^STOXX vs. SCHD

Last updated Aug 5, 2026

^STOXX (STOXX Europe 600 Index) is an index, while SCHD (Schwab U.S. Dividend Equity ETF) is Dividend fund tracking the Dow Jones U.S. Dividend 100 Index. Over the past 10 years, ^STOXX returned 6.69%/yr vs 12.35%/yr for SCHD. Their 0.43 correlation means their historical movements had little consistent relationship.

Performance

^STOXX vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in STOXX Europe 600 Index (^STOXX) and Schwab U.S. Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

^STOXX is traded in EUR, while SCHD is traded in USD. To make them comparable, the SCHD values have been converted to EUR using the latest available exchange rates.

Returns By Period

In the year-to-date period, ^STOXX achieves a 10.01% return, which is significantly lower than SCHD's 27.77% return. Over the past 10 years, ^STOXX has underperformed SCHD with an annualized return of 6.69%, while SCHD has yielded a comparatively higher 12.35% annualized return.

^STOXX

• 1D: 0.45%
• 1M: -0.10%
• 6M: 5.53%
• YTD: 10.01%
• 1Y: 20.62%
• 3Y*: 12.39%
• 5Y*: 6.85%
• 10Y*: 6.69%
• ALL TIME*: 4.46%

SCHD

• 1D: 0.69%
• 1M: 3.62%
• 6M: 15.60%
• YTD: 27.77%
• 1Y: 32.30%
• 3Y*: 13.45%
• 5Y*: 10.29%
• 10Y*: 12.35%
• ALL TIME*: 14.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
^STOXX STOXX Europe 600 Index	€122.78B	€110.73B	€122.82B
SCHD Schwab U.S. Dividend Equity ETF	€732.63M	€640.88M	€603.01M

^STOXX vs. SCHD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^STOXX STOXX Europe 600 Index	10.01%	17.42%	5.39%	12.74%	-13.06%	22.10%	-3.83%	23.78%	-13.61%	7.68%
SCHD Schwab U.S. Dividend Equity ETF	27.77%	-8.04%	19.03%	1.41%	2.74%	39.59%	5.55%	30.17%	-1.13%	6.00%

Correlation

The correlation between ^STOXX and SCHD is 0.18, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.18
Correlation (3Y) Balances recent behavior with more history.	0.22
Correlation (5Y) Shows whether the relationship held over a longer period.	0.29
Correlation (10Y) Provides a long-term view across more market conditions.	0.38
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011	0.43

Over the past year, the correlation between ^STOXX and SCHD has dropped to 0.18 - well below their long-term average of 0.43, suggesting their price drivers have been diverging.

Return for Risk

^STOXX vs. SCHD — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

^STOXX

^STOXX Risk / Return Rank: 58
^STOXX Sharpe Ratio Rank: 55
^STOXX Sortino Ratio Rank: 66
^STOXX Omega Ratio Rank: 67
^STOXX Calmar Ratio Rank: 48
^STOXX Martin Ratio Rank: 54

SCHD

SCHD Risk / Return Rank: 95
SCHD Sharpe Ratio Rank: 95
SCHD Sortino Ratio Rank: 96
SCHD Omega Ratio Rank: 94
SCHD Calmar Ratio Rank: 96
SCHD Martin Ratio Rank: 92

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

^STOXX vs. SCHD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and Schwab U.S. 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	^STOXX	SCHD	Difference
Sharpe ratio: Return per unit of total volatility	1.59	2.78	-1.19
Sortino ratio: Return per unit of downside risk	2.33	4.10	-1.78
Omega ratio: Gain probability vs. loss probability	1.30	1.49	-0.19
Calmar ratio: Return relative to maximum drawdown	2.05	7.81	-5.76
Martin ratio: Return relative to average drawdown	7.46	20.08	-12.61

^STOXX vs. SCHD - Sharpe Ratio Comparison

The current ^STOXX Sharpe Ratio is 1.59, which is lower than the SCHD Sharpe Ratio of 2.78. The chart below compares the historical Sharpe Ratios of ^STOXX and SCHD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

^STOXX vs. SCHD - Drawdown Comparison

The maximum ^STOXX drawdown since its inception was -60.54%, which is greater than SCHD's maximum drawdown of -32.28%. Use the drawdown chart below to compare losses from any high point for ^STOXX and SCHD.

Drawdown Indicators

	^STOXX	SCHD	Difference
Max Drawdown Largest peak-to-trough decline	-60.54%	-32.28%	-28.26%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-4.15%	-5.41%
Max Drawdown (3Y) Largest decline over 3 years	-16.56%	-21.40%	+4.84%
Max Drawdown (5Y) Largest decline over 5 years	-22.55%	-21.40%	-1.15%
Max Drawdown (10Y) Largest decline over 10 years	-35.55%	-32.28%	-3.27%
Current Drawdown Current decline from peak	-0.10%	-1.35%	+1.25%
Average Drawdown Average peak-to-trough decline	-14.52%	-4.39%	-10.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.62%	1.61%	+1.01%

Volatility

^STOXX vs. SCHD - Volatility Comparison

The current volatility for STOXX Europe 600 Index (^STOXX) is 2.86%, while Schwab U.S. Dividend Equity ETF (SCHD) has a volatility of 4.41%. This indicates that ^STOXX experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^STOXX	SCHD	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.86%	4.41%	-1.55%
Volatility (6M) Calculated over the trailing 6-month period	10.40%	8.31%	+2.09%
Volatility (1Y) Calculated over the trailing 1-year period	12.33%	11.70%	+0.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.14%	14.63%	-0.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.12%	17.46%	-2.34%

Frequently Asked Questions

Can I hold both ^STOXX and SCHD in my portfolio?

^STOXX and SCHD have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^STOXX or SCHD?

SCHD has higher volatility (4.41%) compared to ^STOXX (2.86%). In terms of maximum drawdown, ^STOXX dropped -60.54% vs SCHD's -32.28%.

Which has better risk-adjusted returns?

SCHD currently has the higher Sharpe Ratio (2.78 vs 1.59), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.