^STOXX vs. SCHD
Compare and contrast key facts about STOXX Europe 600 Index (^STOXX) and Schwab US Dividend Equity ETF (SCHD).
SCHD is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Dividend 100 Index. It was launched on Oct 20, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^STOXX or SCHD.
Key characteristics
| ^STOXX | SCHD | |
|---|---|---|
| YTD Return | 8.14% | 13.75% |
| 1Y Return | 20.15% | 29.24% |
| 3Y Return (Ann) | 2.83% | 6.56% |
| 5Y Return (Ann) | 5.37% | 12.61% |
| 10Y Return (Ann) | 4.32% | 11.48% |
| Sharpe Ratio | 1.69 | 2.71 |
| Sortino Ratio | 2.32 | 3.91 |
| Omega Ratio | 1.30 | 1.48 |
| Calmar Ratio | 1.59 | 2.52 |
| Martin Ratio | 10.05 | 15.22 |
| Ulcer Index | 1.65% | 2.02% |
| Daily Std Dev | 9.89% | 11.34% |
| Max Drawdown | -61.04% | -33.37% |
| Current Drawdown | -1.91% | -2.50% |
Correlation
The correlation between ^STOXX and SCHD is 0.53, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^STOXX vs. SCHD - Performance Comparison
In the year-to-date period, ^STOXX achieves a 8.14% return, which is significantly lower than SCHD's 13.75% return. Over the past 10 years, ^STOXX has underperformed SCHD with an annualized return of 4.32%, while SCHD has yielded a comparatively higher 11.48% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^STOXX vs. SCHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) 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.
Drawdowns
^STOXX vs. SCHD - Drawdown Comparison
The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ^STOXX and SCHD. For additional features, visit the drawdowns tool.
Volatility
^STOXX vs. SCHD - Volatility Comparison
STOXX Europe 600 Index (^STOXX) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 2.61% and 2.72%, 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.