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SWVXX vs. BIL
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


SWVXXBIL
YTD Return1.50%2.42%
1Y Return4.44%5.33%
3Y Return (Ann)2.68%2.90%
5Y Return (Ann)1.91%2.00%
10Y Return (Ann)1.28%1.34%
Sharpe Ratio3.1920.77
Daily Std Dev1.43%0.26%
Max Drawdown0.00%-0.77%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.0

The correlation between SWVXX and BIL is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

SWVXX vs. BIL - Performance Comparison

In the year-to-date period, SWVXX achieves a 1.50% return, which is significantly lower than BIL's 2.42% return. Both investments have delivered pretty close results over the past 10 years, with SWVXX having a 1.28% annualized return and BIL not far ahead at 1.34%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


12.00%14.00%16.00%18.00%20.00%2024FebruaryMarchAprilMayJune
13.48%
19.35%
SWVXX
BIL

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Schwab Value Advantage Money Fund

SPDR Barclays 1-3 Month T-Bill ETF

Risk-Adjusted Performance

SWVXX vs. BIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Value Advantage Money Fund (SWVXX) and SPDR Barclays 1-3 Month T-Bill ETF (BIL). 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.


SWVXX
Sharpe ratio
The chart of Sharpe ratio for SWVXX, currently valued at 3.19, compared to the broader market3.193.19
Sortino ratio
No data
BIL
Sharpe ratio
The chart of Sharpe ratio for BIL, currently valued at 20.20, compared to the broader market3.1920.20
Sortino ratio
The chart of Sortino ratio for BIL, currently valued at 330.72, compared to the broader market0.00330.72
Omega ratio
The chart of Omega ratio for BIL, currently valued at 234.86, compared to the broader market0.00234.86
Calmar ratio
The chart of Calmar ratio for BIL, currently valued at 479.39, compared to the broader market0.00479.39
Martin ratio
The chart of Martin ratio for BIL, currently valued at 5385.72, compared to the broader market0.005,385.72

SWVXX vs. BIL - Sharpe Ratio Comparison

The current SWVXX Sharpe Ratio is 3.19, which is lower than the BIL Sharpe Ratio of 20.77. The chart below compares the 12-month rolling Sharpe Ratio of SWVXX and BIL.


Rolling 12-month Sharpe Ratio5.0010.0015.0020.002024FebruaryMarchAprilMayJune
3.19
20.20
SWVXX
BIL

Drawdowns

SWVXX vs. BIL - Drawdown Comparison

The maximum SWVXX drawdown since its inception was 0.00%, smaller than the maximum BIL drawdown of -0.77%. Use the drawdown chart below to compare losses from any high point for SWVXX and BIL. For additional features, visit the drawdowns tool.


-0.01%-0.01%-0.01%-0.00%-0.00%0.00%2024FebruaryMarchAprilMayJune00
SWVXX
BIL

Volatility

SWVXX vs. BIL - Volatility Comparison

The current volatility for Schwab Value Advantage Money Fund (SWVXX) is 0.00%, while SPDR Barclays 1-3 Month T-Bill ETF (BIL) has a volatility of 0.08%. This indicates that SWVXX experiences smaller price fluctuations and is considered to be less risky than BIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.10%0.20%0.30%0.40%0.50%0.60%0.70%2024FebruaryMarchAprilMayJune0
0.08%
SWVXX
BIL