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

Key characteristics


SWSSXWMICX
YTD Return19.41%27.63%
1Y Return42.37%51.83%
3Y Return (Ann)1.23%-14.02%
5Y Return (Ann)10.09%2.34%
10Y Return (Ann)8.91%1.13%
Sharpe Ratio1.962.37
Sortino Ratio2.823.27
Omega Ratio1.341.40
Calmar Ratio1.510.86
Martin Ratio11.3115.57
Ulcer Index3.75%3.33%
Daily Std Dev21.60%21.86%
Max Drawdown-61.52%-72.45%
Current Drawdown-1.75%-39.92%

Correlation

-0.50.00.51.00.9

The correlation between SWSSX and WMICX is 0.89, 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. WMICX - Performance Comparison

In the year-to-date period, SWSSX achieves a 19.41% return, which is significantly lower than WMICX's 27.63% return. Over the past 10 years, SWSSX has outperformed WMICX with an annualized return of 8.91%, while WMICX has yielded a comparatively lower 1.13% 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%20.00%JuneJulyAugustSeptemberOctoberNovember
15.50%
18.46%
SWSSX
WMICX

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SWSSX vs. WMICX - Expense Ratio Comparison

SWSSX has a 0.04% expense ratio, which is lower than WMICX's 1.63% expense ratio.


WMICX
Wasatch Micro Cap Fund
Expense ratio chart for WMICX: current value at 1.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.63%
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. WMICX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Small-Cap Index Fund-Select Shares (SWSSX) and Wasatch Micro Cap Fund (WMICX). 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 1.96, compared to the broader market0.002.004.001.96
Sortino ratio
The chart of Sortino ratio for SWSSX, currently valued at 2.82, compared to the broader market0.005.0010.002.82
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 1.51, compared to the broader market0.005.0010.0015.0020.001.51
Martin ratio
The chart of Martin ratio for SWSSX, currently valued at 11.31, compared to the broader market0.0020.0040.0060.0080.00100.0011.31
WMICX
Sharpe ratio
The chart of Sharpe ratio for WMICX, currently valued at 2.37, compared to the broader market0.002.004.002.37
Sortino ratio
The chart of Sortino ratio for WMICX, currently valued at 3.27, compared to the broader market0.005.0010.003.27
Omega ratio
The chart of Omega ratio for WMICX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for WMICX, currently valued at 0.86, compared to the broader market0.005.0010.0015.0020.000.86
Martin ratio
The chart of Martin ratio for WMICX, currently valued at 15.57, compared to the broader market0.0020.0040.0060.0080.00100.0015.57

SWSSX vs. WMICX - Sharpe Ratio Comparison

The current SWSSX Sharpe Ratio is 1.96, which is comparable to the WMICX Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of SWSSX and WMICX, 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
1.96
2.37
SWSSX
WMICX

Dividends

SWSSX vs. WMICX - Dividend Comparison

SWSSX's dividend yield for the trailing twelve months is around 1.25%, while WMICX has not paid dividends to shareholders.


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%
WMICX
Wasatch Micro Cap Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.08%0.00%0.03%0.00%

Drawdowns

SWSSX vs. WMICX - Drawdown Comparison

The maximum SWSSX drawdown since its inception was -61.52%, smaller than the maximum WMICX drawdown of -72.45%. Use the drawdown chart below to compare losses from any high point for SWSSX and WMICX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.75%
-39.92%
SWSSX
WMICX

Volatility

SWSSX vs. WMICX - Volatility Comparison

Schwab Small-Cap Index Fund-Select Shares (SWSSX) and Wasatch Micro Cap Fund (WMICX) have volatilities of 7.42% and 7.61%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
7.42%
7.61%
SWSSX
WMICX