Schwab Fundamental U.S. Large Company Index ETF

10-Year Study

FNDX.US · · US · ETF

Executive Summary: Schwab Fundamental U.S. Large Company Index ETF has compounded at 13.7% annually over the last 10 years, with a maximum drawdown of 26.0% and an annualized volatility of 11.3%.

1Y CAGR
+27.5%
3Y CAGR
+19.9%
5Y CAGR
+11.9%
10Y CAGR
+13.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
26.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.67
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.89
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +31.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -7.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.32.3-4.14.8————————7.2%
20254.00.0-3.7-3.33.74.20.74.22.51.12.50.316.9%
20240.63.64.9-4.64.00.73.72.01.7-1.36.3-5.316.8%
20236.0-3.20.61.4-2.76.73.8-2.4-3.6-2.68.15.618.2%
2022-1.4-1.43.1-5.62.4-9.47.2-2.7-9.511.76.1-5.1-6.9%
20212.74.27.03.82.9-0.50.22.3-3.45.2-2.06.031.7%
2020-2.3-9.4-16.412.34.31.04.15.9-3.8-1.414.64.19.1%
20197.93.10.93.5-7.27.91.2-3.03.61.93.72.928.7%
20184.5-5.0-1.81.01.80.53.62.40.8-6.01.4-9.6-7.3%
20170.83.1-0.30.10.10.81.7-0.53.21.43.62.017.1%
2016———1.30.91.12.8-0.1-0.1-1.85.92.012.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 11.3%. The dominant macroeconomic risk driver is VTV.US, accounting for 72.6% of variance. Idiosyncratic stock-specific factors contribute 1.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110125.458309430574
2016-05-0110220.487366872021
2016-06-0110336.467712568277
2016-07-0110626.418576808921
2016-08-0110619.559524106453
2016-09-0110609.33330007732
2016-10-0110413.78794303245
2016-11-0111030.977976205322
2016-12-0111247.724041603273
2017-01-0111337.265856882748
2017-02-0111685.456314069788
2017-03-0111647.419749083383
2017-04-0111662.759085127082
2017-05-0111669.618137829548
2017-06-0111765.270745516676
2017-07-0111967.051605018332
2017-08-0111911.30621305465
2017-09-0112295.288454343652
2017-10-0112463.272890529519
2017-11-0112910.857256877762
2017-12-0113173.247200259399
2018-01-0113767.615294440428
2018-02-0113078.342852867087
2018-03-0112839.273688673833
2018-04-0112970.094530217246
2018-05-0113203.302322101115
2018-06-0113263.786695931958
2018-07-0113739.680243434019
2018-08-0114063.053400843042
2018-09-0114169.929912952386
2018-10-0113319.906218043052
2018-11-0113505.599481206196
2018-12-0112211.109171177015
2019-01-0113181.353353453222
2019-02-0113594.517746239993
2019-03-0113712.24403262415
2019-04-0114192.876561993366
2019-05-0113170.378869129276
2019-06-0114210.834809068916
2019-07-0114374.329683485896
2019-08-0113949.193125982094
2019-09-0114450.652233556983
2019-10-0114721.148330132442
2019-11-0115261.76639313596
2019-12-0115709.600179582472
2020-01-0115341.456114533712
2020-02-0113894.819544558903
2020-03-0111619.359988027836
2020-04-0113051.031352106353
2020-05-0113614.720774199986
2020-06-0113753.39834883895
2020-07-0114317.087770932581
2020-08-0115157.134661911057
2020-09-0114581.223655002123
2020-10-0114370.463671962687
2020-11-0116471.204449654553
2020-12-0117141.770383857533
2021-01-0117607.312997281322
2021-02-0118345.347068066745
2021-03-0119635.223106277906
2021-04-0120376.250218242585
2021-05-0120976.72910483127
2021-06-0120880.5776569476
2021-07-0120922.60494350635
2021-08-0121407.228194447915
2021-09-0120683.286359214828
2021-10-0121756.790462175446
2021-11-0121312.07442695733
