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

Key characteristics


HFMDXSFILX
YTD Return42.99%4.00%
1Y Return44.67%16.35%
3Y Return (Ann)11.04%-0.55%
5Y Return (Ann)18.08%4.55%
10Y Return (Ann)4.19%5.47%
Sharpe Ratio2.111.26
Sortino Ratio2.571.83
Omega Ratio1.371.23
Calmar Ratio2.620.93
Martin Ratio11.496.43
Ulcer Index4.07%2.62%
Daily Std Dev22.14%13.39%
Max Drawdown-71.75%-54.02%
Current Drawdown0.00%-6.55%

Correlation

-0.50.00.51.00.7

The correlation between HFMDX and SFILX is 0.67, 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.

Performance

HFMDX vs. SFILX - Performance Comparison

In the year-to-date period, HFMDX achieves a 42.99% return, which is significantly higher than SFILX's 4.00% return. Over the past 10 years, HFMDX has underperformed SFILX with an annualized return of 4.19%, while SFILX has yielded a comparatively higher 5.47% 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%20.00%JuneJulyAugustSeptemberOctoberNovember
19.36%
1.84%
HFMDX
SFILX

Compare stocks, funds, or ETFs

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


HFMDX vs. SFILX - Expense Ratio Comparison

HFMDX has a 1.36% expense ratio, which is higher than SFILX's 0.39% expense ratio.


HFMDX
Hennessy Cornerstone Mid Cap 30 Fund
Expense ratio chart for HFMDX: current value at 1.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.36%
Expense ratio chart for SFILX: 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%

Risk-Adjusted Performance

HFMDX vs. SFILX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Hennessy Cornerstone Mid Cap 30 Fund (HFMDX) and Schwab Fundamental International Small Company Index Fund (SFILX). 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.


HFMDX
Sharpe ratio
The chart of Sharpe ratio for HFMDX, currently valued at 2.11, compared to the broader market0.002.004.002.11
Sortino ratio
The chart of Sortino ratio for HFMDX, currently valued at 2.57, compared to the broader market0.005.0010.002.57
Omega ratio
The chart of Omega ratio for HFMDX, currently valued at 1.37, compared to the broader market1.002.003.004.001.37
Calmar ratio
The chart of Calmar ratio for HFMDX, currently valued at 2.62, compared to the broader market0.005.0010.0015.0020.0025.002.62
Martin ratio
The chart of Martin ratio for HFMDX, currently valued at 11.49, compared to the broader market0.0020.0040.0060.0080.00100.0011.49
SFILX
Sharpe ratio
The chart of Sharpe ratio for SFILX, currently valued at 1.26, compared to the broader market0.002.004.001.26
Sortino ratio
The chart of Sortino ratio for SFILX, currently valued at 1.83, compared to the broader market0.005.0010.001.83
Omega ratio
The chart of Omega ratio for SFILX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for SFILX, currently valued at 0.93, compared to the broader market0.005.0010.0015.0020.0025.000.93
Martin ratio
The chart of Martin ratio for SFILX, currently valued at 6.43, compared to the broader market0.0020.0040.0060.0080.00100.006.43

HFMDX vs. SFILX - Sharpe Ratio Comparison

The current HFMDX Sharpe Ratio is 2.11, which is higher than the SFILX Sharpe Ratio of 1.26. The chart below compares the historical Sharpe Ratios of HFMDX and SFILX, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.11
1.26
HFMDX
SFILX

Dividends

HFMDX vs. SFILX - Dividend Comparison

HFMDX has not paid dividends to shareholders, while SFILX's dividend yield for the trailing twelve months is around 2.99%.


TTM20232022202120202019201820172016201520142013
HFMDX
Hennessy Cornerstone Mid Cap 30 Fund
0.00%0.00%0.00%1.73%0.00%0.00%0.00%0.00%0.00%0.14%0.00%0.11%
SFILX
Schwab Fundamental International Small Company Index Fund
2.99%3.11%1.99%2.87%1.98%2.78%2.70%2.35%2.45%2.09%1.74%2.75%

Drawdowns

HFMDX vs. SFILX - Drawdown Comparison

The maximum HFMDX drawdown since its inception was -71.75%, which is greater than SFILX's maximum drawdown of -54.02%. Use the drawdown chart below to compare losses from any high point for HFMDX and SFILX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-6.55%
HFMDX
SFILX

Volatility

HFMDX vs. SFILX - Volatility Comparison

Hennessy Cornerstone Mid Cap 30 Fund (HFMDX) has a higher volatility of 4.83% compared to Schwab Fundamental International Small Company Index Fund (SFILX) at 3.46%. This indicates that HFMDX's price experiences larger fluctuations and is considered to be riskier than SFILX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.83%
3.46%
HFMDX
SFILX