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

Correlation

The correlation between COF and SCHD is 0.63, 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.


-0.50.00.51.0
Correlation: 0.6

Performance

COF vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Capital One Financial Corporation (COF) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%500.00%550.00%NovemberDecember2025FebruaryMarchApril
468.06%
369.64%
COF
SCHD

Key characteristics

Sharpe Ratio

COF:

0.64

SCHD:

0.18

Sortino Ratio

COF:

1.21

SCHD:

0.35

Omega Ratio

COF:

1.16

SCHD:

1.05

Calmar Ratio

COF:

0.90

SCHD:

0.18

Martin Ratio

COF:

2.84

SCHD:

0.64

Ulcer Index

COF:

8.94%

SCHD:

4.44%

Daily Std Dev

COF:

39.56%

SCHD:

15.99%

Max Drawdown

COF:

-90.17%

SCHD:

-33.37%

Current Drawdown

COF:

-12.91%

SCHD:

-11.47%

Returns By Period

In the year-to-date period, COF achieves a 2.78% return, which is significantly higher than SCHD's -5.19% return. Both investments have delivered pretty close results over the past 10 years, with COF having a 10.63% annualized return and SCHD not far behind at 10.28%.


COF

YTD

2.78%

1M

1.61%

6M

14.01%

1Y

27.06%

5Y*

28.98%

10Y*

10.63%

SCHD

YTD

-5.19%

1M

-7.66%

6M

-7.13%

1Y

3.11%

5Y*

13.15%

10Y*

10.28%

*Annualized

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Risk-Adjusted Performance

COF vs. SCHD — Risk-Adjusted Performance Rank

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

COF
The Risk-Adjusted Performance Rank of COF is 7676
Overall Rank
The Sharpe Ratio Rank of COF is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of COF is 7171
Sortino Ratio Rank
The Omega Ratio Rank of COF is 7070
Omega Ratio Rank
The Calmar Ratio Rank of COF is 8383
Calmar Ratio Rank
The Martin Ratio Rank of COF is 7878
Martin Ratio Rank

SCHD
The Risk-Adjusted Performance Rank of SCHD is 3131
Overall Rank
The Sharpe Ratio Rank of SCHD is 3131
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHD is 3030
Sortino Ratio Rank
The Omega Ratio Rank of SCHD is 2929
Omega Ratio Rank
The Calmar Ratio Rank of SCHD is 3434
Calmar Ratio Rank
The Martin Ratio Rank of SCHD is 3232
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.

COF vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital One Financial Corporation (COF) 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 chart of Sharpe ratio for COF, currently valued at 0.64, compared to the broader market-2.00-1.000.001.002.003.00
COF: 0.64
SCHD: 0.18
The chart of Sortino ratio for COF, currently valued at 1.21, compared to the broader market-6.00-4.00-2.000.002.004.00
COF: 1.21
SCHD: 0.35
The chart of Omega ratio for COF, currently valued at 1.16, compared to the broader market0.501.001.502.00
COF: 1.16
SCHD: 1.05
The chart of Calmar ratio for COF, currently valued at 0.90, compared to the broader market0.001.002.003.004.005.00
COF: 0.90
SCHD: 0.18
The chart of Martin ratio for COF, currently valued at 2.84, compared to the broader market-5.000.005.0010.0015.0020.00
COF: 2.84
SCHD: 0.64

The current COF Sharpe Ratio is 0.64, which is higher than the SCHD Sharpe Ratio of 0.18. The chart below compares the historical Sharpe Ratios of COF 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.


Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.64
0.18
COF
SCHD

Dividends

COF vs. SCHD - Dividend Comparison

COF's dividend yield for the trailing twelve months is around 1.31%, less than SCHD's 4.05% yield.


TTM20242023202220212020201920182017201620152014
COF
Capital One Financial Corporation
1.31%1.35%1.83%2.58%1.79%1.01%1.55%2.12%1.61%1.83%2.63%1.45%
SCHD
Schwab US Dividend Equity ETF
4.05%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%

Drawdowns

COF vs. SCHD - Drawdown Comparison

The maximum COF drawdown since its inception was -90.17%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for COF and SCHD. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-12.91%
-11.47%
COF
SCHD

Volatility

COF vs. SCHD - Volatility Comparison

Capital One Financial Corporation (COF) has a higher volatility of 23.41% compared to Schwab US Dividend Equity ETF (SCHD) at 11.20%. This indicates that COF'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.


5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
23.41%
11.20%
COF
SCHD