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FSMAX vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FSMAXSCHG
YTD Return21.43%34.32%
1Y Return37.46%42.00%
3Y Return (Ann)1.20%11.21%
5Y Return (Ann)11.64%20.69%
10Y Return (Ann)10.24%16.80%
Sharpe Ratio2.372.64
Sortino Ratio3.263.39
Omega Ratio1.411.48
Calmar Ratio1.693.62
Martin Ratio13.7514.42
Ulcer Index3.16%3.10%
Daily Std Dev18.34%16.93%
Max Drawdown-41.67%-34.59%
Current Drawdown-1.73%-0.18%

Correlation

-0.50.00.51.00.8

The correlation between FSMAX and SCHG is 0.84, 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.

Performance

FSMAX vs. SCHG - Performance Comparison

In the year-to-date period, FSMAX achieves a 21.43% return, which is significantly lower than SCHG's 34.32% return. Over the past 10 years, FSMAX has underperformed SCHG with an annualized return of 10.24%, while SCHG has yielded a comparatively higher 16.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.08%
17.14%
FSMAX
SCHG

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FSMAX vs. SCHG - Expense Ratio Comparison

FSMAX has a 0.04% expense ratio, which is lower than SCHG's 0.04% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SCHG
Schwab U.S. Large-Cap Growth ETF
Expense ratio chart for SCHG: 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%
Expense ratio chart for FSMAX: 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

FSMAX vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Extended Market Index Fund (FSMAX) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.


FSMAX
Sharpe ratio
The chart of Sharpe ratio for FSMAX, currently valued at 2.37, compared to the broader market0.002.004.002.37
Sortino ratio
The chart of Sortino ratio for FSMAX, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for FSMAX, currently valued at 1.41, compared to the broader market1.002.003.004.001.41
Calmar ratio
The chart of Calmar ratio for FSMAX, currently valued at 1.69, compared to the broader market0.005.0010.0015.0020.001.69
Martin ratio
The chart of Martin ratio for FSMAX, currently valued at 13.75, compared to the broader market0.0020.0040.0060.0080.00100.0013.75
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.64, compared to the broader market0.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.62, compared to the broader market0.005.0010.0015.0020.003.62
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.42, compared to the broader market0.0020.0040.0060.0080.00100.0014.42

FSMAX vs. SCHG - Sharpe Ratio Comparison

The current FSMAX Sharpe Ratio is 2.37, which is comparable to the SCHG Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of FSMAX and SCHG, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.37
2.64
FSMAX
SCHG

Dividends

FSMAX vs. SCHG - Dividend Comparison

FSMAX's dividend yield for the trailing twelve months is around 0.88%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
FSMAX
Fidelity Extended Market Index Fund
0.88%1.17%1.38%0.99%0.93%1.41%1.69%1.30%1.38%2.99%5.43%4.09%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

FSMAX vs. SCHG - Drawdown Comparison

The maximum FSMAX drawdown since its inception was -41.67%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for FSMAX and SCHG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.73%
-0.18%
FSMAX
SCHG

Volatility

FSMAX vs. SCHG - Volatility Comparison

Fidelity Extended Market Index Fund (FSMAX) has a higher volatility of 6.02% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.15%. This indicates that FSMAX's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.02%
5.15%
FSMAX
SCHG