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CGDV vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGDVSCHG
YTD Return24.02%34.32%
1Y Return34.59%42.00%
Sharpe Ratio3.242.64
Sortino Ratio4.483.39
Omega Ratio1.591.48
Calmar Ratio7.153.62
Martin Ratio28.0214.42
Ulcer Index1.33%3.10%
Daily Std Dev11.48%16.93%
Max Drawdown-21.82%-34.59%
Current Drawdown-1.40%-0.18%

Correlation

-0.50.00.51.00.8

The correlation between CGDV and SCHG is 0.81, 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

CGDV vs. SCHG - Performance Comparison

In the year-to-date period, CGDV achieves a 24.02% return, which is significantly lower than SCHG's 34.32% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.56%
17.14%
CGDV
SCHG

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CGDV vs. SCHG - Expense Ratio Comparison

CGDV has a 0.33% expense ratio, which is higher than SCHG's 0.04% expense ratio.


CGDV
Capital Group Dividend Value ETF
Expense ratio chart for CGDV: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

CGDV vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group Dividend Value ETF (CGDV) 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.


CGDV
Sharpe ratio
The chart of Sharpe ratio for CGDV, currently valued at 3.24, compared to the broader market-2.000.002.004.003.24
Sortino ratio
The chart of Sortino ratio for CGDV, currently valued at 4.48, compared to the broader market0.005.0010.004.48
Omega ratio
The chart of Omega ratio for CGDV, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for CGDV, currently valued at 7.15, compared to the broader market0.005.0010.0015.007.15
Martin ratio
The chart of Martin ratio for CGDV, currently valued at 28.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.02
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.64, compared to the broader market-2.000.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.62, compared to the broader market0.005.0010.0015.003.62
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.42, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.42

CGDV vs. SCHG - Sharpe Ratio Comparison

The current CGDV Sharpe Ratio is 3.24, which is comparable to the SCHG Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of CGDV 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.24
2.64
CGDV
SCHG

Dividends

CGDV vs. SCHG - Dividend Comparison

CGDV's dividend yield for the trailing twelve months is around 1.49%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
CGDV
Capital Group Dividend Value ETF
1.49%1.66%1.36%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

CGDV vs. SCHG - Drawdown Comparison

The maximum CGDV drawdown since its inception was -21.82%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for CGDV and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.40%
-0.18%
CGDV
SCHG

Volatility

CGDV vs. SCHG - Volatility Comparison

The current volatility for Capital Group Dividend Value ETF (CGDV) is 3.26%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.15%. This indicates that CGDV 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.26%
5.15%
CGDV
SCHG