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

Key characteristics


SICNXVITAX
YTD Return11.96%25.00%
1Y Return27.11%48.55%
3Y Return (Ann)4.83%12.39%
5Y Return (Ann)6.63%22.68%
10Y Return (Ann)5.02%20.82%
Sharpe Ratio2.142.38
Sortino Ratio2.982.98
Omega Ratio1.381.41
Calmar Ratio2.363.26
Martin Ratio12.1511.82
Ulcer Index2.24%4.20%
Daily Std Dev12.75%20.89%
Max Drawdown-55.95%-54.81%
Current Drawdown-5.14%-1.41%

Correlation

-0.50.00.51.00.7

The correlation between SICNX and VITAX is 0.71, 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

SICNX vs. VITAX - Performance Comparison

In the year-to-date period, SICNX achieves a 11.96% return, which is significantly lower than VITAX's 25.00% return. Over the past 10 years, SICNX has underperformed VITAX with an annualized return of 5.02%, while VITAX has yielded a comparatively higher 20.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctober
6.10%
23.46%
SICNX
VITAX

Compare stocks, funds, or ETFs

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


SICNX vs. VITAX - Expense Ratio Comparison

SICNX has a 0.86% expense ratio, which is higher than VITAX's 0.10% expense ratio.


SICNX
Schwab International Core Equity Fund
Expense ratio chart for SICNX: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
Expense ratio chart for VITAX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

SICNX vs. VITAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab International Core Equity Fund (SICNX) and Vanguard Information Technology Index Fund Admiral Shares (VITAX). 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.


SICNX
Sharpe ratio
The chart of Sharpe ratio for SICNX, currently valued at 2.14, compared to the broader market-2.000.002.004.002.14
Sortino ratio
The chart of Sortino ratio for SICNX, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for SICNX, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for SICNX, currently valued at 2.36, compared to the broader market0.005.0010.0015.0020.002.36
Martin ratio
The chart of Martin ratio for SICNX, currently valued at 12.15, compared to the broader market0.0020.0040.0060.0080.0012.15
VITAX
Sharpe ratio
The chart of Sharpe ratio for VITAX, currently valued at 2.38, compared to the broader market-2.000.002.004.002.38
Sortino ratio
The chart of Sortino ratio for VITAX, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for VITAX, currently valued at 1.41, compared to the broader market1.002.003.004.001.41
Calmar ratio
The chart of Calmar ratio for VITAX, currently valued at 3.26, compared to the broader market0.005.0010.0015.0020.003.26
Martin ratio
The chart of Martin ratio for VITAX, currently valued at 11.82, compared to the broader market0.0020.0040.0060.0080.0011.82

SICNX vs. VITAX - Sharpe Ratio Comparison

The current SICNX Sharpe Ratio is 2.14, which is comparable to the VITAX Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of SICNX and VITAX, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctober
2.14
2.38
SICNX
VITAX

Dividends

SICNX vs. VITAX - Dividend Comparison

SICNX's dividend yield for the trailing twelve months is around 2.38%, more than VITAX's 0.62% yield.


TTM20232022202120202019201820172016201520142013
SICNX
Schwab International Core Equity Fund
2.38%2.67%3.42%2.86%1.03%3.56%2.86%2.61%2.50%2.04%3.70%2.61%
VITAX
Vanguard Information Technology Index Fund Admiral Shares
0.62%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.04%

Drawdowns

SICNX vs. VITAX - Drawdown Comparison

The maximum SICNX drawdown since its inception was -55.95%, roughly equal to the maximum VITAX drawdown of -54.81%. Use the drawdown chart below to compare losses from any high point for SICNX and VITAX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-5.14%
-1.41%
SICNX
VITAX

Volatility

SICNX vs. VITAX - Volatility Comparison

The current volatility for Schwab International Core Equity Fund (SICNX) is 2.92%, while Vanguard Information Technology Index Fund Admiral Shares (VITAX) has a volatility of 4.33%. This indicates that SICNX experiences smaller price fluctuations and is considered to be less risky than VITAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctober
2.92%
4.33%
SICNX
VITAX