PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DODLX vs. SWAGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DODLX and SWAGX is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

DODLX vs. SWAGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dodge & Cox Global Bond Fund (DODLX) and Schwab U.S. Aggregate Bond Index Fund (SWAGX). The values are adjusted to include any dividend payments, if applicable.

5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
28.80%
8.80%
DODLX
SWAGX

Key characteristics

Sharpe Ratio

DODLX:

-0.04

SWAGX:

0.29

Sortino Ratio

DODLX:

-0.01

SWAGX:

0.44

Omega Ratio

DODLX:

1.00

SWAGX:

1.05

Calmar Ratio

DODLX:

-0.03

SWAGX:

0.12

Martin Ratio

DODLX:

-0.11

SWAGX:

0.80

Ulcer Index

DODLX:

2.00%

SWAGX:

1.98%

Daily Std Dev

DODLX:

6.00%

SWAGX:

5.55%

Max Drawdown

DODLX:

-17.05%

SWAGX:

-18.84%

Current Drawdown

DODLX:

-6.55%

SWAGX:

-9.41%

Returns By Period

In the year-to-date period, DODLX achieves a -0.87% return, which is significantly lower than SWAGX's 1.16% return.


DODLX

YTD

-0.87%

1M

-2.76%

6M

-0.82%

1Y

-0.32%

5Y*

2.24%

10Y*

3.03%

SWAGX

YTD

1.16%

1M

-0.23%

6M

1.27%

1Y

1.71%

5Y*

-0.38%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DODLX vs. SWAGX - Expense Ratio Comparison

DODLX has a 0.45% expense ratio, which is higher than SWAGX's 0.04% expense ratio.


DODLX
Dodge & Cox Global Bond Fund
Expense ratio chart for DODLX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for SWAGX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

DODLX vs. SWAGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dodge & Cox Global Bond Fund (DODLX) and Schwab U.S. Aggregate Bond Index Fund (SWAGX). 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.


Sharpe ratio
The chart of Sharpe ratio for DODLX, currently valued at -0.04, compared to the broader market-1.000.001.002.003.004.00-0.040.29
The chart of Sortino ratio for DODLX, currently valued at -0.01, compared to the broader market-2.000.002.004.006.008.0010.00-0.010.44
The chart of Omega ratio for DODLX, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.003.501.001.05
The chart of Calmar ratio for DODLX, currently valued at -0.03, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.030.12
The chart of Martin ratio for DODLX, currently valued at -0.11, compared to the broader market0.0020.0040.0060.00-0.110.80
DODLX
SWAGX

The current DODLX Sharpe Ratio is -0.04, which is lower than the SWAGX Sharpe Ratio of 0.29. The chart below compares the historical Sharpe Ratios of DODLX and SWAGX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
-0.04
0.29
DODLX
SWAGX

Dividends

DODLX vs. SWAGX - Dividend Comparison

DODLX's dividend yield for the trailing twelve months is around 2.78%, less than SWAGX's 3.87% yield.


TTM2023202220212020201920182017201620152014
DODLX
Dodge & Cox Global Bond Fund
2.78%3.31%5.05%2.49%2.21%3.40%4.21%2.34%1.69%0.00%1.40%
SWAGX
Schwab U.S. Aggregate Bond Index Fund
3.87%3.22%2.60%2.06%2.36%2.86%2.80%1.99%0.00%0.00%0.00%

Drawdowns

DODLX vs. SWAGX - Drawdown Comparison

The maximum DODLX drawdown since its inception was -17.05%, smaller than the maximum SWAGX drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for DODLX and SWAGX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.55%
-9.41%
DODLX
SWAGX

Volatility

DODLX vs. SWAGX - Volatility Comparison

Dodge & Cox Global Bond Fund (DODLX) has a higher volatility of 3.08% compared to Schwab U.S. Aggregate Bond Index Fund (SWAGX) at 1.66%. This indicates that DODLX's price experiences larger fluctuations and is considered to be riskier than SWAGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%JulyAugustSeptemberOctoberNovemberDecember
3.08%
1.66%
DODLX
SWAGX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab