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

Key characteristics


GPIQSCHD
YTD Return22.83%17.47%
1Y Return28.73%27.61%
Sharpe Ratio2.122.70
Sortino Ratio2.823.89
Omega Ratio1.411.48
Calmar Ratio2.653.71
Martin Ratio10.8214.94
Ulcer Index2.86%2.04%
Daily Std Dev14.61%11.25%
Max Drawdown-11.66%-33.37%
Current Drawdown-0.22%-0.51%

Correlation

-0.50.00.51.00.4

The correlation between GPIQ and SCHD is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

GPIQ vs. SCHD - Performance Comparison

In the year-to-date period, GPIQ achieves a 22.83% return, which is significantly higher than SCHD's 17.47% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.97%
10.72%
GPIQ
SCHD

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GPIQ vs. SCHD - Expense Ratio Comparison

GPIQ has a 0.29% expense ratio, which is higher than SCHD's 0.06% expense ratio.


GPIQ
Goldman Sachs Nasdaq-100 Core Premium Income ETF
Expense ratio chart for GPIQ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
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

GPIQ vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Nasdaq-100 Core Premium Income ETF (GPIQ) 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.


GPIQ
Sharpe ratio
The chart of Sharpe ratio for GPIQ, currently valued at 2.12, compared to the broader market-2.000.002.004.002.12
Sortino ratio
The chart of Sortino ratio for GPIQ, currently valued at 2.82, compared to the broader market-2.000.002.004.006.008.0010.0012.002.82
Omega ratio
The chart of Omega ratio for GPIQ, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for GPIQ, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.65
Martin ratio
The chart of Martin ratio for GPIQ, currently valued at 10.82, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.82
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.70, compared to the broader market-2.000.002.004.002.70
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.89, compared to the broader market-2.000.002.004.006.008.0010.0012.003.89
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 5.09, compared to the broader market0.005.0010.0015.005.09
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.94

GPIQ vs. SCHD - Sharpe Ratio Comparison

The current GPIQ Sharpe Ratio is 2.12, which is comparable to the SCHD Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of GPIQ 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 Ratio2.002.202.402.602.80Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13
2.12
2.70
GPIQ
SCHD

Dividends

GPIQ vs. SCHD - Dividend Comparison

GPIQ's dividend yield for the trailing twelve months is around 9.80%, more than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
GPIQ
Goldman Sachs Nasdaq-100 Core Premium Income ETF
9.80%1.74%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

GPIQ vs. SCHD - Drawdown Comparison

The maximum GPIQ drawdown since its inception was -11.66%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for GPIQ and SCHD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.22%
-0.51%
GPIQ
SCHD

Volatility

GPIQ vs. SCHD - Volatility Comparison

Goldman Sachs Nasdaq-100 Core Premium Income ETF (GPIQ) has a higher volatility of 4.04% compared to Schwab US Dividend Equity ETF (SCHD) at 3.49%. This indicates that GPIQ'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%JuneJulyAugustSeptemberOctoberNovember
4.04%
3.49%
GPIQ
SCHD