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

Correlation

The correlation between ILCV and SCHD is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

ILCV vs. SCHD - Performance Comparison

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

300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
307.22%
394.81%
ILCV
SCHD

Key characteristics

Sharpe Ratio

ILCV:

1.93

SCHD:

1.20

Sortino Ratio

ILCV:

2.64

SCHD:

1.76

Omega Ratio

ILCV:

1.36

SCHD:

1.21

Calmar Ratio

ILCV:

0.20

SCHD:

1.69

Martin Ratio

ILCV:

11.64

SCHD:

5.86

Ulcer Index

ILCV:

1.69%

SCHD:

2.30%

Daily Std Dev

ILCV:

10.20%

SCHD:

11.25%

Max Drawdown

ILCV:

-99.74%

SCHD:

-33.37%

Current Drawdown

ILCV:

-98.14%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, ILCV achieves a 17.21% return, which is significantly higher than SCHD's 11.54% return. Over the past 10 years, ILCV has underperformed SCHD with an annualized return of 9.34%, while SCHD has yielded a comparatively higher 10.86% annualized return.


ILCV

YTD

17.21%

1M

-1.97%

6M

7.37%

1Y

18.39%

5Y*

9.39%

10Y*

9.34%

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.


ILCV vs. SCHD - Expense Ratio Comparison

ILCV has a 0.04% expense ratio, which is lower than SCHD's 0.06% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SCHD
Schwab US Dividend Equity ETF
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%
Expense ratio chart for ILCV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

ILCV vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Morningstar Value ETF (ILCV) 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 ILCV, currently valued at 1.93, compared to the broader market0.002.004.001.931.20
The chart of Sortino ratio for ILCV, currently valued at 2.64, compared to the broader market-2.000.002.004.006.008.0010.002.641.76
The chart of Omega ratio for ILCV, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.21
The chart of Calmar ratio for ILCV, currently valued at 3.51, compared to the broader market0.005.0010.0015.003.511.69
The chart of Martin ratio for ILCV, currently valued at 11.64, compared to the broader market0.0020.0040.0060.0080.00100.0011.645.86
ILCV
SCHD

The current ILCV Sharpe Ratio is 1.93, which is higher than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of ILCV 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.93
1.20
ILCV
SCHD

Dividends

ILCV vs. SCHD - Dividend Comparison

ILCV's dividend yield for the trailing twelve months is around 1.99%, less than SCHD's 3.64% yield.


TTM20232022202120202019201820172016201520142013
ILCV
iShares Morningstar Value ETF
1.99%2.27%2.32%2.01%2.96%2.70%2.93%2.32%2.76%3.01%2.44%2.51%
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

ILCV vs. SCHD - Drawdown Comparison

The maximum ILCV drawdown since its inception was -99.74%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ILCV and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.56%
-6.72%
ILCV
SCHD

Volatility

ILCV vs. SCHD - Volatility Comparison

The current volatility for iShares Morningstar Value ETF (ILCV) is 3.41%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.88%. This indicates that ILCV 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%JulyAugustSeptemberOctoberNovemberDecember
3.41%
3.88%
ILCV
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