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

Key characteristics


SWISXSCHF
YTD Return4.08%4.44%
1Y Return12.16%12.60%
3Y Return (Ann)1.49%1.37%
5Y Return (Ann)5.47%6.44%
10Y Return (Ann)4.96%6.08%
Sharpe Ratio0.930.98
Sortino Ratio1.351.41
Omega Ratio1.161.17
Calmar Ratio1.351.44
Martin Ratio4.444.88
Ulcer Index2.70%2.56%
Daily Std Dev12.91%12.71%
Max Drawdown-60.65%-34.64%
Current Drawdown-8.92%-7.97%

Correlation

-0.50.00.51.01.0

The correlation between SWISX and SCHF 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.

Performance

SWISX vs. SCHF - Performance Comparison

In the year-to-date period, SWISX achieves a 4.08% return, which is significantly lower than SCHF's 4.44% return. Over the past 10 years, SWISX has underperformed SCHF with an annualized return of 4.96%, while SCHF has yielded a comparatively higher 6.08% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


120.00%130.00%140.00%150.00%160.00%170.00%180.00%190.00%JuneJulyAugustSeptemberOctoberNovember
125.62%
164.52%
SWISX
SCHF

Compare stocks, funds, or ETFs

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


SWISX vs. SCHF - Expense Ratio Comparison

Both SWISX and SCHF have an expense ratio of 0.06%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SWISX
Schwab International Index Fund
Expense ratio chart for SWISX: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for SCHF: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

SWISX vs. SCHF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab International Index Fund (SWISX) and Schwab International Equity ETF (SCHF). 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.


SWISX
Sharpe ratio
The chart of Sharpe ratio for SWISX, currently valued at 0.93, compared to the broader market0.002.004.000.93
Sortino ratio
The chart of Sortino ratio for SWISX, currently valued at 1.35, compared to the broader market0.005.0010.001.35
Omega ratio
The chart of Omega ratio for SWISX, currently valued at 1.16, compared to the broader market1.002.003.004.001.16
Calmar ratio
The chart of Calmar ratio for SWISX, currently valued at 1.34, compared to the broader market0.005.0010.0015.0020.0025.001.35
Martin ratio
The chart of Martin ratio for SWISX, currently valued at 4.44, compared to the broader market0.0020.0040.0060.0080.00100.004.44
SCHF
Sharpe ratio
The chart of Sharpe ratio for SCHF, currently valued at 0.98, compared to the broader market0.002.004.000.98
Sortino ratio
The chart of Sortino ratio for SCHF, currently valued at 1.41, compared to the broader market0.005.0010.001.41
Omega ratio
The chart of Omega ratio for SCHF, currently valued at 1.17, compared to the broader market1.002.003.004.001.17
Calmar ratio
The chart of Calmar ratio for SCHF, currently valued at 1.44, compared to the broader market0.005.0010.0015.0020.0025.001.44
Martin ratio
The chart of Martin ratio for SCHF, currently valued at 4.88, compared to the broader market0.0020.0040.0060.0080.00100.004.88

SWISX vs. SCHF - Sharpe Ratio Comparison

The current SWISX Sharpe Ratio is 0.93, which is comparable to the SCHF Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of SWISX and SCHF, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.93
0.98
SWISX
SCHF

Dividends

SWISX vs. SCHF - Dividend Comparison

SWISX's dividend yield for the trailing twelve months is around 3.18%, less than SCHF's 4.63% yield.


TTM20232022202120202019201820172016201520142013
SWISX
Schwab International Index Fund
3.18%3.31%2.73%3.34%1.88%3.09%3.15%2.71%3.19%2.71%3.37%2.54%
SCHF
Schwab International Equity ETF
4.63%4.87%5.61%6.39%2.08%2.95%6.12%4.70%2.58%4.51%5.80%4.42%

Drawdowns

SWISX vs. SCHF - Drawdown Comparison

The maximum SWISX drawdown since its inception was -60.65%, which is greater than SCHF's maximum drawdown of -34.64%. Use the drawdown chart below to compare losses from any high point for SWISX and SCHF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.92%
-7.97%
SWISX
SCHF

Volatility

SWISX vs. SCHF - Volatility Comparison

Schwab International Index Fund (SWISX) and Schwab International Equity ETF (SCHF) have volatilities of 3.84% and 3.81%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.84%
3.81%
SWISX
SCHF