PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SFLNX vs. SCHX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SFLNX vs. SCHX - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.62%
14.10%
SFLNX
SCHX

Returns By Period

In the year-to-date period, SFLNX achieves a 19.90% return, which is significantly lower than SCHX's 26.42% return. Over the past 10 years, SFLNX has underperformed SCHX with an annualized return of 11.59%, while SCHX has yielded a comparatively higher 14.82% annualized return.


SFLNX

YTD

19.90%

1M

1.36%

6M

10.23%

1Y

28.15%

5Y (annualized)

14.51%

10Y (annualized)

11.59%

SCHX

YTD

26.42%

1M

1.56%

6M

13.18%

1Y

33.66%

5Y (annualized)

17.11%

10Y (annualized)

14.82%

Key characteristics


SFLNXSCHX
Sharpe Ratio2.502.70
Sortino Ratio3.443.60
Omega Ratio1.461.50
Calmar Ratio4.313.90
Martin Ratio16.2317.48
Ulcer Index1.71%1.91%
Daily Std Dev11.11%12.36%
Max Drawdown-60.01%-34.33%
Current Drawdown-1.59%-1.35%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SFLNX vs. SCHX - Expense Ratio Comparison

SFLNX has a 0.25% expense ratio, which is higher than SCHX's 0.03% 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 SCHX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.9

The correlation between SFLNX and SCHX is 0.93, 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. SCHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental US Large Company Index Fund (SFLNX) and Schwab U.S. Large-Cap ETF (SCHX). 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-1.000.001.002.003.004.005.002.502.70
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 market1.002.003.004.001.461.50
The chart of Calmar ratio for SFLNX, currently valued at 4.31, compared to the broader market0.005.0010.0015.0020.0025.004.313.90
The chart of Martin ratio for SFLNX, currently valued at 16.23, compared to the broader market0.0020.0040.0060.0080.00100.0016.2317.48
SFLNX
SCHX

The current SFLNX Sharpe Ratio is 2.50, which is comparable to the SCHX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of SFLNX and SCHX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.50
2.70
SFLNX
SCHX

Dividends

SFLNX vs. SCHX - Dividend Comparison

SFLNX's dividend yield for the trailing twelve months is around 1.55%, more than SCHX's 1.19% 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%
SCHX
Schwab U.S. Large-Cap ETF
1.19%1.39%1.64%1.22%1.64%1.82%2.17%1.70%1.92%2.04%1.76%1.65%

Drawdowns

SFLNX vs. SCHX - Drawdown Comparison

The maximum SFLNX drawdown since its inception was -60.01%, which is greater than SCHX's maximum drawdown of -34.33%. Use the drawdown chart below to compare losses from any high point for SFLNX and SCHX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.59%
-1.35%
SFLNX
SCHX

Volatility

SFLNX vs. SCHX - Volatility Comparison

The current volatility for Schwab Fundamental US Large Company Index Fund (SFLNX) is 3.88%, while Schwab U.S. Large-Cap ETF (SCHX) has a volatility of 4.24%. This indicates that SFLNX experiences smaller price fluctuations and is considered to be less risky than SCHX 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%6.00%JuneJulyAugustSeptemberOctoberNovember
3.88%
4.24%
SFLNX
SCHX