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

Correlation

The correlation between CHMI and SCHD is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

CHMI vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cherry Hill Mortgage Investment Corporation (CHMI) 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

CHMI:

-0.14

SCHD:

0.12

Sortino Ratio

CHMI:

0.07

SCHD:

0.22

Omega Ratio

CHMI:

1.01

SCHD:

1.03

Calmar Ratio

CHMI:

-0.06

SCHD:

0.07

Martin Ratio

CHMI:

-0.31

SCHD:

0.23

Ulcer Index

CHMI:

14.54%

SCHD:

5.18%

Daily Std Dev

CHMI:

35.60%

SCHD:

16.46%

Max Drawdown

CHMI:

-82.38%

SCHD:

-33.37%

Current Drawdown

CHMI:

-62.14%

SCHD:

-10.30%

Returns By Period

In the year-to-date period, CHMI achieves a 16.84% return, which is significantly higher than SCHD's -3.94% return. Over the past 10 years, CHMI has underperformed SCHD with an annualized return of -4.50%, while SCHD has yielded a comparatively higher 10.41% annualized return.


CHMI

YTD

16.84%

1M

12.60%

6M

25.45%

1Y

-4.78%

3Y*

-10.88%

5Y*

-6.31%

10Y*

-4.50%

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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Schwab US Dividend Equity ETF

Risk-Adjusted Performance

CHMI vs. SCHD — Risk-Adjusted Performance Rank

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

CHMI
The Risk-Adjusted Performance Rank of CHMI is 4242
Overall Rank
The Sharpe Ratio Rank of CHMI is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of CHMI is 3838
Sortino Ratio Rank
The Omega Ratio Rank of CHMI is 3838
Omega Ratio Rank
The Calmar Ratio Rank of CHMI is 4747
Calmar Ratio Rank
The Martin Ratio Rank of CHMI is 4545
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.

CHMI vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cherry Hill Mortgage Investment Corporation (CHMI) 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 CHMI Sharpe Ratio is -0.14, which is lower than the SCHD Sharpe Ratio of 0.12. The chart below compares the historical Sharpe Ratios of CHMI 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

CHMI vs. SCHD - Dividend Comparison

CHMI's dividend yield for the trailing twelve months is around 20.34%, more than SCHD's 4.00% yield.


TTM20242023202220212020201920182017201620152014
CHMI
Cherry Hill Mortgage Investment Corporation
20.34%22.73%17.82%18.62%13.06%11.05%12.20%12.03%10.89%11.60%15.23%10.98%
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

CHMI vs. SCHD - Drawdown Comparison

The maximum CHMI drawdown since its inception was -82.38%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for CHMI and SCHD. For additional features, visit the drawdowns tool.


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Volatility

CHMI vs. SCHD - Volatility Comparison

Cherry Hill Mortgage Investment Corporation (CHMI) has a higher volatility of 10.10% compared to Schwab US Dividend Equity ETF (SCHD) at 4.71%. This indicates that CHMI'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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