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

Performance

SFSNX vs. VBR - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.73%
11.59%
SFSNX
VBR

Returns By Period

In the year-to-date period, SFSNX achieves a 12.94% return, which is significantly lower than VBR's 17.18% return. Both investments have delivered pretty close results over the past 10 years, with SFSNX having a 9.23% annualized return and VBR not far ahead at 9.33%.


SFSNX

YTD

12.94%

1M

3.72%

6M

10.73%

1Y

27.39%

5Y (annualized)

11.36%

10Y (annualized)

9.23%

VBR

YTD

17.18%

1M

2.89%

6M

11.59%

1Y

30.82%

5Y (annualized)

11.73%

10Y (annualized)

9.33%

Key characteristics


SFSNXVBR
Sharpe Ratio1.401.79
Sortino Ratio2.062.56
Omega Ratio1.251.32
Calmar Ratio2.163.41
Martin Ratio7.839.97
Ulcer Index3.34%2.98%
Daily Std Dev18.64%16.60%
Max Drawdown-62.68%-62.01%
Current Drawdown-3.26%-2.87%

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SFSNX vs. VBR - Expense Ratio Comparison

SFSNX has a 0.25% expense ratio, which is higher than VBR's 0.07% 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 VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.01.0

The correlation between SFSNX and VBR is 0.98, 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. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental US Small Company Index Fund (SFSNX) and Vanguard Small-Cap Value ETF (VBR). 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 1.40, compared to the broader market-1.000.001.002.003.004.005.001.401.79
The chart of Sortino ratio for SFSNX, currently valued at 2.06, compared to the broader market0.005.0010.002.062.56
The chart of Omega ratio for SFSNX, currently valued at 1.25, compared to the broader market1.002.003.004.001.251.32
The chart of Calmar ratio for SFSNX, currently valued at 2.16, compared to the broader market0.005.0010.0015.0020.0025.002.163.41
The chart of Martin ratio for SFSNX, currently valued at 7.83, compared to the broader market0.0020.0040.0060.0080.00100.007.839.97
SFSNX
VBR

The current SFSNX Sharpe Ratio is 1.40, which is comparable to the VBR Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of SFSNX and VBR, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.40
1.79
SFSNX
VBR

Dividends

SFSNX vs. VBR - Dividend Comparison

SFSNX's dividend yield for the trailing twelve months is around 1.22%, less than VBR's 1.92% 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%
VBR
Vanguard Small-Cap Value ETF
1.92%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

SFSNX vs. VBR - Drawdown Comparison

The maximum SFSNX drawdown since its inception was -62.68%, roughly equal to the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for SFSNX and VBR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.26%
-2.87%
SFSNX
VBR

Volatility

SFSNX vs. VBR - Volatility Comparison

Schwab Fundamental US Small Company Index Fund (SFSNX) has a higher volatility of 6.36% compared to Vanguard Small-Cap Value ETF (VBR) at 5.58%. This indicates that SFSNX's price experiences larger fluctuations and is considered to be riskier than VBR 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%JuneJulyAugustSeptemberOctoberNovember
6.36%
5.58%
SFSNX
VBR