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SPY vs. SWPRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPY vs. SWPRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 ETF (SPY) and Schwab Target 2060 Fund (SWPRX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.98%
7.50%
SPY
SWPRX

Returns By Period

In the year-to-date period, SPY achieves a 25.41% return, which is significantly higher than SWPRX's 15.80% return.


SPY

YTD

25.41%

1M

1.18%

6M

12.15%

1Y

32.04%

5Y (annualized)

15.51%

10Y (annualized)

13.07%

SWPRX

YTD

15.80%

1M

-0.49%

6M

6.72%

1Y

23.40%

5Y (annualized)

9.82%

10Y (annualized)

N/A

Key characteristics


SPYSWPRX
Sharpe Ratio2.621.98
Sortino Ratio3.502.63
Omega Ratio1.491.39
Calmar Ratio3.782.25
Martin Ratio17.0012.95
Ulcer Index1.87%1.77%
Daily Std Dev12.14%11.58%
Max Drawdown-55.19%-34.43%
Current Drawdown-1.38%-1.94%

Compare stocks, funds, or ETFs

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SPY vs. SWPRX - Expense Ratio Comparison

SPY has a 0.09% expense ratio, which is higher than SWPRX's 0.00% 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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for SWPRX: 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%

Correlation

-0.50.00.51.00.9

The correlation between SPY and SWPRX is 0.93, 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.

Risk-Adjusted Performance

SPY vs. SWPRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 ETF (SPY) and Schwab Target 2060 Fund (SWPRX). 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 SPY, currently valued at 2.62, compared to the broader market0.002.004.002.621.98
The chart of Sortino ratio for SPY, currently valued at 3.50, compared to the broader market-2.000.002.004.006.008.0010.0012.003.502.63
The chart of Omega ratio for SPY, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.39
The chart of Calmar ratio for SPY, currently valued at 3.78, compared to the broader market0.005.0010.0015.003.782.25
The chart of Martin ratio for SPY, currently valued at 17.00, compared to the broader market0.0020.0040.0060.0080.00100.0017.0012.95
SPY
SWPRX

The current SPY Sharpe Ratio is 2.62, which is higher than the SWPRX Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of SPY and SWPRX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.62
1.98
SPY
SWPRX

Dividends

SPY vs. SWPRX - Dividend Comparison

SPY's dividend yield for the trailing twelve months is around 1.19%, less than SWPRX's 1.59% yield.


TTM20232022202120202019201820172016201520142013
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
SWPRX
Schwab Target 2060 Fund
1.59%1.84%1.65%2.93%0.94%1.82%2.58%2.42%1.11%0.00%0.00%0.00%

Drawdowns

SPY vs. SWPRX - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, which is greater than SWPRX's maximum drawdown of -34.43%. Use the drawdown chart below to compare losses from any high point for SPY and SWPRX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.38%
-1.94%
SPY
SWPRX

Volatility

SPY vs. SWPRX - Volatility Comparison

SPDR S&P 500 ETF (SPY) has a higher volatility of 4.09% compared to Schwab Target 2060 Fund (SWPRX) at 2.97%. This indicates that SPY's price experiences larger fluctuations and is considered to be riskier than SWPRX 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%JuneJulyAugustSeptemberOctoberNovember
4.09%
2.97%
SPY
SWPRX