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

Key characteristics


SWSSXVSMAX
YTD Return19.78%19.89%
1Y Return44.37%41.69%
3Y Return (Ann)1.12%3.58%
5Y Return (Ann)10.01%11.27%
10Y Return (Ann)8.89%9.81%
Sharpe Ratio1.952.26
Sortino Ratio2.813.16
Omega Ratio1.341.39
Calmar Ratio1.461.83
Martin Ratio11.2412.94
Ulcer Index3.75%3.08%
Daily Std Dev21.57%17.62%
Max Drawdown-61.52%-59.68%
Current Drawdown0.00%0.00%

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.

Performance

SWSSX vs. VSMAX - Performance Comparison

The year-to-date returns for both investments are quite close, with SWSSX having a 19.78% return and VSMAX slightly higher at 19.89%. Over the past 10 years, SWSSX has underperformed VSMAX with an annualized return of 8.89%, while VSMAX has yielded a comparatively higher 9.81% annualized 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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.18%
14.38%
SWSSX
VSMAX

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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%

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.


SWSSX
Sharpe ratio
The chart of Sharpe ratio for SWSSX, currently valued at 1.95, compared to the broader market0.002.004.001.95
Sortino ratio
The chart of Sortino ratio for SWSSX, currently valued at 2.81, compared to the broader market0.005.0010.002.81
Omega ratio
The chart of Omega ratio for SWSSX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for SWSSX, currently valued at 1.46, compared to the broader market0.005.0010.0015.0020.0025.001.46
Martin ratio
The chart of Martin ratio for SWSSX, currently valued at 11.24, compared to the broader market0.0020.0040.0060.0080.00100.0011.24
VSMAX
Sharpe ratio
The chart of Sharpe ratio for VSMAX, currently valued at 2.26, compared to the broader market0.002.004.002.26
Sortino ratio
The chart of Sortino ratio for VSMAX, currently valued at 3.16, compared to the broader market0.005.0010.003.16
Omega ratio
The chart of Omega ratio for VSMAX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for VSMAX, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.0025.001.83
Martin ratio
The chart of Martin ratio for VSMAX, currently valued at 12.94, compared to the broader market0.0020.0040.0060.0080.00100.0012.94

SWSSX vs. VSMAX - Sharpe Ratio Comparison

The current SWSSX Sharpe Ratio is 1.95, which is comparable to the VSMAX Sharpe Ratio of 2.26. 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.95
2.26
SWSSX
VSMAX

Dividends

SWSSX vs. VSMAX - Dividend Comparison

SWSSX's dividend yield for the trailing twelve months is around 1.25%, less than VSMAX's 1.31% yield.


TTM20232022202120202019201820172016201520142013
SWSSX
Schwab Small-Cap Index Fund-Select Shares
1.25%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
1.31%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%JuneJulyAugustSeptemberOctoberNovember00
SWSSX
VSMAX

Volatility

SWSSX vs. VSMAX - Volatility Comparison

Schwab Small-Cap Index Fund-Select Shares (SWSSX) has a higher volatility of 7.23% compared to Vanguard Small-Cap Index Fund Admiral Shares (VSMAX) at 5.36%. 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
7.23%
5.36%
SWSSX
VSMAX