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

Correlation

The correlation between EPRT and SCHD is 0.48, 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

EPRT vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Essential Properties Realty Trust, Inc. (EPRT) 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
19.65%
7.54%
EPRT
SCHD

Key characteristics

Sharpe Ratio

EPRT:

1.45

SCHD:

1.15

Sortino Ratio

EPRT:

1.97

SCHD:

1.70

Omega Ratio

EPRT:

1.24

SCHD:

1.20

Calmar Ratio

EPRT:

1.53

SCHD:

1.63

Martin Ratio

EPRT:

7.26

SCHD:

5.55

Ulcer Index

EPRT:

3.89%

SCHD:

2.33%

Daily Std Dev

EPRT:

19.53%

SCHD:

11.24%

Max Drawdown

EPRT:

-73.67%

SCHD:

-33.37%

Current Drawdown

EPRT:

-7.72%

SCHD:

-6.45%

Returns By Period

In the year-to-date period, EPRT achieves a 27.64% return, which is significantly higher than SCHD's 11.86% return.


EPRT

YTD

27.64%

1M

-5.41%

6M

17.86%

1Y

27.61%

5Y*

10.12%

10Y*

N/A

SCHD

YTD

11.86%

1M

-5.88%

6M

6.68%

1Y

12.28%

5Y*

11.08%

10Y*

10.89%

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Risk-Adjusted Performance

EPRT vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Essential Properties Realty Trust, Inc. (EPRT) 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 EPRT, currently valued at 1.45, compared to the broader market-4.00-2.000.002.001.451.15
The chart of Sortino ratio for EPRT, currently valued at 1.97, compared to the broader market-4.00-2.000.002.004.001.971.70
The chart of Omega ratio for EPRT, currently valued at 1.24, compared to the broader market0.501.001.502.001.241.20
The chart of Calmar ratio for EPRT, currently valued at 1.53, compared to the broader market0.002.004.006.001.531.63
The chart of Martin ratio for EPRT, currently valued at 7.26, compared to the broader market-5.000.005.0010.0015.0020.0025.007.265.55
EPRT
SCHD

The current EPRT Sharpe Ratio is 1.45, which is comparable to the SCHD Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of EPRT 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.45
1.15
EPRT
SCHD

Dividends

EPRT vs. SCHD - Dividend Comparison

EPRT's dividend yield for the trailing twelve months is around 3.63%, which matches SCHD's 3.63% yield.


TTM20232022202120202019201820172016201520142013
EPRT
Essential Properties Realty Trust, Inc.
3.63%4.38%4.58%3.47%4.39%3.55%3.14%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.63%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

EPRT vs. SCHD - Drawdown Comparison

The maximum EPRT drawdown since its inception was -73.67%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for EPRT and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.72%
-6.45%
EPRT
SCHD

Volatility

EPRT vs. SCHD - Volatility Comparison

Essential Properties Realty Trust, Inc. (EPRT) has a higher volatility of 6.25% compared to Schwab US Dividend Equity ETF (SCHD) at 3.73%. This indicates that EPRT'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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.25%
3.73%
EPRT
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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