GVIP vs. SCHZ
Compare and contrast key facts about Goldman Sachs Hedge Industry VIP ETF (GVIP) and Schwab U.S. Aggregate Bond ETF (SCHZ).
GVIP and SCHZ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GVIP is a passively managed fund by Goldman Sachs that tracks the performance of the Goldman Sachs Hedge Fund VIP Index. It was launched on Nov 1, 2016. SCHZ is a passively managed fund by Charles Schwab that tracks the performance of the Bloomberg US Aggregate. It was launched on Jul 14, 2011. Both GVIP and SCHZ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GVIP or SCHZ.
Performance
GVIP vs. SCHZ - Performance Comparison
Returns By Period
In the year-to-date period, GVIP achieves a 33.20% return, which is significantly higher than SCHZ's 3.62% return.
GVIP
33.20%
4.90%
14.96%
39.62%
16.50%
N/A
SCHZ
3.62%
-0.56%
4.15%
8.48%
1.44%
2.83%
Key characteristics
| GVIP | SCHZ | |
|---|---|---|
| Sharpe Ratio | 2.65 | 1.42 |
| Sortino Ratio | 3.61 | 2.13 |
| Omega Ratio | 1.48 | 1.25 |
| Calmar Ratio | 2.90 | 0.76 |
| Martin Ratio | 18.80 | 5.35 |
| Ulcer Index | 2.11% | 1.59% |
| Daily Std Dev | 14.93% | 5.96% |
| Max Drawdown | -37.09% | -16.93% |
| Current Drawdown | -0.20% | -3.29% |
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GVIP vs. SCHZ - Expense Ratio Comparison
GVIP has a 0.45% expense ratio, which is higher than SCHZ's 0.04% expense ratio.
Correlation
The correlation between GVIP and SCHZ is 0.03, 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.
Risk-Adjusted Performance
GVIP vs. SCHZ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Hedge Industry VIP ETF (GVIP) and Schwab U.S. Aggregate Bond ETF (SCHZ). 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.
Dividends
GVIP vs. SCHZ - Dividend Comparison
GVIP's dividend yield for the trailing twelve months is around 0.58%, less than SCHZ's 4.80% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GVIP Goldman Sachs Hedge Industry VIP ETF | 0.58% | 0.77% | 0.02% | 0.00% | 0.12% | 0.77% | 0.44% | 0.45% | 0.08% | 0.00% | 0.00% | 0.00% |
SCHZ Schwab U.S. Aggregate Bond ETF | 4.80% | 4.34% | 3.49% | 2.88% | 3.41% | 3.70% | 3.72% | 4.00% | 2.98% | 3.01% | 2.20% | 3.02% |
Drawdowns
GVIP vs. SCHZ - Drawdown Comparison
The maximum GVIP drawdown since its inception was -37.09%, which is greater than SCHZ's maximum drawdown of -16.93%. Use the drawdown chart below to compare losses from any high point for GVIP and SCHZ. For additional features, visit the drawdowns tool.
Volatility
GVIP vs. SCHZ - Volatility Comparison
Goldman Sachs Hedge Industry VIP ETF (GVIP) has a higher volatility of 5.18% compared to Schwab U.S. Aggregate Bond ETF (SCHZ) at 1.47%. This indicates that GVIP's price experiences larger fluctuations and is considered to be riskier than SCHZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.