drawdowns
VTMSX vs. ^SP500TR - Drawdown Comparison
The maximum VTMSX drawdown since its inception was -57.84%, roughly equal to the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for VTMSX and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
VTMSX vs. ^SP500TR - Volatility Comparison
Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) has a higher volatility of 7.76% compared to S&P 500 Total Return (^SP500TR) at 4.05%. This indicates that VTMSX's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.