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

Correlation

The correlation between DFLV and SCHD is 0.92, 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.


-0.50.00.51.00.9

Performance

DFLV vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional US Large Cap Value ETF (DFLV) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
26.67%
16.62%
DFLV
SCHD

Key characteristics

Sharpe Ratio

DFLV:

1.11

SCHD:

1.07

Sortino Ratio

DFLV:

1.65

SCHD:

1.59

Omega Ratio

DFLV:

1.20

SCHD:

1.19

Calmar Ratio

DFLV:

1.51

SCHD:

1.52

Martin Ratio

DFLV:

5.10

SCHD:

4.98

Ulcer Index

DFLV:

2.61%

SCHD:

2.42%

Daily Std Dev

DFLV:

12.03%

SCHD:

11.24%

Max Drawdown

DFLV:

-11.29%

SCHD:

-33.37%

Current Drawdown

DFLV:

-6.95%

SCHD:

-6.11%

Returns By Period

In the year-to-date period, DFLV achieves a 13.56% return, which is significantly higher than SCHD's 12.27% return.


DFLV

YTD

13.56%

1M

-6.69%

6M

5.45%

1Y

13.18%

5Y*

N/A

10Y*

N/A

SCHD

YTD

12.27%

1M

-5.82%

6M

7.93%

1Y

11.99%

5Y*

11.08%

10Y*

11.00%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DFLV vs. SCHD - Expense Ratio Comparison

DFLV has a 0.22% expense ratio, which is higher than SCHD's 0.06% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFLV
Dimensional US Large Cap Value ETF
Expense ratio chart for DFLV: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

DFLV vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional US Large Cap Value ETF (DFLV) 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 ratio
The chart of Sharpe ratio for DFLV, currently valued at 1.11, compared to the broader market0.002.004.001.111.07
The chart of Sortino ratio for DFLV, currently valued at 1.65, compared to the broader market-2.000.002.004.006.008.0010.001.651.59
The chart of Omega ratio for DFLV, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.19
The chart of Calmar ratio for DFLV, currently valued at 1.51, compared to the broader market0.005.0010.0015.001.511.52
The chart of Martin ratio for DFLV, currently valued at 5.10, compared to the broader market0.0020.0040.0060.0080.00100.005.104.98
DFLV
SCHD

The current DFLV Sharpe Ratio is 1.11, which is comparable to the SCHD Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of DFLV 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.11
1.07
DFLV
SCHD

Dividends

DFLV vs. SCHD - Dividend Comparison

DFLV's dividend yield for the trailing twelve months is around 1.64%, less than SCHD's 3.62% yield.


TTM20232022202120202019201820172016201520142013
DFLV
Dimensional US Large Cap Value ETF
1.64%1.72%0.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.62%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

DFLV vs. SCHD - Drawdown Comparison

The maximum DFLV drawdown since its inception was -11.29%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for DFLV and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.95%
-6.11%
DFLV
SCHD

Volatility

DFLV vs. SCHD - Volatility Comparison

Dimensional US Large Cap Value ETF (DFLV) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.38% and 3.47%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JulyAugustSeptemberOctoberNovemberDecember
3.38%
3.47%
DFLV
SCHD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab