PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ALLE vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ALLE and SCHG is 0.54, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

ALLE vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Allegion plc (ALLE) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

150.00%200.00%250.00%300.00%350.00%400.00%450.00%500.00%NovemberDecember2025FebruaryMarchApril
188.08%
356.48%
ALLE
SCHG

Key characteristics

Sharpe Ratio

ALLE:

-0.21

SCHG:

-0.08

Sortino Ratio

ALLE:

-0.14

SCHG:

0.03

Omega Ratio

ALLE:

0.98

SCHG:

1.00

Calmar Ratio

ALLE:

-0.24

SCHG:

-0.08

Martin Ratio

ALLE:

-0.44

SCHG:

-0.34

Ulcer Index

ALLE:

10.27%

SCHG:

5.22%

Daily Std Dev

ALLE:

21.78%

SCHG:

21.27%

Max Drawdown

ALLE:

-43.25%

SCHG:

-34.59%

Current Drawdown

ALLE:

-18.77%

SCHG:

-22.36%

Returns By Period

In the year-to-date period, ALLE achieves a -5.00% return, which is significantly higher than SCHG's -18.93% return. Over the past 10 years, ALLE has underperformed SCHG with an annualized return of 8.47%, while SCHG has yielded a comparatively higher 13.75% annualized return.


ALLE

YTD

-5.00%

1M

-1.84%

6M

-14.44%

1Y

-4.21%

5Y*

9.59%

10Y*

8.47%

SCHG

YTD

-18.93%

1M

-15.76%

6M

-13.06%

1Y

-0.40%

5Y*

19.50%

10Y*

13.75%

*Annualized

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

ALLE vs. SCHG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ALLE
The Risk-Adjusted Performance Rank of ALLE is 4141
Overall Rank
The Sharpe Ratio Rank of ALLE is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of ALLE is 3737
Sortino Ratio Rank
The Omega Ratio Rank of ALLE is 3838
Omega Ratio Rank
The Calmar Ratio Rank of ALLE is 4141
Calmar Ratio Rank
The Martin Ratio Rank of ALLE is 4747
Martin Ratio Rank

SCHG
The Risk-Adjusted Performance Rank of SCHG is 2222
Overall Rank
The Sharpe Ratio Rank of SCHG is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHG is 2323
Sortino Ratio Rank
The Omega Ratio Rank of SCHG is 2323
Omega Ratio Rank
The Calmar Ratio Rank of SCHG is 2222
Calmar Ratio Rank
The Martin Ratio Rank of SCHG is 2121
Martin 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.

ALLE vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Allegion plc (ALLE) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 ALLE, currently valued at -0.21, compared to the broader market-2.00-1.000.001.002.00
ALLE: -0.21
SCHG: -0.08
The chart of Sortino ratio for ALLE, currently valued at -0.14, compared to the broader market-6.00-4.00-2.000.002.004.00
ALLE: -0.14
SCHG: 0.03
The chart of Omega ratio for ALLE, currently valued at 0.98, compared to the broader market0.501.001.502.00
ALLE: 0.98
SCHG: 1.00
The chart of Calmar ratio for ALLE, currently valued at -0.24, compared to the broader market0.001.002.003.004.00
ALLE: -0.24
SCHG: -0.08
The chart of Martin ratio for ALLE, currently valued at -0.44, compared to the broader market-10.000.0010.0020.00
ALLE: -0.44
SCHG: -0.34

The current ALLE Sharpe Ratio is -0.21, which is lower than the SCHG Sharpe Ratio of -0.08. The chart below compares the historical Sharpe Ratios of ALLE and SCHG, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.21
-0.08
ALLE
SCHG

Dividends

ALLE vs. SCHG - Dividend Comparison

ALLE's dividend yield for the trailing twelve months is around 1.58%, more than SCHG's 0.50% yield.


TTM20242023202220212020201920182017201620152014
ALLE
Allegion plc
1.58%1.47%1.42%1.56%1.09%1.10%0.87%1.05%0.80%0.75%0.61%0.58%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.50%0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%

Drawdowns

ALLE vs. SCHG - Drawdown Comparison

The maximum ALLE drawdown since its inception was -43.25%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for ALLE and SCHG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-18.77%
-22.36%
ALLE
SCHG

Volatility

ALLE vs. SCHG - Volatility Comparison

The current volatility for Allegion plc (ALLE) is 9.09%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 11.13%. This indicates that ALLE experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
9.09%
11.13%
ALLE
SCHG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab