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ETF World RAFI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


FNDF 45%FNDX 35%FNDE 10%FNDA 5%FNDC 5%EquityEquity
PositionCategory/SectorWeight
FNDA
Schwab Fundamental US Small Co. Index ETF
Small Cap Blend Equities

5%

FNDC
Schwab Fundamental International Small Co. Index ETF
Foreign Small & Mid Cap Equities

5%

FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
Emerging Markets Equities

10%

FNDF
Schwab Fundamental International Large Company Index ETF
Foreign Large Cap Equities

45%

FNDX
Schwab Fundamental U.S. Large Company Index ETF
Large Cap Blend Equities

35%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETF World RAFI, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


120.00%140.00%160.00%180.00%200.00%220.00%240.00%2024FebruaryMarchAprilMayJune
133.88%
227.92%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 15, 2013, corresponding to the inception date of FNDX

Returns By Period

As of Jun 25, 2024, the ETF World RAFI returned 6.60% Year-To-Date and 7.08% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.22%2.70%14.58%25.29%13.38%10.79%
ETF World RAFI6.60%-0.64%7.42%17.44%9.98%7.08%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
9.53%1.44%10.08%22.25%14.19%11.13%
FNDF
Schwab Fundamental International Large Company Index ETF
4.83%-2.00%5.62%14.62%8.22%4.63%
FNDA
Schwab Fundamental US Small Co. Index ETF
-0.51%-1.70%-0.69%15.06%9.91%7.91%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
10.24%-0.76%12.78%17.33%5.01%3.92%
FNDC
Schwab Fundamental International Small Co. Index ETF
1.00%-1.70%1.88%10.56%5.07%4.21%

Monthly Returns

The table below presents the monthly returns of ETF World RAFI, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.99%2.91%4.25%-2.94%4.20%6.60%
20237.98%-3.09%0.90%1.95%-3.36%6.08%4.19%-3.37%-2.87%-3.14%7.77%5.45%18.78%
2022-0.13%-2.20%0.93%-5.55%2.80%-9.21%4.62%-3.41%-9.72%7.86%9.86%-3.02%-8.89%
20211.37%4.99%4.88%2.66%3.82%-1.07%-0.75%1.60%-1.97%3.20%-4.29%5.47%21.19%
2020-4.08%-8.81%-17.37%8.55%4.45%2.42%2.60%5.18%-3.19%-1.88%16.18%5.41%5.37%
20198.07%2.02%0.14%3.04%-6.50%6.56%-0.94%-3.15%3.82%2.86%1.94%3.51%22.54%
20185.02%-5.03%-0.84%1.31%-0.72%-0.95%3.25%-0.83%1.07%-7.22%0.83%-7.15%-11.43%
20172.75%1.45%1.54%0.81%1.47%0.54%2.85%0.11%2.83%1.49%1.83%2.04%21.55%
2016-4.92%-0.83%8.61%2.71%-1.10%0.21%3.86%0.49%1.14%-0.75%1.86%2.57%14.11%
2015-1.64%5.97%-1.94%3.43%-0.47%-2.54%-0.51%-6.43%-4.17%7.48%-0.90%-2.98%-5.46%
2014-4.59%5.07%1.16%1.29%1.64%1.73%-1.95%1.71%-3.93%0.16%0.48%-2.17%0.20%
2013-2.79%6.17%4.29%1.37%2.04%11.33%

Expense Ratio

ETF World RAFI has a high expense ratio of 0.27%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for FNDE: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for FNDC: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for FNDX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for FNDF: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for FNDA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETF World RAFI is 31, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ETF World RAFI is 3131
ETF World RAFI
The Sharpe Ratio Rank of ETF World RAFI is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of ETF World RAFI is 2626Sortino Ratio Rank
The Omega Ratio Rank of ETF World RAFI is 2626Omega Ratio Rank
The Calmar Ratio Rank of ETF World RAFI is 4747Calmar Ratio Rank
The Martin Ratio Rank of ETF World RAFI is 3030Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


ETF World RAFI
Sharpe ratio
The chart of Sharpe ratio for ETF World RAFI, currently valued at 1.43, compared to the broader market0.002.004.001.43
Sortino ratio
The chart of Sortino ratio for ETF World RAFI, currently valued at 2.04, compared to the broader market-2.000.002.004.006.002.04
Omega ratio
The chart of Omega ratio for ETF World RAFI, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.801.25
Calmar ratio
The chart of Calmar ratio for ETF World RAFI, currently valued at 1.53, compared to the broader market0.002.004.006.008.0010.001.53
Martin ratio
The chart of Martin ratio for ETF World RAFI, currently valued at 4.67, compared to the broader market0.0010.0020.0030.0040.0050.004.67
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.0050.008.08

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FNDX
Schwab Fundamental U.S. Large Company Index ETF
2.042.881.352.116.95
FNDF
Schwab Fundamental International Large Company Index ETF
1.051.521.191.303.83
FNDA
Schwab Fundamental US Small Co. Index ETF
0.741.181.140.672.30
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
1.111.641.190.843.39
FNDC
Schwab Fundamental International Small Co. Index ETF
0.641.001.120.391.95

Sharpe Ratio

The current ETF World RAFI Sharpe ratio is 1.43. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.51 to 2.35, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of ETF World RAFI with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.43
2.16
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF World RAFI granted a 1.94% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ETF World RAFI1.94%2.86%2.85%2.79%2.18%2.77%2.92%2.06%2.11%1.97%1.66%0.48%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
1.30%1.82%2.07%1.64%2.29%2.23%2.40%1.86%2.01%2.01%1.62%0.46%
FNDF
Schwab Fundamental International Large Company Index ETF
2.18%3.41%3.10%3.54%2.17%3.20%3.47%2.32%2.42%2.08%1.84%0.48%
FNDA
Schwab Fundamental US Small Co. Index ETF
1.07%1.37%1.38%1.15%1.31%1.38%1.67%1.30%1.18%1.33%1.06%0.32%
FNDE
Schwab Fundamental Emerging Markets Large Company Index ETF
3.40%4.74%5.59%4.32%2.50%3.47%3.04%2.05%1.65%2.02%1.36%0.51%
FNDC
Schwab Fundamental International Small Co. Index ETF
2.16%2.86%1.98%2.58%1.77%2.71%2.68%1.94%1.95%1.30%1.61%0.64%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-1.83%
-0.71%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF World RAFI. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the ETF World RAFI was 37.91%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.

The current ETF World RAFI drawdown is 1.83%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.91%Jan 21, 202044Mar 23, 2020172Nov 24, 2020216
-23.34%Jan 13, 2022180Sep 30, 2022199Jul 19, 2023379
-21.7%May 18, 2015187Feb 11, 2016208Dec 7, 2016395
-20.79%Jan 29, 2018229Dec 24, 2018246Dec 16, 2019475
-11.32%Jul 7, 201473Oct 16, 2014132Apr 28, 2015205

Volatility

Volatility Chart

The current ETF World RAFI volatility is 3.21%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
3.21%
2.39%
ETF World RAFI
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

FNDEFNDAFNDXFNDCFNDF
FNDE1.000.620.670.760.78
FNDA0.621.000.900.740.76
FNDX0.670.901.000.780.81
FNDC0.760.740.781.000.93
FNDF0.780.760.810.931.00
The correlation results are calculated based on daily price changes starting from Aug 16, 2013