HESGX vs. SWPPX

Last updated Jun 5, 2026

HESGX (Horizon ESG Defensive Core Fund) and SWPPX (Schwab S&P 500 Index Fund) are both Large Cap Blend Equities funds. Over the past 5 years, HESGX returned 10.40%/yr vs 13.88%/yr for SWPPX. With a 0.98 correlation, they move nearly in lockstep. HESGX charges 1.02%/yr vs 0.02%/yr for SWPPX.

Performance

HESGX vs. SWPPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Horizon ESG Defensive Core Fund (HESGX) and Schwab S&P 500 Index Fund (SWPPX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HESGX achieves a 8.55% return, which is significantly lower than SWPPX's 10.83% return.

HESGX

• 1D: -0.70%
• 1M: 3.54%
• YTD: 8.55%
• 6M: 8.24%
• 1Y: 25.93%
• 3Y*: 17.96%
• 5Y*: 10.40%
• 10Y*: —

SWPPX

• 1D: -0.77%
• 1M: 4.12%
• YTD: 10.83%
• 6M: 10.73%
• 1Y: 27.97%
• 3Y*: 22.42%
• 5Y*: 13.88%
• 10Y*: 15.55%

*Multi-year figures are annualized to reflect compound growth (CAGR)

HESGX vs. SWPPX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
HESGX Horizon ESG Defensive Core Fund	8.55%	9.56%	22.41%	23.52%	-18.83%	27.45%	21.75%	-0.24%
SWPPX Schwab S&P 500 Index Fund	10.83%	17.87%	24.96%	26.26%	-18.14%	28.67%	18.38%	-0.26%

Correlation

The correlation between HESGX and SWPPX is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.98
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (All Time) Calculated using the full available price history since Dec 30, 2019	0.98

The correlation between HESGX and SWPPX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

HESGX vs. SWPPX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HESGX

HESGX Risk / Return Rank: 56
HESGX Sharpe Ratio Rank: 57
HESGX Sortino Ratio Rank: 52
HESGX Omega Ratio Rank: 53
HESGX Calmar Ratio Rank: 54
HESGX Martin Ratio Rank: 65

SWPPX

SWPPX Risk / Return Rank: 65
SWPPX Sharpe Ratio Rank: 63
SWPPX Sortino Ratio Rank: 58
SWPPX Omega Ratio Rank: 59
SWPPX Calmar Ratio Rank: 67
SWPPX Martin Ratio Rank: 79

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HESGX vs. SWPPX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Horizon ESG Defensive Core Fund (HESGX) and Schwab S&P 500 Index Fund (SWPPX). 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.

	HESGX	SWPPX	Difference
Sharpe ratio: Return per unit of total volatility	2.20	2.36	-0.16
Sortino ratio: Return per unit of downside risk	3.02	3.22	-0.20
Omega ratio: Gain probability vs. loss probability	1.40	1.43	-0.03
Calmar ratio: Return relative to maximum drawdown	2.77	3.16	-0.39
Martin ratio: Return relative to average drawdown	12.49	14.75	-2.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HESGX vs. SWPPX - Sharpe Ratio Comparison

The current HESGX Sharpe Ratio is 2.20, which is comparable to the SWPPX Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of HESGX and SWPPX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	HESGX	SWPPX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.20	2.36	-0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.72	0.82	-0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.86	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.84	0.51	+0.32

Drawdowns

HESGX vs. SWPPX - Drawdown Comparison

The maximum HESGX drawdown since its inception was -24.43%, smaller than the maximum SWPPX drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for HESGX and SWPPX.

Drawdown Indicators

	HESGX	SWPPX	Difference
Max Drawdown Largest peak-to-trough decline	-24.43%	-55.06%	+30.63%
Max Drawdown (1Y) Largest decline over 1 year	-9.42%	-8.89%	-0.53%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-18.74%	-0.05%
Max Drawdown (5Y) Largest decline over 5 years	-22.08%	-24.51%	+2.43%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.80%	—
Current Drawdown Current decline from peak	-0.72%	-0.77%	+0.05%
Average Drawdown Average peak-to-trough decline	-6.09%	-9.95%	+3.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	1.90%	+0.19%

Volatility

HESGX vs. SWPPX - Volatility Comparison

Horizon ESG Defensive Core Fund (HESGX) and Schwab S&P 500 Index Fund (SWPPX) have volatilities of 2.81% and 2.94%, 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.

Volatility by Period

	HESGX	SWPPX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.81%	2.94%	-0.13%
Volatility (6M) Calculated over the trailing 6-month period	8.89%	9.00%	-0.11%
Volatility (1Y) Calculated over the trailing 1-year period	11.89%	11.90%	-0.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.56%	16.93%	-2.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.22%	18.23%	-2.01%

HESGX vs. SWPPX - Expense Ratio Comparison

HESGX has a 1.02% expense ratio, which is higher than SWPPX's 0.02% expense ratio.

Dividends

HESGX vs. SWPPX - Dividend Comparison

HESGX's dividend yield for the trailing twelve months is around 15.37%, more than SWPPX's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HESGX Horizon ESG Defensive Core Fund	15.37%	16.68%	0.29%	0.61%	0.52%	2.51%	2.75%	0.00%	0.00%	0.00%	0.00%	0.00%
SWPPX Schwab S&P 500 Index Fund	1.00%	1.11%	1.23%	1.43%	1.67%	1.27%	1.81%	1.95%	2.67%	1.79%	2.55%	3.17%

Frequently Asked Questions

Can I hold both HESGX and SWPPX in my portfolio?

With a correlation of 0.99, HESGX and SWPPX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, HESGX or SWPPX?

SWPPX has higher volatility (2.94%) compared to HESGX (2.81%). In terms of maximum drawdown, HESGX dropped -24.43% vs SWPPX's -55.06%.

Which has better risk-adjusted returns?

SWPPX currently has the higher Sharpe Ratio (2.36 vs 2.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.