XJR vs. VSMAX

Last updated Jun 24, 2026

XJR (iShares ESG Screened S&P Small-Cap ETF) and VSMAX (Vanguard Small-Cap Index Fund Admiral Shares) are both Small Cap Blend Equities funds - XJR tracks the S&P SmallCap 600 Sustainability Screened Index while VSMAX tracks the CRSP US Small Cap Index. Both are passively managed. Over the past 5 years, XJR returned 6.15%/yr vs 7.37%/yr for VSMAX. Their correlation of 0.95 suggests significant overlap in exposure. XJR charges 0.12%/yr vs 0.05%/yr for VSMAX.

Performance

XJR vs. VSMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Screened S&P Small-Cap ETF (XJR) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, XJR achieves a 19.44% return, which is significantly higher than VSMAX's 15.72% return.

XJR

• 1D: -0.38%
• 1M: 4.96%
• YTD: 19.44%
• 6M: 17.14%
• 1Y: 32.21%
• 3Y*: 16.10%
• 5Y*: 6.15%
• 10Y*: —

VSMAX

• 1D: 0.25%
• 1M: 2.87%
• YTD: 15.72%
• 6M: 13.57%
• 1Y: 29.05%
• 3Y*: 17.53%
• 5Y*: 7.37%
• 10Y*: 11.78%

*Multi-year figures are annualized to reflect compound growth (CAGR)

XJR vs. VSMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
XJR iShares ESG Screened S&P Small-Cap ETF	19.44%	4.73%	9.59%	16.39%	-17.30%	24.96%	35.61%
VSMAX Vanguard Small-Cap Index Fund Admiral Shares	15.72%	8.83%	14.23%	18.17%	-17.61%	17.74%	31.53%

Correlation

The correlation between XJR and VSMAX is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Sep 24, 2020	0.95

The correlation between XJR and VSMAX has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

XJR vs. VSMAX - Sectors Allocation Comparison

Sectors	XJR	VSMAX
Financial Services	18.2%	11.9%
Technology	16.8%	18.8%
Industrials	15.5%	20.7%
Consumer Cyclical	13.5%	10.3%
Healthcare	10.7%	11.0%
Real Estate	7.6%	7.1%
Energy	4.7%	4.7%
Basic Materials	4.5%	4.7%
Consumer Defensive	2.7%	3.4%
Communication Services	2.5%	2.7%
Utilities	2.0%	3.1%

Return for Risk

XJR vs. VSMAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

XJR

XJR Risk / Return Rank: 61
XJR Sharpe Ratio Rank: 57
XJR Sortino Ratio Rank: 60
XJR Omega Ratio Rank: 53
XJR Calmar Ratio Rank: 72
XJR Martin Ratio Rank: 65

VSMAX

VSMAX Risk / Return Rank: 55
VSMAX Sharpe Ratio Rank: 45
VSMAX Sortino Ratio Rank: 45
VSMAX Omega Ratio Rank: 40
VSMAX Calmar Ratio Rank: 79
VSMAX Martin Ratio Rank: 69

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

XJR vs. VSMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). 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.

	XJR	VSMAX	Difference
Sharpe ratio: Return per unit of total volatility	1.80	1.82	-0.02
Sortino ratio: Return per unit of downside risk	2.63	2.59	+0.05
Omega ratio: Gain probability vs. loss probability	1.31	1.31	0.00
Calmar ratio: Return relative to maximum drawdown	3.43	3.38	+0.05
Martin ratio: Return relative to average drawdown	11.11	12.44	-1.32

XJR vs. VSMAX - Sharpe Ratio Comparison

The current XJR Sharpe Ratio is 1.80, which is comparable to the VSMAX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of XJR and VSMAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

XJR vs. VSMAX - Drawdown Comparison

The maximum XJR drawdown since its inception was -27.14%, smaller than the maximum VSMAX drawdown of -59.68%. Use the drawdown chart below to compare losses from any high point for XJR and VSMAX.

Drawdown Indicators

	XJR	VSMAX	Difference
Max Drawdown Largest peak-to-trough decline	-27.14%	-59.68%	+32.54%
Max Drawdown (1Y) Largest decline over 1 year	-9.43%	-8.97%	-0.46%
Max Drawdown (3Y) Largest decline over 3 years	-27.14%	-25.25%	-1.89%
Max Drawdown (5Y) Largest decline over 5 years	-27.14%	-28.14%	+1.00%
Max Drawdown (10Y) Largest decline over 10 years	—	-41.82%	—
Current Drawdown Current decline from peak	-0.38%	-0.33%	-0.05%
Average Drawdown Average peak-to-trough decline	-9.39%	-9.68%	+0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.91%	2.43%	+0.48%

Volatility

XJR vs. VSMAX - Volatility Comparison

iShares ESG Screened S&P Small-Cap ETF (XJR) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) have volatilities of 5.13% and 4.96%, 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.

Volatility by Period

	XJR	VSMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.13%	4.96%	+0.17%
Volatility (6M) Calculated over the trailing 6-month period	12.61%	12.22%	+0.39%
Volatility (1Y) Calculated over the trailing 1-year period	18.03%	16.68%	+1.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.44%	20.75%	+0.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.70%	21.59%	+0.11%

XJR vs. VSMAX - Expense Ratio Comparison

XJR has a 0.12% expense ratio, which is higher than VSMAX's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

XJR vs. VSMAX - Dividend Comparison

XJR's dividend yield for the trailing twelve months is around 0.96%, less than VSMAX's 1.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
VSMAX Vanguard Small-Cap Index Fund Admiral Shares	1.17%	1.33%	1.30%	1.56%	1.54%	1.24%	1.14%	1.39%	1.67%	1.35%	1.49%	1.48%
XJR iShares ESG Screened S&P Small-Cap ETF	0.96%	1.14%	1.96%	0.92%	1.29%	2.00%	0.58%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both XJR and VSMAX in my portfolio?

With a correlation of 0.93, XJR and VSMAX 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.

Which is riskier, XJR or VSMAX?

XJR has higher volatility (5.13%) compared to VSMAX (4.96%). In terms of maximum drawdown, XJR dropped -27.14% vs VSMAX's -59.68%.

Which has better risk-adjusted returns?

VSMAX currently has the higher Sharpe Ratio (1.82 vs 1.80), 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.