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SCHD SCHP IAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SCHP 10%IAU 10%SCHD 80%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold
10%
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend
80%
SCHP
Schwab U.S. TIPS ETF
Inflation-Protected Bonds
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in SCHD SCHP IAU, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
11.83%
15.83%
SCHD SCHP IAU
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Oct 30, 2024, the SCHD SCHP IAU returned 14.59% Year-To-Date and 10.53% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
SCHD SCHP IAU14.59%0.26%11.83%27.89%11.87%10.53%
SCHD
Schwab US Dividend Equity ETF
13.75%0.01%11.61%29.24%12.61%11.48%
SCHP
Schwab U.S. TIPS ETF
2.94%-2.00%4.74%8.18%2.17%2.20%
IAU
iShares Gold Trust
34.15%4.53%20.92%38.56%12.74%8.78%

Monthly Returns

The table below presents the monthly returns of SCHD SCHP IAU, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.01%1.40%4.66%-3.46%1.97%0.08%5.68%2.19%1.38%14.59%
20232.44%-3.33%0.29%-0.55%-3.54%3.98%3.58%-1.40%-4.04%-2.38%5.53%5.39%5.39%
2022-2.56%-0.84%2.32%-3.72%2.67%-6.86%3.32%-2.74%-6.92%8.92%6.52%-2.62%-3.82%
2021-1.01%4.07%7.23%2.27%3.46%-1.47%1.04%1.65%-3.35%3.78%-1.64%6.22%23.95%
2020-0.74%-7.38%-9.38%11.04%3.29%-0.15%5.56%4.13%-2.46%0.18%10.17%3.23%16.55%
20195.28%3.21%1.28%2.53%-5.79%6.68%1.38%-0.06%2.57%1.33%1.96%2.25%24.48%
20183.88%-4.81%-1.75%-0.99%1.34%0.28%3.35%1.72%0.87%-4.66%2.74%-5.86%-4.42%
20170.23%3.08%0.09%0.41%1.39%-0.38%1.62%0.50%1.86%2.84%3.44%1.89%18.23%
2016-1.12%1.90%5.06%0.39%0.39%3.45%2.56%-0.62%0.29%-1.60%1.60%1.65%14.64%
2015-1.31%3.33%-2.15%0.67%0.36%-2.89%-0.06%-4.04%-0.78%7.29%-0.41%-0.88%-1.35%
2014-2.99%3.79%1.15%1.64%0.96%1.73%-1.75%2.84%-1.04%1.37%2.36%-0.69%9.56%
20134.32%1.23%3.98%1.74%0.17%-1.87%4.49%-2.45%1.75%4.01%1.42%1.05%21.39%

Expense Ratio

SCHD SCHP IAU has an expense ratio of 0.08%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for SCHP: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SCHD SCHP IAU is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of SCHD SCHP IAU is 5555
Combined Rank
The Sharpe Ratio Rank of SCHD SCHP IAU is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of SCHD SCHP IAU is 6565Sortino Ratio Rank
The Omega Ratio Rank of SCHD SCHP IAU is 5454Omega Ratio Rank
The Calmar Ratio Rank of SCHD SCHP IAU is 4848Calmar Ratio Rank
The Martin Ratio Rank of SCHD SCHP IAU is 5757Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


SCHD SCHP IAU
Sharpe ratio
The chart of Sharpe ratio for SCHD SCHP IAU, currently valued at 2.99, compared to the broader market0.002.004.006.002.99
Sortino ratio
The chart of Sortino ratio for SCHD SCHP IAU, currently valued at 4.34, compared to the broader market-2.000.002.004.006.004.34
Omega ratio
The chart of Omega ratio for SCHD SCHP IAU, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for SCHD SCHP IAU, currently valued at 2.90, compared to the broader market0.005.0010.002.90
Martin ratio
The chart of Martin ratio for SCHD SCHP IAU, currently valued at 19.53, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.53
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHD
Schwab US Dividend Equity ETF
2.713.911.482.5215.22
SCHP
Schwab U.S. TIPS ETF
1.542.311.280.588.15
IAU
iShares Gold Trust
2.683.611.465.5317.31

Sharpe Ratio

The current SCHD SCHP IAU Sharpe ratio is 2.99. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of SCHD SCHP IAU with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.99
3.43
SCHD SCHP IAU
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

SCHD SCHP IAU provided a 3.09% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
SCHD SCHP IAU3.09%3.10%3.43%2.66%2.64%2.58%2.71%2.29%2.45%2.41%2.23%2.04%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
SCHP
Schwab U.S. TIPS ETF
3.06%3.02%7.19%4.39%1.11%2.02%2.63%1.90%1.38%0.28%1.30%0.67%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.91%
-0.54%
SCHD SCHP IAU
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the SCHD SCHP IAU. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the SCHD SCHP IAU was 26.77%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current SCHD SCHP IAU drawdown is 1.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.77%Jan 24, 202041Mar 23, 202094Aug 5, 2020135
-15.64%Jan 12, 2022181Sep 30, 2022306Dec 19, 2023487
-13.75%Jan 29, 2018229Dec 24, 201866Apr 1, 2019295
-11.99%Jan 23, 2015149Aug 25, 2015137Mar 11, 2016286
-6.7%Sep 3, 202014Sep 23, 202011Oct 8, 202025

Volatility

Volatility Chart

The current SCHD SCHP IAU volatility is 2.21%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.21%
2.71%
SCHD SCHP IAU
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

SCHDIAUSCHP
SCHD1.000.03-0.08
IAU0.031.000.36
SCHP-0.080.361.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011