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SFSNX vs. SFLNX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SFSNX vs. SFLNX - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.37%
14.33%
SFSNX
SFLNX

Returns By Period

In the year-to-date period, SFSNX achieves a 18.50% return, which is significantly lower than SFLNX's 22.95% return. Over the past 10 years, SFSNX has underperformed SFLNX with an annualized return of 9.75%, while SFLNX has yielded a comparatively higher 11.91% annualized return.


SFSNX

YTD

18.50%

1M

10.17%

6M

17.37%

1Y

32.69%

5Y (annualized)

11.93%

10Y (annualized)

9.75%

SFLNX

YTD

22.95%

1M

5.07%

6M

14.33%

1Y

30.79%

5Y (annualized)

14.84%

10Y (annualized)

11.91%

Key characteristics


SFSNXSFLNX
Sharpe Ratio1.742.76
Sortino Ratio2.503.77
Omega Ratio1.311.51
Calmar Ratio2.794.78
Martin Ratio9.7917.99
Ulcer Index3.34%1.71%
Daily Std Dev18.74%11.14%
Max Drawdown-62.68%-60.01%
Current Drawdown0.00%0.00%

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SFSNX vs. SFLNX - Expense Ratio Comparison

Both SFSNX and SFLNX have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 SFLNX: 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

The correlation between SFSNX and SFLNX is 0.91, 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.


-0.50.00.51.00.9

Risk-Adjusted Performance

SFSNX vs. SFLNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental US Small Company Index Fund (SFSNX) and Schwab Fundamental US Large Company Index Fund (SFLNX). 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 1.74, compared to the broader market-1.000.001.002.003.004.005.001.742.76
The chart of Sortino ratio for SFSNX, currently valued at 2.50, compared to the broader market0.005.0010.002.503.77
The chart of Omega ratio for SFSNX, currently valued at 1.31, compared to the broader market1.002.003.004.001.311.51
The chart of Calmar ratio for SFSNX, currently valued at 2.79, compared to the broader market0.005.0010.0015.0020.002.794.78
The chart of Martin ratio for SFSNX, currently valued at 9.79, compared to the broader market0.0020.0040.0060.0080.009.7917.99
SFSNX
SFLNX

The current SFSNX Sharpe Ratio is 1.74, which is lower than the SFLNX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of SFSNX and SFLNX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.74
2.76
SFSNX
SFLNX

Dividends

SFSNX vs. SFLNX - Dividend Comparison

SFSNX's dividend yield for the trailing twelve months is around 1.16%, less than SFLNX's 1.51% yield.


TTM20232022202120202019201820172016201520142013
SFSNX
Schwab Fundamental US Small Company Index Fund
1.16%1.37%1.22%1.35%1.42%1.41%1.91%1.42%1.22%1.58%1.22%0.90%
SFLNX
Schwab Fundamental US Large Company Index Fund
1.51%1.86%2.09%1.74%2.43%2.39%2.86%2.10%2.25%2.42%1.73%1.51%

Drawdowns

SFSNX vs. SFLNX - Drawdown Comparison

The maximum SFSNX drawdown since its inception was -62.68%, roughly equal to the maximum SFLNX drawdown of -60.01%. Use the drawdown chart below to compare losses from any high point for SFSNX and SFLNX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
SFSNX
SFLNX

Volatility

SFSNX vs. SFLNX - Volatility Comparison

Schwab Fundamental US Small Company Index Fund (SFSNX) has a higher volatility of 6.58% compared to Schwab Fundamental US Large Company Index Fund (SFLNX) at 3.95%. This indicates that SFSNX's price experiences larger fluctuations and is considered to be riskier than SFLNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.58%
3.95%
SFSNX
SFLNX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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