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

Key characteristics


BXSCHD
YTD Return15.67%14.66%
1Y Return45.09%24.65%
3Y Return (Ann)12.45%7.52%
5Y Return (Ann)30.51%13.23%
10Y Return (Ann)24.05%12.12%
Sharpe Ratio1.492.17
Sortino Ratio2.053.12
Omega Ratio1.251.38
Calmar Ratio1.321.91
Martin Ratio7.5111.39
Ulcer Index6.09%2.22%
Daily Std Dev30.63%11.62%
Max Drawdown-87.65%-33.37%
Current Drawdown-7.04%0.00%

Correlation

-0.50.00.51.00.6

The correlation between BX and SCHD is 0.56, 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

BX vs. SCHD - Performance Comparison

In the year-to-date period, BX achieves a 15.67% return, which is significantly higher than SCHD's 14.66% return. Over the past 10 years, BX has outperformed SCHD with an annualized return of 24.05%, while SCHD has yielded a comparatively lower 12.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%MayJuneJulyAugustSeptemberOctober
2,079.35%
408.69%
BX
SCHD

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Risk-Adjusted Performance

BX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Blackstone Group Inc. (BX) 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.


BX
Sharpe ratio
The chart of Sharpe ratio for BX, currently valued at 1.49, compared to the broader market-4.00-2.000.002.001.49
Sortino ratio
The chart of Sortino ratio for BX, currently valued at 2.05, compared to the broader market-4.00-2.000.002.004.002.05
Omega ratio
The chart of Omega ratio for BX, currently valued at 1.25, compared to the broader market0.501.001.502.001.25
Calmar ratio
The chart of Calmar ratio for BX, currently valued at 1.32, compared to the broader market0.002.004.006.001.32
Martin ratio
The chart of Martin ratio for BX, currently valued at 7.51, compared to the broader market-30.00-20.00-10.000.0010.0020.007.51
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.17, compared to the broader market-4.00-2.000.002.002.17
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.12, compared to the broader market-4.00-2.000.002.004.003.12
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.38, compared to the broader market0.501.001.502.001.38
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 1.91, compared to the broader market0.002.004.006.001.91
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 11.39, compared to the broader market-30.00-20.00-10.000.0010.0020.0011.39

BX vs. SCHD - Sharpe Ratio Comparison

The current BX Sharpe Ratio is 1.49, which is lower than the SCHD Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of BX and SCHD, 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 Ratio0.501.001.502.00MayJuneJulyAugustSeptemberOctober
1.49
2.17
BX
SCHD

Dividends

BX vs. SCHD - Dividend Comparison

BX's dividend yield for the trailing twelve months is around 2.28%, less than SCHD's 3.45% yield.


TTM20232022202120202019201820172016201520142013
BX
The Blackstone Group Inc.
2.28%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.63%3.67%
SCHD
Schwab US Dividend Equity ETF
3.45%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

BX vs. SCHD - Drawdown Comparison

The maximum BX drawdown since its inception was -87.65%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for BX and SCHD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-7.04%
0
BX
SCHD

Volatility

BX vs. SCHD - Volatility Comparison

The Blackstone Group Inc. (BX) has a higher volatility of 7.06% compared to Schwab US Dividend Equity ETF (SCHD) at 2.53%. This indicates that BX'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.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
7.06%
2.53%
BX
SCHD