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

Correlation

The correlation between HDB and SCHD is 0.41, 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.


-0.50.00.51.00.4

Performance

HDB vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in HDFC Bank Limited (HDB) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

320.00%340.00%360.00%380.00%400.00%420.00%440.00%JulyAugustSeptemberOctoberNovemberDecember
373.43%
394.81%
HDB
SCHD

Key characteristics

Sharpe Ratio

HDB:

-0.03

SCHD:

1.20

Sortino Ratio

HDB:

0.14

SCHD:

1.76

Omega Ratio

HDB:

1.02

SCHD:

1.21

Calmar Ratio

HDB:

-0.03

SCHD:

1.69

Martin Ratio

HDB:

-0.07

SCHD:

5.86

Ulcer Index

HDB:

11.75%

SCHD:

2.30%

Daily Std Dev

HDB:

28.01%

SCHD:

11.25%

Max Drawdown

HDB:

-67.92%

SCHD:

-33.37%

Current Drawdown

HDB:

-18.40%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, HDB achieves a -3.14% return, which is significantly lower than SCHD's 11.54% return. Both investments have delivered pretty close results over the past 10 years, with HDB having a 10.74% annualized return and SCHD not far ahead at 10.86%.


HDB

YTD

-3.14%

1M

1.48%

6M

2.51%

1Y

-2.42%

5Y*

1.20%

10Y*

10.74%

SCHD

YTD

11.54%

1M

-4.06%

6M

7.86%

1Y

12.63%

5Y*

10.97%

10Y*

10.86%

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Risk-Adjusted Performance

HDB vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for HDFC Bank Limited (HDB) 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 HDB, currently valued at -0.03, compared to the broader market-4.00-2.000.002.00-0.031.20
The chart of Sortino ratio for HDB, currently valued at 0.14, compared to the broader market-4.00-2.000.002.004.000.141.76
The chart of Omega ratio for HDB, currently valued at 1.02, compared to the broader market0.501.001.502.001.021.21
The chart of Calmar ratio for HDB, currently valued at -0.03, compared to the broader market0.002.004.006.00-0.031.69
The chart of Martin ratio for HDB, currently valued at -0.07, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.075.86
HDB
SCHD

The current HDB Sharpe Ratio is -0.03, which is lower than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of HDB 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.03
1.20
HDB
SCHD

Dividends

HDB vs. SCHD - Dividend Comparison

HDB's dividend yield for the trailing twelve months is around 1.08%, less than SCHD's 3.64% yield.


TTM20232022202120202019201820172016201520142013
HDB
HDFC Bank Limited
1.08%2.08%1.74%0.81%0.00%0.68%0.55%0.50%0.70%0.61%1.99%0.89%
SCHD
Schwab US Dividend Equity ETF
3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

HDB vs. SCHD - Drawdown Comparison

The maximum HDB drawdown since its inception was -67.92%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for HDB and SCHD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.40%
-6.72%
HDB
SCHD

Volatility

HDB vs. SCHD - Volatility Comparison

HDFC Bank Limited (HDB) has a higher volatility of 5.71% compared to Schwab US Dividend Equity ETF (SCHD) at 3.88%. This indicates that HDB'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%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.71%
3.88%
HDB
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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