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

Key characteristics


^STOXXSCHD
YTD Return8.14%13.75%
1Y Return20.15%29.24%
3Y Return (Ann)2.83%6.56%
5Y Return (Ann)5.37%12.61%
10Y Return (Ann)4.32%11.48%
Sharpe Ratio1.692.71
Sortino Ratio2.323.91
Omega Ratio1.301.48
Calmar Ratio1.592.52
Martin Ratio10.0515.22
Ulcer Index1.65%2.02%
Daily Std Dev9.89%11.34%
Max Drawdown-61.04%-33.37%
Current Drawdown-1.91%-2.50%

Correlation

-0.50.00.51.00.5

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.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
4.08%
11.61%
^STOXX
SCHD

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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.


^STOXX
Sharpe ratio
The chart of Sharpe ratio for ^STOXX, currently valued at 1.52, compared to the broader market-1.000.001.002.003.001.52
Sortino ratio
The chart of Sortino ratio for ^STOXX, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Omega ratio
The chart of Omega ratio for ^STOXX, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.26
Calmar ratio
The chart of Calmar ratio for ^STOXX, currently valued at 1.14, compared to the broader market0.001.002.003.004.001.14
Martin ratio
The chart of Martin ratio for ^STOXX, currently valued at 7.96, compared to the broader market0.005.0010.0015.0020.007.96
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.31, compared to the broader market-1.000.001.002.003.002.31
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.33, compared to the broader market-1.000.001.002.003.004.003.33
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.36, compared to the broader market0.001.002.003.004.002.36
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 12.46, compared to the broader market0.005.0010.0015.0020.0012.46

^STOXX vs. SCHD - Sharpe Ratio Comparison

The current ^STOXX Sharpe Ratio is 1.69, which is lower than the SCHD Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of ^STOXX 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 Ratio0.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.52
2.31
^STOXX
SCHD

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.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%MayJuneJulyAugustSeptemberOctober
-4.94%
-2.50%
^STOXX
SCHD

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.


2.50%3.00%3.50%4.00%4.50%5.00%MayJuneJulyAugustSeptemberOctober
2.61%
2.72%
^STOXX
SCHD