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^GSPC vs. SCHD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GSPC and SCHD is 0.86, 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.


-0.50.00.51.00.9

Performance

^GSPC vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

320.00%340.00%360.00%380.00%400.00%420.00%440.00%JulyAugustSeptemberOctoberNovemberDecember
387.98%
394.81%
^GSPC
SCHD

Key characteristics

Sharpe Ratio

^GSPC:

2.10

SCHD:

1.20

Sortino Ratio

^GSPC:

2.80

SCHD:

1.76

Omega Ratio

^GSPC:

1.39

SCHD:

1.21

Calmar Ratio

^GSPC:

3.09

SCHD:

1.69

Martin Ratio

^GSPC:

13.49

SCHD:

5.86

Ulcer Index

^GSPC:

1.94%

SCHD:

2.30%

Daily Std Dev

^GSPC:

12.52%

SCHD:

11.25%

Max Drawdown

^GSPC:

-56.78%

SCHD:

-33.37%

Current Drawdown

^GSPC:

-2.62%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, ^GSPC achieves a 24.34% return, which is significantly higher than SCHD's 11.54% return. Both investments have delivered pretty close results over the past 10 years, with ^GSPC having a 11.06% annualized return and SCHD not far behind at 10.86%.


^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

SCHD

YTD

11.54%

1M

-4.06%

6M

7.86%

1Y

12.63%

5Y*

10.97%

10Y*

10.86%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^GSPC vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Schwab US Dividend Equity ETF (SCHD). 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.


Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market0.001.002.002.101.20
The chart of Sortino ratio for ^GSPC, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.801.76
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.901.001.101.201.301.401.391.21
The chart of Calmar ratio for ^GSPC, currently valued at 3.09, compared to the broader market0.001.002.003.003.091.69
The chart of Martin ratio for ^GSPC, currently valued at 13.49, compared to the broader market0.005.0010.0015.0020.0013.495.86
^GSPC
SCHD

The current ^GSPC Sharpe Ratio is 2.10, which is higher than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of ^GSPC and SCHD, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
1.20
^GSPC
SCHD

Drawdowns

^GSPC vs. SCHD - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ^GSPC and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-6.72%
^GSPC
SCHD

Volatility

^GSPC vs. SCHD - Volatility Comparison

S&P 500 (^GSPC) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.79% and 3.88%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.79%
3.88%
^GSPC
SCHD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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