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

Key characteristics


SWSSXVTIAX
YTD Return21.53%8.83%
1Y Return44.95%19.46%
3Y Return (Ann)1.83%1.10%
5Y Return (Ann)10.48%5.90%
10Y Return (Ann)9.11%5.11%
Sharpe Ratio2.161.64
Sortino Ratio3.052.31
Omega Ratio1.371.29
Calmar Ratio1.661.39
Martin Ratio12.409.30
Ulcer Index3.75%2.15%
Daily Std Dev21.56%12.19%
Max Drawdown-61.52%-35.83%
Current Drawdown0.00%-4.93%

Correlation

-0.50.00.51.00.7

The correlation between SWSSX and VTIAX is 0.74, 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. VTIAX - Performance Comparison

In the year-to-date period, SWSSX achieves a 21.53% return, which is significantly higher than VTIAX's 8.83% return. Over the past 10 years, SWSSX has outperformed VTIAX with an annualized return of 9.11%, while VTIAX has yielded a comparatively lower 5.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.90%
2.79%
SWSSX
VTIAX

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SWSSX vs. VTIAX - Expense Ratio Comparison

SWSSX has a 0.04% expense ratio, which is lower than VTIAX's 0.11% 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%.


VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
Expense ratio chart for VTIAX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
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. VTIAX - 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 Total International Stock Index Fund Admiral Shares (VTIAX). 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 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for SWSSX, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for SWSSX, currently valued at 1.37, compared to the broader market1.002.003.004.001.37
Calmar ratio
The chart of Calmar ratio for SWSSX, currently valued at 1.66, compared to the broader market0.005.0010.0015.0020.0025.001.66
Martin ratio
The chart of Martin ratio for SWSSX, currently valued at 12.40, compared to the broader market0.0020.0040.0060.0080.00100.0012.40
VTIAX
Sharpe ratio
The chart of Sharpe ratio for VTIAX, currently valued at 1.64, compared to the broader market0.002.004.001.64
Sortino ratio
The chart of Sortino ratio for VTIAX, currently valued at 2.31, compared to the broader market0.005.0010.002.31
Omega ratio
The chart of Omega ratio for VTIAX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for VTIAX, currently valued at 1.39, compared to the broader market0.005.0010.0015.0020.0025.001.39
Martin ratio
The chart of Martin ratio for VTIAX, currently valued at 9.30, compared to the broader market0.0020.0040.0060.0080.00100.009.30

SWSSX vs. VTIAX - Sharpe Ratio Comparison

The current SWSSX Sharpe Ratio is 2.16, which is higher than the VTIAX Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of SWSSX and VTIAX, 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
2.16
1.64
SWSSX
VTIAX

Dividends

SWSSX vs. VTIAX - Dividend Comparison

SWSSX's dividend yield for the trailing twelve months is around 1.23%, less than VTIAX's 2.91% yield.


TTM20232022202120202019201820172016201520142013
SWSSX
Schwab Small-Cap Index Fund-Select Shares
1.23%1.49%1.32%1.17%1.12%1.43%1.61%1.26%1.39%1.50%1.28%1.11%
VTIAX
Vanguard Total International Stock Index Fund Admiral Shares
2.91%3.21%3.05%3.05%2.10%3.04%3.17%2.74%2.93%2.84%3.40%2.71%

Drawdowns

SWSSX vs. VTIAX - Drawdown Comparison

The maximum SWSSX drawdown since its inception was -61.52%, which is greater than VTIAX's maximum drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for SWSSX and VTIAX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-4.93%
SWSSX
VTIAX

Volatility

SWSSX vs. VTIAX - Volatility Comparison

Schwab Small-Cap Index Fund-Select Shares (SWSSX) has a higher volatility of 7.11% compared to Vanguard Total International Stock Index Fund Admiral Shares (VTIAX) at 3.66%. This indicates that SWSSX's price experiences larger fluctuations and is considered to be riskier than VTIAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.11%
3.66%
SWSSX
VTIAX