PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CDL vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CDLSCHD
YTD Return7.07%6.74%
1Y Return13.89%15.96%
3Y Return (Ann)7.68%6.69%
5Y Return (Ann)9.91%12.89%
Sharpe Ratio1.281.50
Daily Std Dev12.07%11.53%
Max Drawdown-41.03%-33.37%
Current Drawdown0.00%0.00%

Correlation

0.88
-1.001.00

The correlation between CDL and SCHD is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CDL vs. SCHD - Performance Comparison

The year-to-date returns for both stocks are quite close, with CDL having a 7.07% return and SCHD slightly lower at 6.74%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%120.00%140.00%160.00%180.00%OctoberNovemberDecember2024FebruaryMarch
135.98%
179.08%
CDL
SCHD

Compare stocks, funds, or ETFs


VictoryShares US Large Cap High Dividend Volatility Wtd ETF

Schwab US Dividend Equity ETF

CDL vs. SCHD - Expense Ratio Comparison

CDL has a 0.35% expense ratio, which is higher than SCHD's 0.06% expense ratio.

CDL
VictoryShares US Large Cap High Dividend Volatility Wtd ETF
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

CDL vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VictoryShares US Large Cap High Dividend Volatility Wtd ETF (CDL) 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
CDL
VictoryShares US Large Cap High Dividend Volatility Wtd ETF
1.28
SCHD
Schwab US Dividend Equity ETF
1.50

CDL vs. SCHD - Sharpe Ratio Comparison

The current CDL Sharpe Ratio is 1.28, which roughly equals the SCHD Sharpe Ratio of 1.50. The chart below compares the 12-month rolling Sharpe Ratio of CDL and SCHD.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50OctoberNovemberDecember2024FebruaryMarch
1.28
1.50
CDL
SCHD

Dividends

CDL vs. SCHD - Dividend Comparison

CDL's dividend yield for the trailing twelve months is around 3.53%, more than SCHD's 3.31% yield.


TTM20232022202120202019201820172016201520142013
CDL
VictoryShares US Large Cap High Dividend Volatility Wtd ETF
3.53%3.61%3.31%2.60%3.32%3.04%3.32%2.87%2.97%0.92%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.31%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

CDL vs. SCHD - Drawdown Comparison

The maximum CDL drawdown since its inception was -41.03%, which is greater than SCHD's maximum drawdown of -33.37%. The drawdown chart below compares losses from any high point along the way for CDL and SCHD


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
CDL
SCHD

Volatility

CDL vs. SCHD - Volatility Comparison

VictoryShares US Large Cap High Dividend Volatility Wtd ETF (CDL) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 2.55% and 2.68%, 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.


2.00%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
2.55%
2.68%
CDL
SCHD