2021-12-0122581.49801711022
2022-01-0122261.616741076996
2022-02-0121945.72618661612
2022-03-0122628.01486543786
2022-04-0121351.60751253336
2022-05-0121858.304442171953
2022-06-0119802.334572119824
2022-07-0121218.41718005637
2022-08-0120638.640161624222
2022-09-0118680.692390192802
2022-10-0120867.108971640937
2022-11-0122138.27850248173
2022-12-0121018.506971291747
2023-01-0122288.92824183773
2023-02-0121577.083281370815
2023-03-0121705.035791784103
2023-04-0122013.3190332477
2023-05-0121420.447459656305
2023-06-0122863.467438206175
2023-07-0123741.30147407278
2023-08-0123173.2472002594
2023-09-0122333.94856957574
2023-10-0121763.275384730503
2023-11-0123535.031052802235
2023-12-0124850.223230987955
2024-01-0124994.637467887165
2024-02-0125897.28880353179
2024-03-0127153.867258623697
2024-04-0125908.762128052284
2024-05-0126940.363654503282
2024-06-0127116.204823784705
2024-07-0128120.12071932757
2024-08-0128678.82173945577
2024-09-0129175.666575212636
2024-10-0128809.767291048316
2024-11-0130627.0421270546
2024-12-0129018.282493203304
2025-01-0130182.450801885618
2025-02-0130182.450801885618
2025-03-0129061.058040056872
2025-04-0128088.569076896216
2025-05-0129122.5400942808
2025-06-0130340.209014042357
2025-07-0130550.470156885243
2025-08-0131848.577058339364
2025-09-0132651.335644626248
2025-10-0132999.02726161674
2025-11-0133818.37228443868
2025-12-0133933.604369840126
2026-01-0135392.71194472851
2026-02-0136203.32726411095
2026-03-0134731.74868430899
2026-04-0136390.392337814585
Annual Return Matrix
YearAnnual Return
20170.17119224756350415
2018-0.07303727125559722
20190.2865006740471423
20200.09116528669752078
20210.317337562657781
2022-0.06921556066095247
20230.1823020191172371
20240.16772723622932384
20250.1693870709883707
20260.07239985299522234
Total Factor Risk
0.11345713012670529
VTI.US Exposure
0.009439562460573382
VEA.US Exposure
0.03876742425604375
VWO.US Exposure
-0.001683475085059595
QQQ.US Exposure
0.11405450725508685
VTV.US Exposure
0.7263977298309323
IJR.US Exposure
0.15311444929634285
QUAL.US Exposure
-0.04802984654921491
SHV.US Exposure
0.0005164501977907338
TLT.US Exposure
-0.006585323674106042
LQD.US Exposure
0.01610819790296626
HYG.US Exposure
-0.00881783814638806
GLD.US Exposure
-0.004784246343310742
USO.US Exposure
-0.00007628757071005942
VNQ.US Exposure
-0.018234809430473745
BTC-USD.CC Exposure
0.0007242561172763645
CPER.US Exposure
0.01726152534920329
VIX.INDX Exposure
-0.0007280518143901644
UUP.US Exposure
-0.0034256032103536474
TIP.US Exposure
0.004155640604334597
Idiosyncratic Exposure
0.011825738553456578
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$140
Avg Yield on Cost
1.40%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$139.681.40%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+8.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.88
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Schwab Fundamental U.S. Large Company Index ETF a high-risk investment?

Schwab Fundamental U.S. Large Company Index ETF (FNDX.US) has an annualized volatility of 11.3% and experienced a maximum drawdown of 26.0% over the last 10 years. Its primary macro risk driver is VTV.US.

What is the 10-year return of FNDX.US?

Over the past 10 years, FNDX.US has generated a Compound Annual Growth Rate (CAGR) of 13.7%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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