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

Key characteristics


HYGVSCHD
YTD Return8.52%17.75%
1Y Return15.17%31.70%
3Y Return (Ann)2.47%7.26%
5Y Return (Ann)4.76%12.80%
Sharpe Ratio3.102.67
Sortino Ratio4.833.84
Omega Ratio1.631.47
Calmar Ratio1.782.80
Martin Ratio24.1614.83
Ulcer Index0.59%2.04%
Daily Std Dev4.58%11.32%
Max Drawdown-23.47%-33.37%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.6

The correlation between HYGV and SCHD is 0.62, 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

HYGV vs. SCHD - Performance Comparison

In the year-to-date period, HYGV achieves a 8.52% return, which is significantly lower than SCHD's 17.75% 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
6.48%
12.17%
HYGV
SCHD

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HYGV vs. SCHD - Expense Ratio Comparison

HYGV has a 0.37% expense ratio, which is higher than SCHD's 0.06% expense ratio.


HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
Expense ratio chart for HYGV: current value at 0.37% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.37%
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

HYGV vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) 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.


HYGV
Sharpe ratio
The chart of Sharpe ratio for HYGV, currently valued at 3.10, compared to the broader market-2.000.002.004.003.10
Sortino ratio
The chart of Sortino ratio for HYGV, currently valued at 4.83, compared to the broader market-2.000.002.004.006.008.0010.0012.004.83
Omega ratio
The chart of Omega ratio for HYGV, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for HYGV, currently valued at 1.78, compared to the broader market0.005.0010.0015.001.78
Martin ratio
The chart of Martin ratio for HYGV, currently valued at 24.16, compared to the broader market0.0020.0040.0060.0080.00100.0024.16
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.67, compared to the broader market-2.000.002.004.002.67
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.84, compared to the broader market-2.000.002.004.006.008.0010.0012.003.84
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.83, compared to the broader market0.0020.0040.0060.0080.00100.0014.83

HYGV vs. SCHD - Sharpe Ratio Comparison

The current HYGV Sharpe Ratio is 3.10, which is comparable to the SCHD Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of HYGV 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.10
2.67
HYGV
SCHD

Dividends

HYGV vs. SCHD - Dividend Comparison

HYGV's dividend yield for the trailing twelve months is around 8.23%, more than SCHD's 3.36% yield.


TTM20232022202120202019201820172016201520142013
HYGV
FlexShares High Yield Value-Scored US Bond Index Fund
8.23%8.77%7.64%7.15%6.18%7.95%5.63%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.36%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

HYGV vs. SCHD - Drawdown Comparison

The maximum HYGV drawdown since its inception was -23.47%, smaller than the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for HYGV and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
HYGV
SCHD

Volatility

HYGV vs. SCHD - Volatility Comparison

The current volatility for FlexShares High Yield Value-Scored US Bond Index Fund (HYGV) is 1.03%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.57%. This indicates that HYGV 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
1.03%
3.57%
HYGV
SCHD