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

Key characteristics


BBVASCHG
YTD Return19.18%27.32%
1Y Return34.21%40.87%
3Y Return (Ann)22.52%12.49%
5Y Return (Ann)21.41%20.72%
10Y Return (Ann)4.42%17.11%
Sharpe Ratio1.322.43
Sortino Ratio1.723.14
Omega Ratio1.241.43
Calmar Ratio1.422.75
Martin Ratio4.5912.74
Ulcer Index8.27%3.26%
Daily Std Dev28.72%17.12%
Max Drawdown-80.19%-34.59%
Current Drawdown-10.87%-0.27%

Correlation

-0.50.00.51.00.5

The correlation between BBVA and SCHG is 0.48, 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

BBVA vs. SCHG - Performance Comparison

In the year-to-date period, BBVA achieves a 19.18% return, which is significantly lower than SCHG's 27.32% return. Over the past 10 years, BBVA has underperformed SCHG with an annualized return of 4.42%, while SCHG has yielded a comparatively higher 17.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%MayJuneJulyAugustSeptemberOctober
-5.90%
14.83%
BBVA
SCHG

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

BBVA vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) 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.


BBVA
Sharpe ratio
The chart of Sharpe ratio for BBVA, currently valued at 1.32, compared to the broader market-4.00-2.000.002.001.32
Sortino ratio
The chart of Sortino ratio for BBVA, currently valued at 1.72, compared to the broader market-4.00-2.000.002.004.001.72
Omega ratio
The chart of Omega ratio for BBVA, currently valued at 1.24, compared to the broader market0.501.001.502.001.24
Calmar ratio
The chart of Calmar ratio for BBVA, currently valued at 2.03, compared to the broader market0.002.004.006.002.03
Martin ratio
The chart of Martin ratio for BBVA, currently valued at 4.59, compared to the broader market-30.00-20.00-10.000.0010.0020.004.59
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.43, compared to the broader market-4.00-2.000.002.002.43
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.14, compared to the broader market-4.00-2.000.002.004.003.14
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.43, compared to the broader market0.501.001.502.001.43
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 2.75, compared to the broader market0.002.004.006.002.75
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 12.74, compared to the broader market-30.00-20.00-10.000.0010.0020.0012.74

BBVA vs. SCHG - Sharpe Ratio Comparison

The current BBVA Sharpe Ratio is 1.32, which is lower than the SCHG Sharpe Ratio of 2.43. The chart below compares the historical Sharpe Ratios of BBVA and SCHG, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.32
2.43
BBVA
SCHG

Dividends

BBVA vs. SCHG - Dividend Comparison

BBVA's dividend yield for the trailing twelve months is around 7.31%, more than SCHG's 0.42% yield.


TTM20232022202120202019201820172016201520142013
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.
7.31%5.58%6.28%2.79%3.53%5.20%5.67%3.92%6.02%4.29%5.71%4.43%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.42%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.27%1.22%1.09%1.07%

Drawdowns

BBVA vs. SCHG - Drawdown Comparison

The maximum BBVA drawdown since its inception was -80.19%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for BBVA and SCHG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.87%
-0.27%
BBVA
SCHG

Volatility

BBVA vs. SCHG - Volatility Comparison

Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) has a higher volatility of 8.90% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 4.28%. This indicates that BBVA's price experiences larger fluctuations and is considered to be riskier 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%14.00%16.00%MayJuneJulyAugustSeptemberOctober
8.90%
4.28%
BBVA
SCHG