VTMSX vs. ^SP600
Compare and contrast key facts about Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 600 (^SP600).
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 ^SP600.
Performance
VTMSX vs. ^SP600 - Performance Comparison
Returns By Period
In the year-to-date period, VTMSX achieves a 12.63% return, which is significantly higher than ^SP600's 10.98% return. Over the past 10 years, VTMSX has outperformed ^SP600 with an annualized return of 9.65%, while ^SP600 has yielded a comparatively lower 8.03% annualized return.
VTMSX
12.63%
1.61%
10.20%
28.44%
10.01%
9.65%
^SP600
10.98%
1.94%
9.28%
24.92%
8.37%
8.03%
Key characteristics
| VTMSX | ^SP600 | |
|---|---|---|
| Sharpe Ratio | 1.32 | 1.21 |
| Sortino Ratio | 1.99 | 1.85 |
| Omega Ratio | 1.23 | 1.22 |
| Calmar Ratio | 1.45 | 1.16 |
| Martin Ratio | 7.56 | 6.72 |
| Ulcer Index | 3.50% | 3.61% |
| Daily Std Dev | 20.10% | 20.08% |
| Max Drawdown | -57.84% | -59.17% |
| Current Drawdown | -4.44% | -4.47% |
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Correlation
The correlation between VTMSX and ^SP600 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.
Risk-Adjusted Performance
VTMSX vs. ^SP600 - 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 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.
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. For additional features, visit the drawdowns tool.
Volatility
VTMSX vs. ^SP600 - Volatility Comparison
Vanguard Tax-Managed Small-Cap Fund Admiral Shares (VTMSX) and S&P 600 (^SP600) have volatilities of 7.76% and 7.75%, 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.