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

Performance

SFNNX vs. VTIAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental International Large Company Index Fund (SFNNX) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-3.01%
-0.61%
SFNNX
VTIAX

Returns By Period

In the year-to-date period, SFNNX achieves a 4.48% return, which is significantly lower than VTIAX's 6.71% return. Over the past 10 years, SFNNX has outperformed VTIAX with an annualized return of 5.43%, while VTIAX has yielded a comparatively lower 4.80% annualized return.


SFNNX

YTD

4.48%

1M

-4.36%

6M

-3.01%

1Y

9.94%

5Y (annualized)

7.32%

10Y (annualized)

5.43%

VTIAX

YTD

6.71%

1M

-4.66%

6M

-0.61%

1Y

12.48%

5Y (annualized)

5.54%

10Y (annualized)

4.80%

Key characteristics


SFNNXVTIAX
Sharpe Ratio0.821.09
Sortino Ratio1.171.56
Omega Ratio1.151.19
Calmar Ratio1.231.18
Martin Ratio3.845.49
Ulcer Index2.67%2.41%
Daily Std Dev12.57%12.06%
Max Drawdown-62.39%-35.83%
Current Drawdown-7.35%-6.78%

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SFNNX vs. VTIAX - Expense Ratio Comparison

SFNNX has a 0.25% expense ratio, which is higher than VTIAX's 0.11% 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%.


SFNNX
Schwab Fundamental International Large Company Index Fund
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%
Expense ratio chart for VTIAX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Correlation

-0.50.00.51.01.0

The correlation between SFNNX and VTIAX is 0.96, 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. VTIAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental International Large Company Index Fund (SFNNX) and Vanguard Total International Stock Index Fund Admiral Shares (VTIAX). 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 market0.002.004.000.821.09
The chart of Sortino ratio for SFNNX, currently valued at 1.17, compared to the broader market0.005.0010.001.171.56
The chart of Omega ratio for SFNNX, currently valued at 1.15, compared to the broader market1.002.003.004.001.151.19
The chart of Calmar ratio for SFNNX, currently valued at 1.23, compared to the broader market0.005.0010.0015.0020.0025.001.231.18
The chart of Martin ratio for SFNNX, currently valued at 3.84, compared to the broader market0.0020.0040.0060.0080.00100.003.845.49
SFNNX
VTIAX

The current SFNNX Sharpe Ratio is 0.82, which is comparable to the VTIAX Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of SFNNX and VTIAX, 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
1.09
SFNNX
VTIAX

Dividends

SFNNX vs. VTIAX - Dividend Comparison

SFNNX's dividend yield for the trailing twelve months is around 3.13%, more than VTIAX's 2.97% 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%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
2.97%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

SFNNX vs. VTIAX - Drawdown Comparison

The maximum SFNNX drawdown since its inception was -62.39%, which is greater than VTIAX's maximum drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for SFNNX and VTIAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.35%
-6.78%
SFNNX
VTIAX

Volatility

SFNNX vs. VTIAX - Volatility Comparison

Schwab Fundamental International Large Company Index Fund (SFNNX) has a higher volatility of 3.88% compared to Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) at 3.55%. This indicates that SFNNX's price experiences larger fluctuations and is considered to be riskier than VTIAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.88%
3.55%
SFNNX
VTIAX