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SFLNX vs. FIOOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SFLNX vs. FIOOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental US Large Company Index Fund (SFLNX) and Fidelity Series Large Cap Value Index Fund (FIOOX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.62%
11.60%
SFLNX
FIOOX

Returns By Period

The year-to-date returns for both stocks are quite close, with SFLNX having a 19.90% return and FIOOX slightly lower at 19.17%. Over the past 10 years, SFLNX has outperformed FIOOX with an annualized return of 11.59%, while FIOOX has yielded a comparatively lower 9.21% annualized return.


SFLNX

YTD

19.90%

1M

1.36%

6M

10.23%

1Y

28.15%

5Y (annualized)

14.51%

10Y (annualized)

11.59%

FIOOX

YTD

19.17%

1M

1.04%

6M

9.99%

1Y

27.85%

5Y (annualized)

10.37%

10Y (annualized)

9.21%

Key characteristics


SFLNXFIOOX
Sharpe Ratio2.502.56
Sortino Ratio3.443.60
Omega Ratio1.461.46
Calmar Ratio4.315.09
Martin Ratio16.2315.94
Ulcer Index1.71%1.74%
Daily Std Dev11.11%10.82%
Max Drawdown-60.01%-38.31%
Current Drawdown-1.59%-1.30%

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SFLNX vs. FIOOX - Expense Ratio Comparison

SFLNX has a 0.25% expense ratio, which is higher than FIOOX's 0.00% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SFLNX
Schwab Fundamental US Large Company Index Fund
Expense ratio chart for SFLNX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for FIOOX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between SFLNX and FIOOX is 0.97, 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.

Risk-Adjusted Performance

SFLNX vs. FIOOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental US Large Company Index Fund (SFLNX) and Fidelity Series Large Cap Value Index Fund (FIOOX). 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 SFLNX, currently valued at 2.50, compared to the broader market-1.000.001.002.003.004.005.002.502.56
The chart of Sortino ratio for SFLNX, currently valued at 3.44, compared to the broader market0.005.0010.003.443.60
The chart of Omega ratio for SFLNX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.46
The chart of Calmar ratio for SFLNX, currently valued at 4.31, compared to the broader market0.005.0010.0015.0020.0025.004.315.09
The chart of Martin ratio for SFLNX, currently valued at 16.23, compared to the broader market0.0020.0040.0060.0080.00100.0016.2315.94
SFLNX
FIOOX

The current SFLNX Sharpe Ratio is 2.50, which is comparable to the FIOOX Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of SFLNX and FIOOX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.50
2.56
SFLNX
FIOOX

Dividends

SFLNX vs. FIOOX - Dividend Comparison

SFLNX's dividend yield for the trailing twelve months is around 1.55%, less than FIOOX's 1.90% yield.


TTM20232022202120202019201820172016201520142013
SFLNX
Schwab Fundamental US Large Company Index Fund
1.55%1.86%2.09%1.74%2.43%2.39%2.86%2.10%2.25%2.42%1.73%1.51%
FIOOX
Fidelity Series Large Cap Value Index Fund
1.90%2.24%2.38%1.95%2.18%2.54%2.99%2.36%1.63%3.16%5.87%0.34%

Drawdowns

SFLNX vs. FIOOX - Drawdown Comparison

The maximum SFLNX drawdown since its inception was -60.01%, which is greater than FIOOX's maximum drawdown of -38.31%. Use the drawdown chart below to compare losses from any high point for SFLNX and FIOOX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.59%
-1.30%
SFLNX
FIOOX

Volatility

SFLNX vs. FIOOX - Volatility Comparison

Schwab Fundamental US Large Company Index Fund (SFLNX) has a higher volatility of 3.88% compared to Fidelity Series Large Cap Value Index Fund (FIOOX) at 3.66%. This indicates that SFLNX's price experiences larger fluctuations and is considered to be riskier than FIOOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.88%
3.66%
SFLNX
FIOOX