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

Correlation

The correlation between HUM and SCHD is 0.38, 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.


-0.50.00.51.00.4

Performance

HUM vs. SCHD - Performance Comparison

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

250.00%300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
270.19%
394.81%
HUM
SCHD

Key characteristics

Sharpe Ratio

HUM:

-1.10

SCHD:

1.20

Sortino Ratio

HUM:

-1.46

SCHD:

1.76

Omega Ratio

HUM:

0.77

SCHD:

1.21

Calmar Ratio

HUM:

-0.78

SCHD:

1.69

Martin Ratio

HUM:

-1.51

SCHD:

5.86

Ulcer Index

HUM:

29.59%

SCHD:

2.30%

Daily Std Dev

HUM:

40.86%

SCHD:

11.25%

Max Drawdown

HUM:

-85.10%

SCHD:

-33.37%

Current Drawdown

HUM:

-55.36%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, HUM achieves a -45.61% return, which is significantly lower than SCHD's 11.54% return. Over the past 10 years, HUM has underperformed SCHD with an annualized return of 6.27%, while SCHD has yielded a comparatively higher 10.86% annualized return.


HUM

YTD

-45.61%

1M

-15.94%

6M

-30.12%

1Y

-45.03%

5Y*

-7.03%

10Y*

6.27%

SCHD

YTD

11.54%

1M

-4.06%

6M

7.86%

1Y

12.63%

5Y*

10.97%

10Y*

10.86%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

HUM vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Humana Inc. (HUM) 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 HUM, currently valued at -1.10, compared to the broader market-4.00-2.000.002.00-1.101.20
The chart of Sortino ratio for HUM, currently valued at -1.46, compared to the broader market-4.00-2.000.002.004.00-1.461.76
The chart of Omega ratio for HUM, currently valued at 0.77, compared to the broader market0.501.001.502.000.771.21
The chart of Calmar ratio for HUM, currently valued at -0.78, compared to the broader market0.002.004.006.00-0.781.69
The chart of Martin ratio for HUM, currently valued at -1.51, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.515.86
HUM
SCHD

The current HUM Sharpe Ratio is -1.10, which is lower than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of HUM 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
-1.10
1.20
HUM
SCHD

Dividends

HUM vs. SCHD - Dividend Comparison

HUM's dividend yield for the trailing twelve months is around 1.43%, less than SCHD's 3.64% yield.


TTM20232022202120202019201820172016201520142013
HUM
Humana Inc.
1.43%0.77%0.62%0.60%0.61%0.60%0.70%0.76%0.43%0.64%0.77%1.04%
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

HUM vs. SCHD - Drawdown Comparison

The maximum HUM drawdown since its inception was -85.10%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for HUM and SCHD. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-55.36%
-6.72%
HUM
SCHD

Volatility

HUM vs. SCHD - Volatility Comparison

Humana Inc. (HUM) has a higher volatility of 14.21% compared to Schwab US Dividend Equity ETF (SCHD) at 3.88%. This indicates that HUM'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.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
14.21%
3.88%
HUM
SCHD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab