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

Correlation

The correlation between NAVFX and SCHG is 0.95, 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

NAVFX vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sector Rotation Fund (NAVFX) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

NAVFX:

0.55

SCHG:

0.58

Sortino Ratio

NAVFX:

0.93

SCHG:

1.05

Omega Ratio

NAVFX:

1.14

SCHG:

1.15

Calmar Ratio

NAVFX:

0.57

SCHG:

0.70

Martin Ratio

NAVFX:

2.13

SCHG:

2.29

Ulcer Index

NAVFX:

5.50%

SCHG:

7.11%

Daily Std Dev

NAVFX:

20.62%

SCHG:

25.38%

Max Drawdown

NAVFX:

-30.79%

SCHG:

-34.59%

Current Drawdown

NAVFX:

-4.44%

SCHG:

-5.37%

Returns By Period

In the year-to-date period, NAVFX achieves a 1.05% return, which is significantly higher than SCHG's -1.19% return. Over the past 10 years, NAVFX has underperformed SCHG with an annualized return of 8.48%, while SCHG has yielded a comparatively higher 15.86% annualized return.


NAVFX

YTD

1.05%

1M

7.99%

6M

-2.09%

1Y

11.35%

3Y*

12.56%

5Y*

11.63%

10Y*

8.48%

SCHG

YTD

-1.19%

1M

8.99%

6M

0.03%

1Y

14.53%

3Y*

20.78%

5Y*

18.19%

10Y*

15.86%

*Annualized

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Sector Rotation Fund

Schwab U.S. Large-Cap Growth ETF

NAVFX vs. SCHG - Expense Ratio Comparison

NAVFX has a 1.97% expense ratio, which is higher than SCHG's 0.04% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

NAVFX vs. SCHG — Risk-Adjusted Performance Rank

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

NAVFX
The Risk-Adjusted Performance Rank of NAVFX is 4949
Overall Rank
The Sharpe Ratio Rank of NAVFX is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of NAVFX is 4747
Sortino Ratio Rank
The Omega Ratio Rank of NAVFX is 5353
Omega Ratio Rank
The Calmar Ratio Rank of NAVFX is 5353
Calmar Ratio Rank
The Martin Ratio Rank of NAVFX is 4848
Martin Ratio Rank

SCHG
The Risk-Adjusted Performance Rank of SCHG is 6161
Overall Rank
The Sharpe Ratio Rank of SCHG is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHG is 6363
Sortino Ratio Rank
The Omega Ratio Rank of SCHG is 6262
Omega Ratio Rank
The Calmar Ratio Rank of SCHG is 6767
Calmar Ratio Rank
The Martin Ratio Rank of SCHG is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NAVFX vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sector Rotation Fund (NAVFX) 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.


The current NAVFX Sharpe Ratio is 0.55, which is comparable to the SCHG Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of NAVFX 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.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

NAVFX vs. SCHG - Dividend Comparison

NAVFX's dividend yield for the trailing twelve months is around 6.95%, more than SCHG's 0.41% yield.


TTM20242023202220212020201920182017201620152014
NAVFX
Sector Rotation Fund
6.95%7.02%1.66%7.79%5.16%1.15%8.54%10.05%9.49%2.96%3.13%18.96%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%

Drawdowns

NAVFX vs. SCHG - Drawdown Comparison

The maximum NAVFX drawdown since its inception was -30.79%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for NAVFX and SCHG.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

NAVFX vs. SCHG - Volatility Comparison

The current volatility for Sector Rotation Fund (NAVFX) is 5.21%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.75%. This indicates that NAVFX experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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