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FSS vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FSS and SCHG is 0.51, 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

FSS vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federal Signal Corporation (FSS) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

800.00%1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%JulyAugustSeptemberOctoberNovemberDecember
1,736.55%
923.84%
FSS
SCHG

Key characteristics

Sharpe Ratio

FSS:

0.76

SCHG:

2.22

Sortino Ratio

FSS:

1.21

SCHG:

2.86

Omega Ratio

FSS:

1.15

SCHG:

1.40

Calmar Ratio

FSS:

1.19

SCHG:

3.13

Martin Ratio

FSS:

3.16

SCHG:

12.34

Ulcer Index

FSS:

6.90%

SCHG:

3.14%

Daily Std Dev

FSS:

28.58%

SCHG:

17.45%

Max Drawdown

FSS:

-83.42%

SCHG:

-34.59%

Current Drawdown

FSS:

-7.94%

SCHG:

-2.75%

Returns By Period

In the year-to-date period, FSS achieves a 20.28% return, which is significantly lower than SCHG's 37.04% return. Over the past 10 years, FSS has outperformed SCHG with an annualized return of 21.05%, while SCHG has yielded a comparatively lower 16.77% annualized return.


FSS

YTD

20.28%

1M

0.15%

6M

9.13%

1Y

21.04%

5Y*

24.24%

10Y*

21.05%

SCHG

YTD

37.04%

1M

3.40%

6M

12.88%

1Y

37.14%

5Y*

20.24%

10Y*

16.77%

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Risk-Adjusted Performance

FSS vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Federal Signal Corporation (FSS) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 FSS, currently valued at 0.76, compared to the broader market-4.00-2.000.002.000.762.22
The chart of Sortino ratio for FSS, currently valued at 1.21, compared to the broader market-4.00-2.000.002.004.001.212.86
The chart of Omega ratio for FSS, currently valued at 1.15, compared to the broader market0.501.001.502.001.151.40
The chart of Calmar ratio for FSS, currently valued at 1.19, compared to the broader market0.002.004.006.001.193.13
The chart of Martin ratio for FSS, currently valued at 3.16, compared to the broader market-5.000.005.0010.0015.0020.0025.003.1612.34
FSS
SCHG

The current FSS Sharpe Ratio is 0.76, which is lower than the SCHG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of FSS and SCHG, 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
0.76
2.22
FSS
SCHG

Dividends

FSS vs. SCHG - Dividend Comparison

FSS's dividend yield for the trailing twelve months is around 0.52%, more than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
FSS
Federal Signal Corporation
0.52%0.51%0.77%0.83%0.96%0.99%1.56%1.39%1.79%1.58%0.58%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

FSS vs. SCHG - Drawdown Comparison

The maximum FSS drawdown since its inception was -83.42%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for FSS and SCHG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.94%
-2.75%
FSS
SCHG

Volatility

FSS vs. SCHG - Volatility Comparison

Federal Signal Corporation (FSS) has a higher volatility of 6.66% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.07%. This indicates that FSS's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.66%
5.07%
FSS
SCHG
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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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