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

Key characteristics


SFSNXVOO
YTD Return15.18%26.88%
1Y Return35.95%37.59%
3Y Return (Ann)4.66%10.23%
5Y Return (Ann)11.62%15.93%
10Y Return (Ann)9.50%13.41%
Sharpe Ratio1.843.06
Sortino Ratio2.674.08
Omega Ratio1.331.58
Calmar Ratio2.224.43
Martin Ratio10.7420.25
Ulcer Index3.30%1.85%
Daily Std Dev19.32%12.23%
Max Drawdown-62.68%-33.99%
Current Drawdown-1.35%-0.30%

Correlation

-0.50.00.51.00.8

The correlation between SFSNX and VOO is 0.84, 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.

Performance

SFSNX vs. VOO - Performance Comparison

In the year-to-date period, SFSNX achieves a 15.18% return, which is significantly lower than VOO's 26.88% return. Over the past 10 years, SFSNX has underperformed VOO with an annualized return of 9.50%, while VOO has yielded a comparatively higher 13.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.08%
13.46%
SFSNX
VOO

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SFSNX vs. VOO - Expense Ratio Comparison

SFSNX has a 0.25% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SFSNX vs. VOO - 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 S&P 500 ETF (VOO). 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.


SFSNX
Sharpe ratio
The chart of Sharpe ratio for SFSNX, currently valued at 1.84, compared to the broader market0.002.004.001.84
Sortino ratio
The chart of Sortino ratio for SFSNX, currently valued at 2.67, compared to the broader market0.005.0010.002.67
Omega ratio
The chart of Omega ratio for SFSNX, currently valued at 1.33, compared to the broader market1.002.003.004.001.33
Calmar ratio
The chart of Calmar ratio for SFSNX, currently valued at 2.22, compared to the broader market0.005.0010.0015.0020.0025.002.22
Martin ratio
The chart of Martin ratio for SFSNX, currently valued at 10.74, compared to the broader market0.0020.0040.0060.0080.00100.0010.74
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.43, compared to the broader market0.005.0010.0015.0020.0025.004.43
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.25, compared to the broader market0.0020.0040.0060.0080.00100.0020.25

SFSNX vs. VOO - Sharpe Ratio Comparison

The current SFSNX Sharpe Ratio is 1.84, which is lower than the VOO Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of SFSNX and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.84
3.06
SFSNX
VOO

Dividends

SFSNX vs. VOO - Dividend Comparison

SFSNX's dividend yield for the trailing twelve months is around 1.19%, less than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
SFSNX
Schwab Fundamental US Small Company Index Fund
1.19%1.37%1.22%1.35%1.42%1.41%1.91%1.42%1.22%1.58%1.22%0.90%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SFSNX vs. VOO - Drawdown Comparison

The maximum SFSNX drawdown since its inception was -62.68%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SFSNX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.35%
-0.30%
SFSNX
VOO

Volatility

SFSNX vs. VOO - Volatility Comparison

Schwab Fundamental US Small Company Index Fund (SFSNX) has a higher volatility of 6.51% compared to Vanguard S&P 500 ETF (VOO) at 3.89%. This indicates that SFSNX's price experiences larger fluctuations and is considered to be riskier than VOO 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
6.51%
3.89%
SFSNX
VOO