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

Key characteristics


SFNNXEWL
YTD Return6.57%5.27%
1Y Return20.56%21.22%
3Y Return (Ann)5.41%2.07%
5Y Return (Ann)7.70%7.25%
10Y Return (Ann)5.70%6.67%
Sharpe Ratio1.631.65
Sortino Ratio2.272.35
Omega Ratio1.291.28
Calmar Ratio2.361.17
Martin Ratio9.547.72
Ulcer Index2.17%2.67%
Daily Std Dev12.67%12.44%
Max Drawdown-62.39%-51.62%
Current Drawdown-5.49%-5.81%

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.

Performance

SFNNX vs. EWL - Performance Comparison

In the year-to-date period, SFNNX achieves a 6.57% return, which is significantly higher than EWL's 5.27% return. Over the past 10 years, SFNNX has underperformed EWL with an annualized return of 5.70%, while EWL has yielded a comparatively higher 6.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctober
2.38%
11.22%
SFNNX
EWL

Compare stocks, funds, or ETFs

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


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%

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.


SFNNX
Sharpe ratio
The chart of Sharpe ratio for SFNNX, currently valued at 1.63, compared to the broader market-2.000.002.004.001.63
Sortino ratio
The chart of Sortino ratio for SFNNX, currently valued at 2.27, compared to the broader market0.005.0010.002.27
Omega ratio
The chart of Omega ratio for SFNNX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for SFNNX, currently valued at 2.36, compared to the broader market0.005.0010.0015.0020.002.36
Martin ratio
The chart of Martin ratio for SFNNX, currently valued at 9.54, compared to the broader market0.0020.0040.0060.0080.009.54
EWL
Sharpe ratio
The chart of Sharpe ratio for EWL, currently valued at 1.65, compared to the broader market-2.000.002.004.001.65
Sortino ratio
The chart of Sortino ratio for EWL, currently valued at 2.35, compared to the broader market0.005.0010.002.35
Omega ratio
The chart of Omega ratio for EWL, currently valued at 1.28, compared to the broader market1.002.003.004.001.28
Calmar ratio
The chart of Calmar ratio for EWL, currently valued at 1.17, compared to the broader market0.005.0010.0015.0020.001.17
Martin ratio
The chart of Martin ratio for EWL, currently valued at 7.72, compared to the broader market0.0020.0040.0060.0080.007.72

SFNNX vs. EWL - Sharpe Ratio Comparison

The current SFNNX Sharpe Ratio is 1.63, which is comparable to the EWL Sharpe Ratio of 1.65. 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctober
1.63
1.65
SFNNX
EWL

Dividends

SFNNX vs. EWL - Dividend Comparison

SFNNX's dividend yield for the trailing twelve months is around 3.06%, more than EWL's 2.04% yield.


TTM20232022202120202019201820172016201520142013
SFNNX
Schwab Fundamental International Large Company Index Fund
3.06%3.26%2.92%3.81%2.42%3.69%3.51%2.70%3.21%2.92%3.60%2.72%
EWL
iShares MSCI Switzerland ETF
2.04%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%JuneJulyAugustSeptemberOctober
-5.49%
-5.81%
SFNNX
EWL

Volatility

SFNNX vs. EWL - Volatility Comparison

The current volatility for Schwab Fundamental International Large Company Index Fund (SFNNX) is 2.80%, while iShares MSCI Switzerland ETF (EWL) has a volatility of 3.40%. This indicates that SFNNX experiences smaller price fluctuations and is considered to be less risky than EWL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
2.80%
3.40%
SFNNX
EWL