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SWSSX vs. VSMAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SWSSX vs. VSMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Small-Cap Index Fund-Select Shares (SWSSX) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.20%
15.93%
SWSSX
VSMAX

Returns By Period

In the year-to-date period, SWSSX achieves a 18.06% return, which is significantly lower than VSMAX's 20.15% return. Over the past 10 years, SWSSX has underperformed VSMAX with an annualized return of 8.66%, while VSMAX has yielded a comparatively higher 9.70% annualized return.


SWSSX

YTD

18.06%

1M

6.05%

6M

16.20%

1Y

33.62%

5Y (annualized)

9.82%

10Y (annualized)

8.66%

VSMAX

YTD

20.15%

1M

6.56%

6M

15.93%

1Y

33.95%

5Y (annualized)

11.31%

10Y (annualized)

9.70%

Key characteristics


SWSSXVSMAX
Sharpe Ratio1.652.03
Sortino Ratio2.382.82
Omega Ratio1.291.35
Calmar Ratio1.422.04
Martin Ratio9.0611.17
Ulcer Index3.81%3.11%
Daily Std Dev20.98%17.12%
Max Drawdown-61.52%-59.68%
Current Drawdown-2.86%-0.95%

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SWSSX vs. VSMAX - Expense Ratio Comparison

SWSSX has a 0.04% expense ratio, which is lower than VSMAX's 0.05% 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%.


VSMAX
Vanguard Small-Cap Index Fund Admiral Shares
Expense ratio chart for VSMAX: 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%
Expense ratio chart for SWSSX: 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%

Correlation

-0.50.00.51.01.0

The correlation between SWSSX and VSMAX is 0.99, 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

SWSSX vs. VSMAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Small-Cap Index Fund-Select Shares (SWSSX) and Vanguard Small-Cap Index Fund Admiral Shares (VSMAX). 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 SWSSX, currently valued at 1.65, compared to the broader market-1.000.001.002.003.004.005.001.652.03
The chart of Sortino ratio for SWSSX, currently valued at 2.38, compared to the broader market0.005.0010.002.382.82
The chart of Omega ratio for SWSSX, currently valued at 1.29, compared to the broader market1.002.003.004.001.291.35
The chart of Calmar ratio for SWSSX, currently valued at 1.42, compared to the broader market0.005.0010.0015.0020.001.422.04
The chart of Martin ratio for SWSSX, currently valued at 9.06, compared to the broader market0.0020.0040.0060.0080.00100.009.0611.17
SWSSX
VSMAX

The current SWSSX Sharpe Ratio is 1.65, which is comparable to the VSMAX Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of SWSSX and VSMAX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.65
2.03
SWSSX
VSMAX

Dividends

SWSSX vs. VSMAX - Dividend Comparison

SWSSX's dividend yield for the trailing twelve months is around 1.26%, less than VSMAX's 1.30% yield.


TTM20232022202120202019201820172016201520142013
SWSSX
Schwab Small-Cap Index Fund-Select Shares
1.26%1.49%1.32%1.17%1.12%1.43%1.61%1.26%1.39%1.50%1.28%1.11%
VSMAX
Vanguard Small-Cap Index Fund Admiral Shares
1.30%1.55%1.54%1.24%1.14%1.39%1.67%1.35%1.49%1.48%1.43%1.31%

Drawdowns

SWSSX vs. VSMAX - Drawdown Comparison

The maximum SWSSX drawdown since its inception was -61.52%, roughly equal to the maximum VSMAX drawdown of -59.68%. Use the drawdown chart below to compare losses from any high point for SWSSX and VSMAX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.86%
-0.95%
SWSSX
VSMAX

Volatility

SWSSX vs. VSMAX - Volatility Comparison

Schwab Small-Cap Index Fund-Select Shares (SWSSX) has a higher volatility of 7.54% compared to Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) at 5.62%. This indicates that SWSSX's price experiences larger fluctuations and is considered to be riskier than VSMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.54%
5.62%
SWSSX
VSMAX