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

Correlation

The correlation between SWMCX and IVOO is 0.96, 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.


-0.50.00.51.01.0

Performance

SWMCX vs. IVOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab U.S. Mid-Cap Index Fund (SWMCX) and Vanguard S&P Mid-Cap 400 ETF (IVOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
7.55%
7.18%
SWMCX
IVOO

Key characteristics

Sharpe Ratio

SWMCX:

1.06

IVOO:

0.92

Sortino Ratio

SWMCX:

1.49

IVOO:

1.37

Omega Ratio

SWMCX:

1.19

IVOO:

1.17

Calmar Ratio

SWMCX:

1.46

IVOO:

1.73

Martin Ratio

SWMCX:

5.37

IVOO:

4.85

Ulcer Index

SWMCX:

2.68%

IVOO:

3.02%

Daily Std Dev

SWMCX:

13.60%

IVOO:

15.96%

Max Drawdown

SWMCX:

-40.34%

IVOO:

-42.33%

Current Drawdown

SWMCX:

-8.48%

IVOO:

-7.50%

Returns By Period

In the year-to-date period, SWMCX achieves a 13.61% return, which is significantly lower than IVOO's 14.35% return.


SWMCX

YTD

13.61%

1M

-7.55%

6M

7.55%

1Y

13.98%

5Y*

9.61%

10Y*

N/A

IVOO

YTD

14.35%

1M

-5.94%

6M

7.18%

1Y

14.16%

5Y*

10.38%

10Y*

9.53%

Compare stocks, funds, or ETFs

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


SWMCX vs. IVOO - Expense Ratio Comparison

SWMCX has a 0.04% expense ratio, which is lower than IVOO's 0.10% 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%.


IVOO
Vanguard S&P Mid-Cap 400 ETF
Expense ratio chart for IVOO: 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%
Expense ratio chart for SWMCX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SWMCX vs. IVOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. Mid-Cap Index Fund (SWMCX) and Vanguard S&P Mid-Cap 400 ETF (IVOO). 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 SWMCX, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.001.060.92
The chart of Sortino ratio for SWMCX, currently valued at 1.49, compared to the broader market-2.000.002.004.006.008.0010.001.491.37
The chart of Omega ratio for SWMCX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.191.17
The chart of Calmar ratio for SWMCX, currently valued at 1.46, compared to the broader market0.002.004.006.008.0010.0012.0014.001.461.73
The chart of Martin ratio for SWMCX, currently valued at 5.37, compared to the broader market0.0020.0040.0060.005.374.85
SWMCX
IVOO

The current SWMCX Sharpe Ratio is 1.06, which is comparable to the IVOO Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of SWMCX and IVOO, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.06
0.92
SWMCX
IVOO

Dividends

SWMCX vs. IVOO - Dividend Comparison

SWMCX has not paid dividends to shareholders, while IVOO's dividend yield for the trailing twelve months is around 1.47%.


TTM20232022202120202019201820172016201520142013
SWMCX
Schwab U.S. Mid-Cap Index Fund
0.00%1.49%1.50%1.00%1.45%1.40%1.17%0.00%0.00%0.00%0.00%0.00%
IVOO
Vanguard S&P Mid-Cap 400 ETF
1.47%1.25%1.58%1.14%1.23%1.49%1.56%1.22%1.37%1.45%1.26%0.92%

Drawdowns

SWMCX vs. IVOO - Drawdown Comparison

The maximum SWMCX drawdown since its inception was -40.34%, roughly equal to the maximum IVOO drawdown of -42.33%. Use the drawdown chart below to compare losses from any high point for SWMCX and IVOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.48%
-7.50%
SWMCX
IVOO

Volatility

SWMCX vs. IVOO - Volatility Comparison

Schwab U.S. Mid-Cap Index Fund (SWMCX) has a higher volatility of 5.38% compared to Vanguard S&P Mid-Cap 400 ETF (IVOO) at 5.07%. This indicates that SWMCX's price experiences larger fluctuations and is considered to be riskier than IVOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.38%
5.07%
SWMCX
IVOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab