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

Key characteristics


SWSBXSWRSX
YTD Return3.01%2.61%
1Y Return6.00%6.75%
3Y Return (Ann)0.51%-2.58%
5Y Return (Ann)1.02%1.85%
Sharpe Ratio2.051.31
Sortino Ratio3.271.96
Omega Ratio1.411.24
Calmar Ratio1.160.49
Martin Ratio9.356.12
Ulcer Index0.65%1.08%
Daily Std Dev2.99%5.05%
Max Drawdown-8.97%-15.14%
Current Drawdown-1.52%-7.74%

Correlation

-0.50.00.51.00.6

The correlation between SWSBX and SWRSX is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SWSBX vs. SWRSX - Performance Comparison

In the year-to-date period, SWSBX achieves a 3.01% return, which is significantly higher than SWRSX's 2.61% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.68%
2.40%
SWSBX
SWRSX

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SWSBX vs. SWRSX - Expense Ratio Comparison

SWSBX has a 0.06% expense ratio, which is higher than SWRSX's 0.05% 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%.


SWSBX
Schwab Short-Term Bond Index Fund
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%
Expense ratio chart for SWRSX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

SWSBX vs. SWRSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Short-Term Bond Index Fund (SWSBX) and Schwab Treasury Inflation Protected Securities Index Fund (SWRSX). 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 2.05, compared to the broader market0.002.004.002.05
Sortino ratio
The chart of Sortino ratio for SWSBX, currently valued at 3.27, compared to the broader market0.005.0010.003.27
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 1.16, compared to the broader market0.005.0010.0015.0020.001.16
Martin ratio
The chart of Martin ratio for SWSBX, currently valued at 9.35, compared to the broader market0.0020.0040.0060.0080.00100.009.35
SWRSX
Sharpe ratio
The chart of Sharpe ratio for SWRSX, currently valued at 1.31, compared to the broader market0.002.004.001.31
Sortino ratio
The chart of Sortino ratio for SWRSX, currently valued at 1.96, compared to the broader market0.005.0010.001.96
Omega ratio
The chart of Omega ratio for SWRSX, currently valued at 1.24, compared to the broader market1.002.003.004.001.24
Calmar ratio
The chart of Calmar ratio for SWRSX, currently valued at 0.49, compared to the broader market0.005.0010.0015.0020.000.49
Martin ratio
The chart of Martin ratio for SWRSX, currently valued at 6.12, compared to the broader market0.0020.0040.0060.0080.00100.006.12

SWSBX vs. SWRSX - Sharpe Ratio Comparison

The current SWSBX Sharpe Ratio is 2.05, which is higher than the SWRSX Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of SWSBX and SWRSX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.05
1.31
SWSBX
SWRSX

Dividends

SWSBX vs. SWRSX - Dividend Comparison

SWSBX's dividend yield for the trailing twelve months is around 3.91%, more than SWRSX's 3.77% yield.


TTM20232022202120202019201820172016201520142013
SWSBX
Schwab Short-Term Bond Index Fund
3.91%3.16%1.49%0.90%1.56%2.40%2.12%1.55%0.00%0.00%0.00%0.00%
SWRSX
Schwab Treasury Inflation Protected Securities Index Fund
3.77%3.11%7.07%4.33%1.25%2.20%2.88%1.99%1.81%0.77%2.30%1.42%

Drawdowns

SWSBX vs. SWRSX - Drawdown Comparison

The maximum SWSBX drawdown since its inception was -8.97%, smaller than the maximum SWRSX drawdown of -15.14%. Use the drawdown chart below to compare losses from any high point for SWSBX and SWRSX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.52%
-7.74%
SWSBX
SWRSX

Volatility

SWSBX vs. SWRSX - Volatility Comparison

The current volatility for Schwab Short-Term Bond Index Fund (SWSBX) is 0.77%, while Schwab Treasury Inflation Protected Securities Index Fund (SWRSX) has a volatility of 1.32%. This indicates that SWSBX experiences smaller price fluctuations and is considered to be less risky than SWRSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
0.77%
1.32%
SWSBX
SWRSX