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

Correlation

The correlation between SFENX and SWISX is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

SFENX vs. SWISX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) and Schwab International Index Fund (SWISX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SFENX:

0.55

SWISX:

0.70

Sortino Ratio

SFENX:

0.93

SWISX:

1.10

Omega Ratio

SFENX:

1.12

SWISX:

1.15

Calmar Ratio

SFENX:

0.63

SWISX:

0.90

Martin Ratio

SFENX:

1.67

SWISX:

2.61

Ulcer Index

SFENX:

6.24%

SWISX:

4.74%

Daily Std Dev

SFENX:

17.79%

SWISX:

16.98%

Max Drawdown

SFENX:

-60.58%

SWISX:

-60.65%

Current Drawdown

SFENX:

-1.03%

SWISX:

0.00%

Returns By Period

In the year-to-date period, SFENX achieves a 9.97% return, which is significantly lower than SWISX's 17.03% return. Both investments have delivered pretty close results over the past 10 years, with SFENX having a 5.70% annualized return and SWISX not far ahead at 5.81%.


SFENX

YTD

9.97%

1M

9.73%

6M

8.14%

1Y

9.72%

3Y*

11.14%

5Y*

12.14%

10Y*

5.70%

SWISX

YTD

17.03%

1M

10.39%

6M

15.73%

1Y

11.76%

3Y*

12.62%

5Y*

12.33%

10Y*

5.81%

*Annualized

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SFENX vs. SWISX - Expense Ratio Comparison

SFENX has a 0.39% expense ratio, which is higher than SWISX's 0.06% expense ratio.


Risk-Adjusted Performance

SFENX vs. SWISX — Risk-Adjusted Performance Rank

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

SFENX
The Risk-Adjusted Performance Rank of SFENX is 5757
Overall Rank
The Sharpe Ratio Rank of SFENX is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of SFENX is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SFENX is 5555
Omega Ratio Rank
The Calmar Ratio Rank of SFENX is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SFENX is 5151
Martin Ratio Rank

SWISX
The Risk-Adjusted Performance Rank of SWISX is 7070
Overall Rank
The Sharpe Ratio Rank of SWISX is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of SWISX is 6868
Sortino Ratio Rank
The Omega Ratio Rank of SWISX is 6767
Omega Ratio Rank
The Calmar Ratio Rank of SWISX is 8282
Calmar Ratio Rank
The Martin Ratio Rank of SWISX is 6868
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.

SFENX vs. SWISX - 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 Schwab International Index Fund (SWISX). 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 SFENX Sharpe Ratio is 0.55, which is comparable to the SWISX Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of SFENX and SWISX, 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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Dividends

SFENX vs. SWISX - Dividend Comparison

SFENX's dividend yield for the trailing twelve months is around 4.25%, more than SWISX's 2.82% yield.


TTM20242023202220212020201920182017201620152014
SFENX
Schwab Fundamental Emerging Markets Large Company Index Fund
4.25%4.68%5.01%5.46%4.61%2.95%3.83%2.90%2.38%2.16%3.23%2.83%
SWISX
Schwab International Index Fund
2.82%3.29%3.31%2.73%3.34%1.88%3.09%3.15%2.71%3.19%2.71%3.37%

Drawdowns

SFENX vs. SWISX - Drawdown Comparison

The maximum SFENX drawdown since its inception was -60.58%, roughly equal to the maximum SWISX drawdown of -60.65%. Use the drawdown chart below to compare losses from any high point for SFENX and SWISX. For additional features, visit the drawdowns tool.


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Volatility

SFENX vs. SWISX - Volatility Comparison

Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) has a higher volatility of 3.35% compared to Schwab International Index Fund (SWISX) at 3.18%. This indicates that SFENX's price experiences larger fluctuations and is considered to be riskier than SWISX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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