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SWDRX vs. SWPPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SWDRXSWPPX
YTD Return11.12%23.21%
1Y Return24.82%40.57%
3Y Return (Ann)2.74%9.76%
5Y Return (Ann)7.39%15.50%
10Y Return (Ann)6.77%13.18%
Sharpe Ratio3.053.41
Sortino Ratio4.354.49
Omega Ratio1.651.64
Calmar Ratio1.744.16
Martin Ratio21.2622.41
Ulcer Index1.19%1.85%
Daily Std Dev8.29%12.18%
Max Drawdown-45.34%-55.06%
Current Drawdown-1.32%-0.86%

Correlation

-0.50.00.51.00.9

The correlation between SWDRX and SWPPX is 0.95, 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

SWDRX vs. SWPPX - Performance Comparison

In the year-to-date period, SWDRX achieves a 11.12% return, which is significantly lower than SWPPX's 23.21% return. Over the past 10 years, SWDRX has underperformed SWPPX with an annualized return of 6.77%, while SWPPX has yielded a comparatively higher 13.18% 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%JuneJulyAugustSeptemberOctober
8.66%
15.56%
SWDRX
SWPPX

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SWDRX vs. SWPPX - Expense Ratio Comparison

SWDRX has a 0.00% expense ratio, which is lower than SWPPX's 0.02% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SWPPX
Schwab S&P 500 Index Fund
Expense ratio chart for SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%
Expense ratio chart for SWDRX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

SWDRX vs. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Target 2030 Fund (SWDRX) and Schwab S&P 500 Index Fund (SWPPX). 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.


SWDRX
Sharpe ratio
The chart of Sharpe ratio for SWDRX, currently valued at 3.05, compared to the broader market-2.000.002.004.003.05
Sortino ratio
The chart of Sortino ratio for SWDRX, currently valued at 4.35, compared to the broader market0.005.0010.004.35
Omega ratio
The chart of Omega ratio for SWDRX, currently valued at 1.65, compared to the broader market1.002.003.004.001.65
Calmar ratio
The chart of Calmar ratio for SWDRX, currently valued at 1.74, compared to the broader market0.005.0010.0015.0020.001.74
Martin ratio
The chart of Martin ratio for SWDRX, currently valued at 21.26, compared to the broader market0.0020.0040.0060.0080.0021.26
SWPPX
Sharpe ratio
The chart of Sharpe ratio for SWPPX, currently valued at 3.41, compared to the broader market-2.000.002.004.003.41
Sortino ratio
The chart of Sortino ratio for SWPPX, currently valued at 4.49, compared to the broader market0.005.0010.004.49
Omega ratio
The chart of Omega ratio for SWPPX, currently valued at 1.64, compared to the broader market1.002.003.004.001.64
Calmar ratio
The chart of Calmar ratio for SWPPX, currently valued at 4.16, compared to the broader market0.005.0010.0015.0020.004.16
Martin ratio
The chart of Martin ratio for SWPPX, currently valued at 22.41, compared to the broader market0.0020.0040.0060.0080.0022.41

SWDRX vs. SWPPX - Sharpe Ratio Comparison

The current SWDRX Sharpe Ratio is 3.05, which is comparable to the SWPPX Sharpe Ratio of 3.41. The chart below compares the historical Sharpe Ratios of SWDRX and SWPPX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctober
3.05
3.41
SWDRX
SWPPX

Dividends

SWDRX vs. SWPPX - Dividend Comparison

SWDRX's dividend yield for the trailing twelve months is around 3.86%, more than SWPPX's 1.16% yield.


TTM20232022202120202019201820172016201520142013
SWDRX
Schwab Target 2030 Fund
3.86%4.28%6.77%6.92%3.23%6.60%7.03%4.86%5.87%9.35%3.64%1.70%
SWPPX
Schwab S&P 500 Index Fund
1.16%1.43%1.67%1.27%1.81%1.95%2.66%1.78%2.55%3.17%1.80%1.67%

Drawdowns

SWDRX vs. SWPPX - Drawdown Comparison

The maximum SWDRX drawdown since its inception was -45.34%, smaller than the maximum SWPPX drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for SWDRX and SWPPX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-1.32%
-0.86%
SWDRX
SWPPX

Volatility

SWDRX vs. SWPPX - Volatility Comparison

The current volatility for Schwab Target 2030 Fund (SWDRX) is 1.67%, while Schwab S&P 500 Index Fund (SWPPX) has a volatility of 2.53%. This indicates that SWDRX experiences smaller price fluctuations and is considered to be less risky than SWPPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
1.67%
2.53%
SWDRX
SWPPX