NEFOX vs. SWLVX

Last updated Jun 23, 2026

NEFOX (Natixis Funds Trust II Oakmark Fund) and SWLVX (Schwab U.S. Large-Cap Value Index Fund) are both Large Cap Value Equities funds. Over the past 5 years, NEFOX returned 10.36%/yr vs 11.71%/yr for SWLVX. Their correlation of 0.87 suggests significant overlap in exposure. NEFOX charges 1.05%/yr vs 0.04%/yr for SWLVX.

Performance

NEFOX vs. SWLVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Natixis Funds Trust II Oakmark Fund (NEFOX) and Schwab U.S. Large-Cap Value Index Fund (SWLVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NEFOX achieves a -1.80% return, which is significantly lower than SWLVX's 15.99% return.

NEFOX

• 1D: -0.44%
• 1M: -1.07%
• YTD: -1.80%
• 6M: -2.47%
• 1Y: 9.39%
• 3Y*: 13.59%
• 5Y*: 10.36%
• 10Y*: 13.37%

SWLVX

• 1D: 0.75%
• 1M: 2.84%
• YTD: 15.99%
• 6M: 15.35%
• 1Y: 30.01%
• 3Y*: 17.99%
• 5Y*: 11.71%
• 10Y*: —

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

NEFOX vs. SWLVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NEFOX Natixis Funds Trust II Oakmark Fund	-1.80%	14.77%	15.71%	30.96%	-13.02%	33.94%	13.08%	26.76%	-13.01%	-0.05%
SWLVX Schwab U.S. Large-Cap Value Index Fund	15.99%	15.87%	14.36%	11.45%	-7.61%	25.15%	2.64%	26.49%	-8.39%	0.30%

Correlation

The correlation between NEFOX and SWLVX is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (All Time) Calculated using the full available price history since Dec 19, 2017	0.87

Over the past year, the correlation between NEFOX and SWLVX has dropped to 0.56 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.

Return for Risk

NEFOX vs. SWLVX — Risk / Return Rank

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

NEFOX

NEFOX Risk / Return Rank: 14
NEFOX Sharpe Ratio Rank: 11
NEFOX Sortino Ratio Rank: 11
NEFOX Omega Ratio Rank: 10
NEFOX Calmar Ratio Rank: 22
NEFOX Martin Ratio Rank: 15

SWLVX

SWLVX Risk / Return Rank: 88
SWLVX Sharpe Ratio Rank: 89
SWLVX Sortino Ratio Rank: 86
SWLVX Omega Ratio Rank: 81
SWLVX Calmar Ratio Rank: 91
SWLVX Martin Ratio Rank: 94

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.

NEFOX vs. SWLVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Natixis Funds Trust II Oakmark Fund (NEFOX) and Schwab U.S. Large-Cap Value Index Fund (SWLVX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	NEFOX	SWLVX	Difference
Sharpe ratio: Return per unit of total volatility	0.81	2.71	-1.90
Sortino ratio: Return per unit of downside risk	1.26	3.77	-2.51
Omega ratio: Gain probability vs. loss probability	1.15	1.49	-0.34
Calmar ratio: Return relative to maximum drawdown	1.59	4.46	-2.87
Martin ratio: Return relative to average drawdown	3.93	18.60	-14.67

NEFOX vs. SWLVX - Sharpe Ratio Comparison

The current NEFOX Sharpe Ratio is 0.81, which is lower than the SWLVX Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of NEFOX and SWLVX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

NEFOX vs. SWLVX - Drawdown Comparison

The maximum NEFOX drawdown since its inception was -62.35%, which is greater than SWLVX's maximum drawdown of -38.34%. Use the drawdown chart below to compare losses from any high point for NEFOX and SWLVX.

Drawdown Indicators

	NEFOX	SWLVX	Difference
Max Drawdown Largest peak-to-trough decline	-62.35%	-38.34%	-24.01%
Max Drawdown (1Y) Largest decline over 1 year	-7.07%	-6.82%	-0.25%
Max Drawdown (3Y) Largest decline over 3 years	-17.25%	-15.61%	-1.64%
Max Drawdown (5Y) Largest decline over 5 years	-23.56%	-19.05%	-4.51%
Max Drawdown (10Y) Largest decline over 10 years	-41.01%	—	—
Current Drawdown Current decline from peak	-4.40%	-0.63%	-3.77%
Average Drawdown Average peak-to-trough decline	-12.48%	-4.82%	-7.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.69%	1.63%	+1.06%

Volatility

NEFOX vs. SWLVX - Volatility Comparison

Natixis Funds Trust II Oakmark Fund (NEFOX) and Schwab U.S. Large-Cap Value Index Fund (SWLVX) have volatilities of 3.98% and 4.03%, 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

	NEFOX	SWLVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.98%	4.03%	-0.05%
Volatility (6M) Calculated over the trailing 6-month period	10.40%	8.69%	+1.71%
Volatility (1Y) Calculated over the trailing 1-year period	13.89%	11.23%	+2.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.23%	14.90%	+4.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.86%	18.54%	+2.32%

NEFOX vs. SWLVX - Expense Ratio Comparison

NEFOX has a 1.05% expense ratio, which is higher than SWLVX's 0.04% expense ratio.

Dividends

NEFOX vs. SWLVX - Dividend Comparison

NEFOX's dividend yield for the trailing twelve months is around 10.33%, more than SWLVX's 1.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NEFOX Natixis Funds Trust II Oakmark Fund	10.33%	7.14%	6.85%	3.62%	17.00%	7.02%	9.21%	9.34%	10.83%	4.19%	3.66%	4.01%
SWLVX Schwab U.S. Large-Cap Value Index Fund	1.74%	2.02%	2.75%	2.56%	2.29%	4.86%	2.00%	4.35%	1.87%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both NEFOX and SWLVX in my portfolio?

NEFOX and SWLVX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NEFOX or SWLVX?

SWLVX has higher volatility (4.03%) compared to NEFOX (3.98%). In terms of maximum drawdown, NEFOX dropped -62.35% vs SWLVX's -38.34%.

Which has better risk-adjusted returns?

SWLVX currently has the higher Sharpe Ratio (2.71 vs 0.81), 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.