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

Key characteristics


GHYGSCHD
YTD Return6.88%17.07%
1Y Return14.04%29.42%
3Y Return (Ann)1.93%6.98%
5Y Return (Ann)3.37%12.68%
10Y Return (Ann)3.58%11.66%
Sharpe Ratio2.592.58
Sortino Ratio3.903.73
Omega Ratio1.501.46
Calmar Ratio1.672.70
Martin Ratio16.3114.33
Ulcer Index0.86%2.04%
Daily Std Dev5.44%11.31%
Max Drawdown-27.36%-33.37%
Current Drawdown-0.80%-0.45%

Correlation

-0.50.00.51.00.5

The correlation between GHYG and SCHD is 0.45, 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.

Performance

GHYG vs. SCHD - Performance Comparison

In the year-to-date period, GHYG achieves a 6.88% return, which is significantly lower than SCHD's 17.07% return. Over the past 10 years, GHYG has underperformed SCHD with an annualized return of 3.58%, while SCHD has yielded a comparatively higher 11.66% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.15%
11.52%
GHYG
SCHD

Compare stocks, funds, or ETFs

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


GHYG vs. SCHD - Expense Ratio Comparison

GHYG has a 0.40% expense ratio, which is higher than SCHD's 0.06% expense ratio.


GHYG
iShares US & Intl High Yield Corp Bond ETF
Expense ratio chart for GHYG: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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

GHYG vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares US & Intl High Yield Corp Bond ETF (GHYG) 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.


GHYG
Sharpe ratio
The chart of Sharpe ratio for GHYG, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for GHYG, currently valued at 3.90, compared to the broader market-2.000.002.004.006.008.0010.0012.003.90
Omega ratio
The chart of Omega ratio for GHYG, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for GHYG, currently valued at 1.67, compared to the broader market0.005.0010.0015.001.67
Martin ratio
The chart of Martin ratio for GHYG, currently valued at 16.31, compared to the broader market0.0020.0040.0060.0080.00100.0016.31
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.58, compared to the broader market-2.000.002.004.006.002.58
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.73, compared to the broader market-2.000.002.004.006.008.0010.0012.003.73
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.70, compared to the broader market0.005.0010.0015.002.70
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.33, compared to the broader market0.0020.0040.0060.0080.00100.0014.33

GHYG vs. SCHD - Sharpe Ratio Comparison

The current GHYG Sharpe Ratio is 2.59, which is comparable to the SCHD Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of GHYG 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.59
2.58
GHYG
SCHD

Dividends

GHYG vs. SCHD - Dividend Comparison

GHYG's dividend yield for the trailing twelve months is around 5.80%, more than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
GHYG
iShares US & Intl High Yield Corp Bond ETF
5.80%5.61%4.64%4.57%4.36%4.61%5.62%4.60%4.61%4.78%5.73%5.52%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

GHYG vs. SCHD - Drawdown Comparison

The maximum GHYG drawdown since its inception was -27.36%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for GHYG and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
-0.45%
GHYG
SCHD

Volatility

GHYG vs. SCHD - Volatility Comparison

The current volatility for iShares US & Intl High Yield Corp Bond ETF (GHYG) is 1.24%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.58%. This indicates that GHYG experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.24%
3.58%
GHYG
SCHD