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SFENX vs. RNEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SFENXRNEM
YTD Return17.63%2.35%
1Y Return27.77%12.43%
3Y Return (Ann)3.87%4.80%
5Y Return (Ann)5.59%3.19%
Sharpe Ratio1.830.86
Sortino Ratio2.571.27
Omega Ratio1.341.16
Calmar Ratio1.661.28
Martin Ratio9.254.50
Ulcer Index2.92%2.38%
Daily Std Dev14.73%12.46%
Max Drawdown-60.58%-38.38%
Current Drawdown-5.74%-6.12%

Correlation

-0.50.00.51.00.7

The correlation between SFENX and RNEM is 0.72, 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

SFENX vs. RNEM - Performance Comparison

In the year-to-date period, SFENX achieves a 17.63% return, which is significantly higher than RNEM's 2.35% 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%JuneJulyAugustSeptemberOctoberNovember
7.52%
0.67%
SFENX
RNEM

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SFENX vs. RNEM - Expense Ratio Comparison

SFENX has a 0.39% expense ratio, which is lower than RNEM's 0.75% expense ratio.


RNEM
First Trust Emerging Markets Equity Select ETF
Expense ratio chart for RNEM: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for SFENX: 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

SFENX vs. RNEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) and First Trust Emerging Markets Equity Select ETF (RNEM). 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.


SFENX
Sharpe ratio
The chart of Sharpe ratio for SFENX, currently valued at 1.83, compared to the broader market0.002.004.001.83
Sortino ratio
The chart of Sortino ratio for SFENX, currently valued at 2.57, compared to the broader market0.005.0010.002.57
Omega ratio
The chart of Omega ratio for SFENX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for SFENX, currently valued at 1.66, compared to the broader market0.005.0010.0015.0020.0025.001.66
Martin ratio
The chart of Martin ratio for SFENX, currently valued at 9.25, compared to the broader market0.0020.0040.0060.0080.00100.009.25
RNEM
Sharpe ratio
The chart of Sharpe ratio for RNEM, currently valued at 0.88, compared to the broader market0.002.004.000.88
Sortino ratio
The chart of Sortino ratio for RNEM, currently valued at 1.29, compared to the broader market0.005.0010.001.29
Omega ratio
The chart of Omega ratio for RNEM, currently valued at 1.16, compared to the broader market1.002.003.004.001.16
Calmar ratio
The chart of Calmar ratio for RNEM, currently valued at 1.31, compared to the broader market0.005.0010.0015.0020.0025.001.31
Martin ratio
The chart of Martin ratio for RNEM, currently valued at 4.60, compared to the broader market0.0020.0040.0060.0080.00100.004.60

SFENX vs. RNEM - Sharpe Ratio Comparison

The current SFENX Sharpe Ratio is 1.83, which is higher than the RNEM Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of SFENX and RNEM, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.83
0.88
SFENX
RNEM

Dividends

SFENX vs. RNEM - Dividend Comparison

SFENX's dividend yield for the trailing twelve months is around 4.26%, more than RNEM's 1.49% yield.


TTM20232022202120202019201820172016201520142013
SFENX
Schwab Fundamental Emerging Markets Large Company Index Fund
4.26%5.01%5.46%4.61%2.95%3.83%2.90%2.38%2.16%3.23%2.83%2.02%
RNEM
First Trust Emerging Markets Equity Select ETF
1.49%1.63%2.99%3.20%3.01%2.85%2.85%2.28%0.00%0.00%0.00%0.00%

Drawdowns

SFENX vs. RNEM - Drawdown Comparison

The maximum SFENX drawdown since its inception was -60.58%, which is greater than RNEM's maximum drawdown of -38.38%. Use the drawdown chart below to compare losses from any high point for SFENX and RNEM. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.74%
-6.12%
SFENX
RNEM

Volatility

SFENX vs. RNEM - Volatility Comparison

Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) has a higher volatility of 5.15% compared to First Trust Emerging Markets Equity Select ETF (RNEM) at 3.67%. This indicates that SFENX's price experiences larger fluctuations and is considered to be riskier than RNEM based on this measure. 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%JuneJulyAugustSeptemberOctoberNovember
5.15%
3.67%
SFENX
RNEM