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

Correlation

The correlation between SFNNX and IVLU is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.7

Performance

SFNNX vs. IVLU - 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 Intl Value Factor ETF (IVLU). The values are adjusted to include any dividend payments, if applicable.

50.00%60.00%70.00%80.00%NovemberDecember2025FebruaryMarchApril
82.06%
69.32%
SFNNX
IVLU

Key characteristics

Sharpe Ratio

SFNNX:

0.65

IVLU:

0.90

Sortino Ratio

SFNNX:

0.98

IVLU:

1.35

Omega Ratio

SFNNX:

1.13

IVLU:

1.18

Calmar Ratio

SFNNX:

0.77

IVLU:

1.05

Martin Ratio

SFNNX:

2.22

IVLU:

3.65

Ulcer Index

SFNNX:

4.75%

IVLU:

4.44%

Daily Std Dev

SFNNX:

16.34%

IVLU:

17.96%

Max Drawdown

SFNNX:

-62.47%

IVLU:

-41.86%

Current Drawdown

SFNNX:

-1.46%

IVLU:

-2.31%

Returns By Period

In the year-to-date period, SFNNX achieves a 11.10% return, which is significantly lower than IVLU's 13.80% return.


SFNNX

YTD

11.10%

1M

-0.60%

6M

6.23%

1Y

9.85%

5Y*

15.13%

10Y*

5.77%

IVLU

YTD

13.80%

1M

-1.41%

6M

10.61%

1Y

15.36%

5Y*

15.63%

10Y*

N/A

*Annualized

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SFNNX vs. IVLU - Expense Ratio Comparison

SFNNX has a 0.25% expense ratio, which is lower than IVLU's 0.30% expense ratio.


Expense ratio chart for IVLU: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IVLU: 0.30%
Expense ratio chart for SFNNX: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SFNNX: 0.25%

Risk-Adjusted Performance

SFNNX vs. IVLU — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SFNNX
The Risk-Adjusted Performance Rank of SFNNX is 6767
Overall Rank
The Sharpe Ratio Rank of SFNNX is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of SFNNX is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SFNNX is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SFNNX is 8080
Calmar Ratio Rank
The Martin Ratio Rank of SFNNX is 6262
Martin Ratio Rank

IVLU
The Risk-Adjusted Performance Rank of IVLU is 7979
Overall Rank
The Sharpe Ratio Rank of IVLU is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of IVLU is 7878
Sortino Ratio Rank
The Omega Ratio Rank of IVLU is 7878
Omega Ratio Rank
The Calmar Ratio Rank of IVLU is 8484
Calmar Ratio Rank
The Martin Ratio Rank of IVLU is 7878
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SFNNX vs. IVLU - 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 Intl Value Factor ETF (IVLU). 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.


The chart of Sharpe ratio for SFNNX, currently valued at 0.65, compared to the broader market-1.000.001.002.003.00
SFNNX: 0.65
IVLU: 0.90
The chart of Sortino ratio for SFNNX, currently valued at 0.98, compared to the broader market-2.000.002.004.006.008.00
SFNNX: 0.98
IVLU: 1.35
The chart of Omega ratio for SFNNX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.00
SFNNX: 1.13
IVLU: 1.18
The chart of Calmar ratio for SFNNX, currently valued at 0.77, compared to the broader market0.002.004.006.008.0010.00
SFNNX: 0.77
IVLU: 1.05
The chart of Martin ratio for SFNNX, currently valued at 2.22, compared to the broader market0.0010.0020.0030.0040.0050.00
SFNNX: 2.22
IVLU: 3.65

The current SFNNX Sharpe Ratio is 0.65, which is comparable to the IVLU Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of SFNNX and IVLU, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.65
0.90
SFNNX
IVLU

Dividends

SFNNX vs. IVLU - Dividend Comparison

SFNNX's dividend yield for the trailing twelve months is around 3.25%, less than IVLU's 3.92% yield.


TTM20242023202220212020201920182017201620152014
SFNNX
Schwab Fundamental International Large Company Index Fund
3.25%3.61%3.27%2.92%3.81%2.43%3.68%3.51%2.70%3.20%2.91%3.60%
IVLU
iShares MSCI Intl Value Factor ETF
3.92%4.46%4.69%3.59%3.25%2.05%3.53%2.82%2.87%2.53%0.93%0.00%

Drawdowns

SFNNX vs. IVLU - Drawdown Comparison

The maximum SFNNX drawdown since its inception was -62.47%, which is greater than IVLU's maximum drawdown of -41.86%. Use the drawdown chart below to compare losses from any high point for SFNNX and IVLU. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.46%
-2.31%
SFNNX
IVLU

Volatility

SFNNX vs. IVLU - Volatility Comparison

The current volatility for Schwab Fundamental International Large Company Index Fund (SFNNX) is 10.38%, while iShares MSCI Intl Value Factor ETF (IVLU) has a volatility of 12.09%. This indicates that SFNNX experiences smaller price fluctuations and is considered to be less risky than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
10.38%
12.09%
SFNNX
IVLU