PARMX vs. SCHM
Compare and contrast key facts about Parnassus Mid Cap Fund (PARMX) and Schwab US Mid-Cap ETF (SCHM).
PARMX is managed by Parnassus. It was launched on Apr 29, 2005. SCHM is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones US Total Stock Market Mid-Cap. It was launched on Jan 13, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PARMX or SCHM.
Key characteristics
| PARMX | SCHM | |
|---|---|---|
| YTD Return | 17.56% | 17.40% |
| 1Y Return | 29.69% | 35.14% |
| 3Y Return (Ann) | -1.45% | 3.99% |
| 5Y Return (Ann) | 4.48% | 11.01% |
| 10Y Return (Ann) | 5.36% | 11.02% |
| Sharpe Ratio | 2.26 | 2.27 |
| Sortino Ratio | 3.19 | 3.16 |
| Omega Ratio | 1.39 | 1.40 |
| Calmar Ratio | 1.09 | 2.06 |
| Martin Ratio | 9.37 | 12.32 |
| Ulcer Index | 3.14% | 2.84% |
| Daily Std Dev | 13.03% | 15.40% |
| Max Drawdown | -51.40% | -42.43% |
| Current Drawdown | -5.36% | -1.05% |
Correlation
The correlation between PARMX and SCHM is 0.91, 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
PARMX vs. SCHM - Performance Comparison
The year-to-date returns for both stocks are quite close, with PARMX having a 17.56% return and SCHM slightly lower at 17.40%. Over the past 10 years, PARMX has underperformed SCHM with an annualized return of 5.36%, while SCHM has yielded a comparatively higher 11.02% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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PARMX vs. SCHM - Expense Ratio Comparison
PARMX has a 0.96% expense ratio, which is higher than SCHM's 0.04% expense ratio.
Risk-Adjusted Performance
PARMX vs. SCHM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parnassus Mid Cap Fund (PARMX) and Schwab US Mid-Cap ETF (SCHM). 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.
Dividends
PARMX vs. SCHM - Dividend Comparison
PARMX's dividend yield for the trailing twelve months is around 0.31%, less than SCHM's 1.93% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PARMX Parnassus Mid Cap Fund | 0.31% | 0.37% | 0.01% | 0.03% | 0.19% | 0.51% | 0.76% | 1.49% | 0.38% | 0.70% | 0.72% | 1.04% |
SCHM Schwab US Mid-Cap ETF | 1.93% | 2.82% | 2.20% | 1.87% | 2.10% | 3.04% | 4.13% | 2.68% | 1.94% | 2.20% | 2.32% | 3.27% |
Drawdowns
PARMX vs. SCHM - Drawdown Comparison
The maximum PARMX drawdown since its inception was -51.40%, which is greater than SCHM's maximum drawdown of -42.43%. Use the drawdown chart below to compare losses from any high point for PARMX and SCHM. For additional features, visit the drawdowns tool.
Volatility
PARMX vs. SCHM - Volatility Comparison
The current volatility for Parnassus Mid Cap Fund (PARMX) is 3.32%, while Schwab US Mid-Cap ETF (SCHM) has a volatility of 4.80%. This indicates that PARMX experiences smaller price fluctuations and is considered to be less risky than SCHM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.