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ENB.TO vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ENB.TO and SCHD is 0.50, 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.


-0.50.00.51.00.5

Performance

ENB.TO vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Enbridge Inc. (ENB.TO) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
22.24%
8.82%
ENB.TO
SCHD

Key characteristics

Sharpe Ratio

ENB.TO:

2.89

SCHD:

1.17

Sortino Ratio

ENB.TO:

4.28

SCHD:

1.72

Omega Ratio

ENB.TO:

1.51

SCHD:

1.21

Calmar Ratio

ENB.TO:

2.41

SCHD:

1.65

Martin Ratio

ENB.TO:

12.88

SCHD:

5.56

Ulcer Index

ENB.TO:

2.70%

SCHD:

2.36%

Daily Std Dev

ENB.TO:

12.02%

SCHD:

11.24%

Max Drawdown

ENB.TO:

-48.20%

SCHD:

-33.37%

Current Drawdown

ENB.TO:

-2.50%

SCHD:

-5.73%

Returns By Period

In the year-to-date period, ENB.TO achieves a 35.11% return, which is significantly higher than SCHD's 12.72% return. Over the past 10 years, ENB.TO has underperformed SCHD with an annualized return of 6.29%, while SCHD has yielded a comparatively higher 10.97% annualized return.


ENB.TO

YTD

35.11%

1M

-0.63%

6M

29.91%

1Y

34.77%

5Y*

10.26%

10Y*

6.29%

SCHD

YTD

12.72%

1M

-5.15%

6M

8.36%

1Y

13.14%

5Y*

11.20%

10Y*

10.97%

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Risk-Adjusted Performance

ENB.TO vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Enbridge Inc. (ENB.TO) 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 ENB.TO, currently valued at 1.70, compared to the broader market-4.00-2.000.002.001.701.06
The chart of Sortino ratio for ENB.TO, currently valued at 2.42, compared to the broader market-4.00-2.000.002.004.002.421.58
The chart of Omega ratio for ENB.TO, currently valued at 1.29, compared to the broader market0.501.001.502.001.291.19
The chart of Calmar ratio for ENB.TO, currently valued at 1.09, compared to the broader market0.002.004.006.001.091.50
The chart of Martin ratio for ENB.TO, currently valued at 7.06, compared to the broader market0.0010.0020.007.064.98
ENB.TO
SCHD

The current ENB.TO Sharpe Ratio is 2.89, which is higher than the SCHD Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of ENB.TO 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.70
1.06
ENB.TO
SCHD

Dividends

ENB.TO vs. SCHD - Dividend Comparison

ENB.TO's dividend yield for the trailing twelve months is around 6.09%, more than SCHD's 3.61% yield.


TTM20232022202120202019201820172016201520142013
ENB.TO
Enbridge Inc.
6.09%7.44%6.50%6.76%7.96%5.72%6.33%4.91%3.75%4.04%2.34%2.71%
SCHD
Schwab US Dividend Equity ETF
3.61%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

ENB.TO vs. SCHD - Drawdown Comparison

The maximum ENB.TO drawdown since its inception was -48.20%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ENB.TO and SCHD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.78%
-5.73%
ENB.TO
SCHD

Volatility

ENB.TO vs. SCHD - Volatility Comparison

Enbridge Inc. (ENB.TO) has a higher volatility of 4.41% compared to Schwab US Dividend Equity ETF (SCHD) at 3.46%. This indicates that ENB.TO'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.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.41%
3.46%
ENB.TO
SCHD
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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.

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