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PARMX vs. SCHA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PARMX and SCHA is 0.88, 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.


-0.50.00.51.00.9

Performance

PARMX vs. SCHA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parnassus Mid Cap Fund (PARMX) and Schwab U.S. Small-Cap ETF (SCHA). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
185.87%
479.60%
PARMX
SCHA

Key characteristics

Sharpe Ratio

PARMX:

0.45

SCHA:

0.77

Sortino Ratio

PARMX:

0.69

SCHA:

1.18

Omega Ratio

PARMX:

1.09

SCHA:

1.14

Calmar Ratio

PARMX:

0.29

SCHA:

1.01

Martin Ratio

PARMX:

1.75

SCHA:

4.12

Ulcer Index

PARMX:

3.55%

SCHA:

3.58%

Daily Std Dev

PARMX:

13.83%

SCHA:

19.25%

Max Drawdown

PARMX:

-51.40%

SCHA:

-42.41%

Current Drawdown

PARMX:

-15.22%

SCHA:

-7.45%

Returns By Period

In the year-to-date period, PARMX achieves a 5.32% return, which is significantly lower than SCHA's 12.24% return. Over the past 10 years, PARMX has underperformed SCHA with an annualized return of 4.06%, while SCHA has yielded a comparatively higher 8.89% annualized return.


PARMX

YTD

5.32%

1M

-8.17%

6M

3.48%

1Y

7.80%

5Y*

2.16%

10Y*

4.06%

SCHA

YTD

12.24%

1M

-2.45%

6M

12.51%

1Y

14.76%

5Y*

8.62%

10Y*

8.89%

Compare stocks, funds, or ETFs

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


PARMX vs. SCHA - Expense Ratio Comparison

PARMX has a 0.96% expense ratio, which is higher than SCHA's 0.04% expense ratio.


PARMX
Parnassus Mid Cap Fund
Expense ratio chart for PARMX: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%
Expense ratio chart for SCHA: 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

PARMX vs. SCHA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parnassus Mid Cap Fund (PARMX) and Schwab U.S. Small-Cap ETF (SCHA). 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.


Sharpe ratio
The chart of Sharpe ratio for PARMX, currently valued at 0.57, compared to the broader market-1.000.001.002.003.004.000.570.77
The chart of Sortino ratio for PARMX, currently valued at 0.85, compared to the broader market-2.000.002.004.006.008.0010.000.851.18
The chart of Omega ratio for PARMX, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.003.501.111.14
The chart of Calmar ratio for PARMX, currently valued at 0.36, compared to the broader market0.002.004.006.008.0010.0012.0014.000.361.01
The chart of Martin ratio for PARMX, currently valued at 2.15, compared to the broader market0.0020.0040.0060.002.154.12
PARMX
SCHA

The current PARMX Sharpe Ratio is 0.45, which is lower than the SCHA Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of PARMX and SCHA, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.57
0.77
PARMX
SCHA

Dividends

PARMX vs. SCHA - Dividend Comparison

PARMX has not paid dividends to shareholders, while SCHA's dividend yield for the trailing twelve months is around 1.83%.


TTM20232022202120202019201820172016201520142013
PARMX
Parnassus Mid Cap Fund
0.00%0.37%0.01%0.03%0.19%0.51%0.76%1.49%0.38%0.70%0.72%1.04%
SCHA
Schwab U.S. Small-Cap ETF
1.83%1.92%2.23%1.69%1.52%1.93%2.28%2.49%1.88%1.83%2.58%2.00%

Drawdowns

PARMX vs. SCHA - Drawdown Comparison

The maximum PARMX drawdown since its inception was -51.40%, which is greater than SCHA's maximum drawdown of -42.41%. Use the drawdown chart below to compare losses from any high point for PARMX and SCHA. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.22%
-7.45%
PARMX
SCHA

Volatility

PARMX vs. SCHA - Volatility Comparison

Parnassus Mid Cap Fund (PARMX) and Schwab U.S. Small-Cap ETF (SCHA) have volatilities of 6.18% and 6.10%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
6.18%
6.10%
PARMX
SCHA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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