^SML vs. SMLF

In the year-to-date period, ^SML achieves a -8.80% return, which is significantly lower than SMLF's -3.29% return. Over the past 10 years, ^SML has underperformed SMLF with an annualized return of 6.00%, while SMLF has yielded a comparatively higher 9.18% annualized return.

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This table presents a comparison of risk-adjusted performance metrics for S&P Small-Cap 600 Index (^SML) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF). 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.

The current ^SML Sharpe Ratio is -0.10, which is lower than the SMLF Sharpe Ratio of 0.28. The chart below compares the historical Sharpe Ratios of ^SML and SMLF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

The maximum ^SML drawdown since its inception was -59.17%, which is greater than SMLF's maximum drawdown of -41.89%. Use the drawdown chart below to compare losses from any high point for ^SML and SMLF.

S&P Small-Cap 600 Index (^SML) and iShares MSCI USA Small-Cap Multifactor ETF (SMLF) have volatilities of 6.56% and 6.26%, 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.