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

Key characteristics


SFILXSFENX
YTD Return2.51%14.34%
1Y Return14.98%23.45%
3Y Return (Ann)-1.03%3.00%
5Y Return (Ann)4.30%5.54%
10Y Return (Ann)5.32%5.29%
Sharpe Ratio1.091.60
Sortino Ratio1.602.26
Omega Ratio1.201.29
Calmar Ratio0.811.50
Martin Ratio5.517.93
Ulcer Index2.67%3.00%
Daily Std Dev13.45%14.88%
Max Drawdown-54.02%-60.58%
Current Drawdown-7.89%-8.38%

Correlation

-0.50.00.51.00.8

The correlation between SFILX and SFENX is 0.78, 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

SFILX vs. SFENX - Performance Comparison

In the year-to-date period, SFILX achieves a 2.51% return, which is significantly lower than SFENX's 14.34% return. Both investments have delivered pretty close results over the past 10 years, with SFILX having a 5.32% annualized return and SFENX not far behind at 5.29%. 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%JuneJulyAugustSeptemberOctoberNovember
-0.23%
3.84%
SFILX
SFENX

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SFILX vs. SFENX - Expense Ratio Comparison

Both SFILX and SFENX have an expense ratio of 0.39%.


SFILX
Schwab Fundamental International Small Company Index Fund
Expense ratio chart for SFILX: 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%
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

SFILX vs. SFENX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental International Small Company Index Fund (SFILX) and Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX). 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.


SFILX
Sharpe ratio
The chart of Sharpe ratio for SFILX, currently valued at 1.09, compared to the broader market0.002.004.001.09
Sortino ratio
The chart of Sortino ratio for SFILX, currently valued at 1.60, compared to the broader market0.005.0010.001.60
Omega ratio
The chart of Omega ratio for SFILX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for SFILX, currently valued at 0.81, compared to the broader market0.005.0010.0015.0020.000.81
Martin ratio
The chart of Martin ratio for SFILX, currently valued at 5.51, compared to the broader market0.0020.0040.0060.0080.00100.005.51
SFENX
Sharpe ratio
The chart of Sharpe ratio for SFENX, currently valued at 1.60, compared to the broader market0.002.004.001.60
Sortino ratio
The chart of Sortino ratio for SFENX, currently valued at 2.26, compared to the broader market0.005.0010.002.26
Omega ratio
The chart of Omega ratio for SFENX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for SFENX, currently valued at 1.50, compared to the broader market0.005.0010.0015.0020.001.50
Martin ratio
The chart of Martin ratio for SFENX, currently valued at 7.93, compared to the broader market0.0020.0040.0060.0080.00100.007.93

SFILX vs. SFENX - Sharpe Ratio Comparison

The current SFILX Sharpe Ratio is 1.09, which is lower than the SFENX Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of SFILX and SFENX, 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
1.09
1.60
SFILX
SFENX

Dividends

SFILX vs. SFENX - Dividend Comparison

SFILX's dividend yield for the trailing twelve months is around 3.04%, less than SFENX's 4.38% yield.


TTM20232022202120202019201820172016201520142013
SFILX
Schwab Fundamental International Small Company Index Fund
3.04%3.11%1.99%2.87%1.98%2.78%2.70%2.35%2.45%2.09%1.74%2.75%
SFENX
Schwab Fundamental Emerging Markets Large Company Index Fund
4.38%5.01%5.46%4.61%2.95%3.83%2.90%2.38%2.16%3.23%2.83%2.02%

Drawdowns

SFILX vs. SFENX - Drawdown Comparison

The maximum SFILX drawdown since its inception was -54.02%, smaller than the maximum SFENX drawdown of -60.58%. Use the drawdown chart below to compare losses from any high point for SFILX and SFENX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.89%
-8.38%
SFILX
SFENX

Volatility

SFILX vs. SFENX - Volatility Comparison

The current volatility for Schwab Fundamental International Small Company Index Fund (SFILX) is 3.69%, while Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) has a volatility of 5.48%. This indicates that SFILX experiences smaller price fluctuations and is considered to be less risky than SFENX 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
3.69%
5.48%
SFILX
SFENX