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SWSBX vs. GSSRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SWSBXGSSRX
YTD Return3.34%4.32%
1Y Return6.44%7.36%
3Y Return (Ann)0.51%1.45%
5Y Return (Ann)1.13%1.99%
Sharpe Ratio2.042.93
Sortino Ratio3.244.86
Omega Ratio1.411.67
Calmar Ratio1.132.05
Martin Ratio9.5218.57
Ulcer Index0.64%0.38%
Daily Std Dev2.99%2.43%
Max Drawdown-8.97%-8.53%
Current Drawdown-1.21%-0.68%

Correlation

-0.50.00.51.00.8

The correlation between SWSBX and GSSRX is 0.76, 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

SWSBX vs. GSSRX - Performance Comparison

In the year-to-date period, SWSBX achieves a 3.34% return, which is significantly lower than GSSRX's 4.32% 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%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.44%
3.57%
SWSBX
GSSRX

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SWSBX vs. GSSRX - Expense Ratio Comparison

SWSBX has a 0.06% expense ratio, which is lower than GSSRX's 0.48% expense ratio.


GSSRX
Goldman Sachs Short Duration Bond Fund
Expense ratio chart for GSSRX: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for SWSBX: 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

SWSBX vs. GSSRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Short-Term Bond Index Fund (SWSBX) and Goldman Sachs Short Duration Bond Fund (GSSRX). 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.


SWSBX
Sharpe ratio
The chart of Sharpe ratio for SWSBX, currently valued at 2.04, compared to the broader market0.002.004.002.04
Sortino ratio
The chart of Sortino ratio for SWSBX, currently valued at 3.24, compared to the broader market0.005.0010.003.24
Omega ratio
The chart of Omega ratio for SWSBX, currently valued at 1.41, compared to the broader market1.002.003.004.001.41
Calmar ratio
The chart of Calmar ratio for SWSBX, currently valued at 1.13, compared to the broader market0.005.0010.0015.0020.0025.001.13
Martin ratio
The chart of Martin ratio for SWSBX, currently valued at 9.52, compared to the broader market0.0020.0040.0060.0080.00100.009.52
GSSRX
Sharpe ratio
The chart of Sharpe ratio for GSSRX, currently valued at 2.93, compared to the broader market0.002.004.002.93
Sortino ratio
The chart of Sortino ratio for GSSRX, currently valued at 4.86, compared to the broader market0.005.0010.004.86
Omega ratio
The chart of Omega ratio for GSSRX, currently valued at 1.67, compared to the broader market1.002.003.004.001.67
Calmar ratio
The chart of Calmar ratio for GSSRX, currently valued at 2.05, compared to the broader market0.005.0010.0015.0020.0025.002.05
Martin ratio
The chart of Martin ratio for GSSRX, currently valued at 18.57, compared to the broader market0.0020.0040.0060.0080.00100.0018.57

SWSBX vs. GSSRX - Sharpe Ratio Comparison

The current SWSBX Sharpe Ratio is 2.04, which is lower than the GSSRX Sharpe Ratio of 2.93. The chart below compares the historical Sharpe Ratios of SWSBX and GSSRX, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.04
2.93
SWSBX
GSSRX

Dividends

SWSBX vs. GSSRX - Dividend Comparison

SWSBX's dividend yield for the trailing twelve months is around 3.89%, more than GSSRX's 3.81% yield.


TTM20232022202120202019201820172016201520142013
SWSBX
Schwab Short-Term Bond Index Fund
3.89%3.16%1.49%0.90%1.56%2.40%2.12%1.55%0.00%0.00%0.00%0.00%
GSSRX
Goldman Sachs Short Duration Bond Fund
3.81%3.15%2.18%1.36%2.16%2.86%2.55%2.21%2.08%2.43%1.61%1.44%

Drawdowns

SWSBX vs. GSSRX - Drawdown Comparison

The maximum SWSBX drawdown since its inception was -8.97%, which is greater than GSSRX's maximum drawdown of -8.53%. Use the drawdown chart below to compare losses from any high point for SWSBX and GSSRX. For additional features, visit the drawdowns tool.


-3.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.21%
-0.68%
SWSBX
GSSRX

Volatility

SWSBX vs. GSSRX - Volatility Comparison

Schwab Short-Term Bond Index Fund (SWSBX) has a higher volatility of 0.76% compared to Goldman Sachs Short Duration Bond Fund (GSSRX) at 0.59%. This indicates that SWSBX's price experiences larger fluctuations and is considered to be riskier than GSSRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%JuneJulyAugustSeptemberOctoberNovember
0.76%
0.59%
SWSBX
GSSRX