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

Performance

SFSNX vs. IWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental US Small Company Index Fund (SFSNX) and iShares Russell 2000 Growth ETF (IWO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.70%
12.38%
SFSNX
IWO

Returns By Period

In the year-to-date period, SFSNX achieves a 12.82% return, which is significantly lower than IWO's 19.01% return. Both investments have delivered pretty close results over the past 10 years, with SFSNX having a 9.22% annualized return and IWO not far behind at 8.86%.


SFSNX

YTD

12.82%

1M

2.02%

6M

9.70%

1Y

25.99%

5Y (annualized)

11.41%

10Y (annualized)

9.22%

IWO

YTD

19.01%

1M

2.83%

6M

12.38%

1Y

33.54%

5Y (annualized)

8.70%

10Y (annualized)

8.86%

Key characteristics


SFSNXIWO
Sharpe Ratio1.421.62
Sortino Ratio2.092.29
Omega Ratio1.251.27
Calmar Ratio2.191.05
Martin Ratio7.958.47
Ulcer Index3.33%4.08%
Daily Std Dev18.64%21.39%
Max Drawdown-62.68%-60.10%
Current Drawdown-3.37%-9.17%

Compare stocks, funds, or ETFs

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


SFSNX vs. IWO - Expense Ratio Comparison

SFSNX has a 0.25% expense ratio, which is higher than IWO's 0.24% 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%.


SFSNX
Schwab Fundamental US Small Company Index Fund
Expense ratio chart for SFSNX: 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 IWO: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Correlation

-0.50.00.51.00.9

The correlation between SFSNX and IWO 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

SFSNX vs. IWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental US Small Company Index Fund (SFSNX) and iShares Russell 2000 Growth ETF (IWO). 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 SFSNX, currently valued at 1.42, compared to the broader market0.002.004.001.421.62
The chart of Sortino ratio for SFSNX, currently valued at 2.09, compared to the broader market0.005.0010.002.092.29
The chart of Omega ratio for SFSNX, currently valued at 1.25, compared to the broader market1.002.003.004.001.251.27
The chart of Calmar ratio for SFSNX, currently valued at 2.19, compared to the broader market0.005.0010.0015.0020.0025.002.191.05
The chart of Martin ratio for SFSNX, currently valued at 7.95, compared to the broader market0.0020.0040.0060.0080.00100.007.958.47
SFSNX
IWO

The current SFSNX Sharpe Ratio is 1.42, which is comparable to the IWO Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of SFSNX and IWO, 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
1.42
1.62
SFSNX
IWO

Dividends

SFSNX vs. IWO - Dividend Comparison

SFSNX's dividend yield for the trailing twelve months is around 1.22%, more than IWO's 0.61% yield.


TTM20232022202120202019201820172016201520142013
SFSNX
Schwab Fundamental US Small Company Index Fund
1.22%1.37%1.22%1.35%1.42%1.41%1.91%1.42%1.22%1.58%1.22%0.90%
IWO
iShares Russell 2000 Growth ETF
0.61%0.73%0.75%0.32%0.44%0.71%0.76%0.73%0.97%0.89%0.73%0.72%

Drawdowns

SFSNX vs. IWO - Drawdown Comparison

The maximum SFSNX drawdown since its inception was -62.68%, roughly equal to the maximum IWO drawdown of -60.10%. Use the drawdown chart below to compare losses from any high point for SFSNX and IWO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.37%
-9.17%
SFSNX
IWO

Volatility

SFSNX vs. IWO - Volatility Comparison

The current volatility for Schwab Fundamental US Small Company Index Fund (SFSNX) is 6.40%, while iShares Russell 2000 Growth ETF (IWO) has a volatility of 7.57%. This indicates that SFSNX experiences smaller price fluctuations and is considered to be less risky than IWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.40%
7.57%
SFSNX
IWO