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BMY vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BMY and SCHD is 0.40, 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

BMY vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bristol-Myers Squibb Company (BMY) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

BMY:

0.53

SCHD:

0.12

Sortino Ratio

BMY:

0.80

SCHD:

0.22

Omega Ratio

BMY:

1.10

SCHD:

1.03

Calmar Ratio

BMY:

0.25

SCHD:

0.07

Martin Ratio

BMY:

1.37

SCHD:

0.23

Ulcer Index

BMY:

8.75%

SCHD:

5.18%

Daily Std Dev

BMY:

31.57%

SCHD:

16.46%

Max Drawdown

BMY:

-70.62%

SCHD:

-33.37%

Current Drawdown

BMY:

-35.58%

SCHD:

-10.30%

Returns By Period

In the year-to-date period, BMY achieves a -15.07% return, which is significantly lower than SCHD's -3.94% return. Over the past 10 years, BMY has underperformed SCHD with an annualized return of -0.53%, while SCHD has yielded a comparatively higher 10.41% annualized return.


BMY

YTD

-15.07%

1M

-3.96%

6M

-17.01%

1Y

16.66%

3Y*

-11.38%

5Y*

-1.48%

10Y*

-0.53%

SCHD

YTD

-3.94%

1M

3.92%

6M

-7.73%

1Y

1.97%

3Y*

5.25%

5Y*

12.87%

10Y*

10.41%

*Annualized

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Bristol-Myers Squibb Company

Schwab US Dividend Equity ETF

Risk-Adjusted Performance

BMY vs. SCHD — Risk-Adjusted Performance Rank

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

BMY
The Risk-Adjusted Performance Rank of BMY is 6464
Overall Rank
The Sharpe Ratio Rank of BMY is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of BMY is 6060
Sortino Ratio Rank
The Omega Ratio Rank of BMY is 5757
Omega Ratio Rank
The Calmar Ratio Rank of BMY is 6363
Calmar Ratio Rank
The Martin Ratio Rank of BMY is 6767
Martin Ratio Rank

SCHD
The Risk-Adjusted Performance Rank of SCHD is 1919
Overall Rank
The Sharpe Ratio Rank of SCHD is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHD is 1818
Sortino Ratio Rank
The Omega Ratio Rank of SCHD is 1818
Omega Ratio Rank
The Calmar Ratio Rank of SCHD is 2020
Calmar Ratio Rank
The Martin Ratio Rank of SCHD is 1919
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.

BMY vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bristol-Myers Squibb Company (BMY) 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.


The current BMY Sharpe Ratio is 0.53, which is higher than the SCHD Sharpe Ratio of 0.12. The chart below compares the historical Sharpe Ratios of BMY 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.


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Dividends

BMY vs. SCHD - Dividend Comparison

BMY's dividend yield for the trailing twelve months is around 5.19%, more than SCHD's 4.00% yield.


TTM20242023202220212020201920182017201620152014
BMY
Bristol-Myers Squibb Company
5.19%4.24%4.44%3.00%2.36%3.69%2.55%3.08%2.55%1.95%2.17%2.46%
SCHD
Schwab US Dividend Equity ETF
4.00%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%

Drawdowns

BMY vs. SCHD - Drawdown Comparison

The maximum BMY drawdown since its inception was -70.62%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for BMY and SCHD. For additional features, visit the drawdowns tool.


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Volatility

BMY vs. SCHD - Volatility Comparison

Bristol-Myers Squibb Company (BMY) has a higher volatility of 11.68% compared to Schwab US Dividend Equity ETF (SCHD) at 4.71%. This indicates that BMY's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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