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SFNNX vs. EWL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SFNNX vs. EWL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental International Large Company Index Fund (SFNNX) and iShares MSCI Switzerland ETF (EWL). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.23%
-0.12%
SFNNX
EWL

Returns By Period

In the year-to-date period, SFNNX achieves a 4.38% return, which is significantly higher than EWL's -0.01% return. Over the past 10 years, SFNNX has underperformed EWL with an annualized return of 5.36%, while EWL has yielded a comparatively higher 5.88% annualized return.


SFNNX

YTD

4.38%

1M

-2.06%

6M

-2.23%

1Y

10.37%

5Y (annualized)

7.24%

10Y (annualized)

5.36%

EWL

YTD

-0.01%

1M

-6.51%

6M

-0.12%

1Y

7.61%

5Y (annualized)

6.17%

10Y (annualized)

5.88%

Key characteristics


SFNNXEWL
Sharpe Ratio0.820.61
Sortino Ratio1.180.92
Omega Ratio1.151.11
Calmar Ratio1.240.64
Martin Ratio3.712.16
Ulcer Index2.80%3.52%
Daily Std Dev12.58%12.43%
Max Drawdown-62.39%-51.62%
Current Drawdown-7.43%-10.54%

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SFNNX vs. EWL - Expense Ratio Comparison

SFNNX has a 0.25% expense ratio, which is lower than EWL's 0.50% expense ratio.


EWL
iShares MSCI Switzerland ETF
Expense ratio chart for EWL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SFNNX: 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%

Correlation

-0.50.00.51.00.8

The correlation between SFNNX and EWL is 0.80, 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

SFNNX vs. EWL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental International Large Company Index Fund (SFNNX) and iShares MSCI Switzerland ETF (EWL). 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 SFNNX, currently valued at 0.82, compared to the broader market-1.000.001.002.003.004.005.000.820.61
The chart of Sortino ratio for SFNNX, currently valued at 1.18, compared to the broader market0.005.0010.001.180.92
The chart of Omega ratio for SFNNX, currently valued at 1.15, compared to the broader market1.002.003.004.001.151.11
The chart of Calmar ratio for SFNNX, currently valued at 1.24, compared to the broader market0.005.0010.0015.0020.001.240.64
The chart of Martin ratio for SFNNX, currently valued at 3.71, compared to the broader market0.0020.0040.0060.0080.00100.003.712.16
SFNNX
EWL

The current SFNNX Sharpe Ratio is 0.82, which is higher than the EWL Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of SFNNX and EWL, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.82
0.61
SFNNX
EWL

Dividends

SFNNX vs. EWL - Dividend Comparison

SFNNX's dividend yield for the trailing twelve months is around 3.13%, more than EWL's 2.15% yield.


TTM20232022202120202019201820172016201520142013
SFNNX
Schwab Fundamental International Large Company Index Fund
3.13%3.27%2.92%3.81%2.43%3.68%3.51%2.70%3.20%2.91%3.60%2.72%
EWL
iShares MSCI Switzerland ETF
2.15%2.12%2.04%1.73%1.45%1.85%2.56%2.05%2.75%2.58%2.49%1.83%

Drawdowns

SFNNX vs. EWL - Drawdown Comparison

The maximum SFNNX drawdown since its inception was -62.39%, which is greater than EWL's maximum drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for SFNNX and EWL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.43%
-10.54%
SFNNX
EWL

Volatility

SFNNX vs. EWL - Volatility Comparison

Schwab Fundamental International Large Company Index Fund (SFNNX) and iShares MSCI Switzerland ETF (EWL) have volatilities of 3.82% and 3.87%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.82%
3.87%
SFNNX
EWL