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FNDB vs. FNDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FNDB vs. FNDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental U.S. Broad Market Index ETF (FNDB) and Schwab Fundamental U.S. Large Company Index ETF (FNDX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.95%
13.74%
FNDB
FNDX

Returns By Period

The year-to-date returns for both investments are quite close, with FNDB having a 21.66% return and FNDX slightly higher at 22.09%. Both investments have delivered pretty close results over the past 10 years, with FNDB having a 14.41% annualized return and FNDX not far behind at 14.01%.


FNDB

YTD

21.66%

1M

2.63%

6M

13.95%

1Y

31.39%

5Y (annualized)

17.98%

10Y (annualized)

14.41%

FNDX

YTD

22.09%

1M

2.37%

6M

13.74%

1Y

31.33%

5Y (annualized)

17.81%

10Y (annualized)

14.01%

Key characteristics


FNDBFNDX
Sharpe Ratio2.832.91
Sortino Ratio3.883.97
Omega Ratio1.521.53
Calmar Ratio4.964.94
Martin Ratio18.1718.79
Ulcer Index1.77%1.70%
Daily Std Dev11.35%10.99%
Max Drawdown-38.17%-37.71%
Current Drawdown-0.62%-0.73%

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FNDB vs. FNDX - Expense Ratio Comparison

Both FNDB and FNDX have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


FNDB
Schwab Fundamental U.S. Broad Market Index ETF
Expense ratio chart for FNDB: 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 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%

Correlation

-0.50.00.51.01.0

The correlation between FNDB and FNDX is 0.98, 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

FNDB vs. FNDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental U.S. Broad Market Index ETF (FNDB) and Schwab Fundamental U.S. Large Company Index ETF (FNDX). 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 FNDB, currently valued at 2.83, compared to the broader market0.002.004.002.832.91
The chart of Sortino ratio for FNDB, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.003.883.97
The chart of Omega ratio for FNDB, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.53
The chart of Calmar ratio for FNDB, currently valued at 4.96, compared to the broader market0.005.0010.0015.004.964.94
The chart of Martin ratio for FNDB, currently valued at 18.17, compared to the broader market0.0020.0040.0060.0080.00100.0018.1718.79
FNDB
FNDX

The current FNDB Sharpe Ratio is 2.83, which is comparable to the FNDX Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of FNDB and FNDX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.83
2.91
FNDB
FNDX

Dividends

FNDB vs. FNDX - Dividend Comparison

FNDB's dividend yield for the trailing twelve months is around 4.03%, less than FNDX's 4.12% yield.


TTM20232022202120202019201820172016201520142013
FNDB
Schwab Fundamental U.S. Broad Market Index ETF
4.03%3.51%4.12%3.23%5.46%3.21%3.64%3.63%4.25%3.43%3.21%0.74%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
4.12%3.75%4.20%2.37%2.29%5.67%4.97%2.63%3.96%3.85%3.36%1.24%

Drawdowns

FNDB vs. FNDX - Drawdown Comparison

The maximum FNDB drawdown since its inception was -38.17%, roughly equal to the maximum FNDX drawdown of -37.71%. Use the drawdown chart below to compare losses from any high point for FNDB and FNDX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.62%
-0.73%
FNDB
FNDX

Volatility

FNDB vs. FNDX - Volatility Comparison

Schwab Fundamental U.S. Broad Market Index ETF (FNDB) and Schwab Fundamental U.S. Large Company Index ETF (FNDX) have volatilities of 4.13% and 3.96%, 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.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.13%
3.96%
FNDB
FNDX