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ITOT vs. SCHB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ITOT and SCHB is 0.99, 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.


Performance

ITOT vs. SCHB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Core S&P Total U.S. Stock Market ETF (ITOT) and Schwab U.S. Broad Market ETF (SCHB). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ITOT:

0.71

SCHB:

0.72

Sortino Ratio

ITOT:

1.17

SCHB:

1.18

Omega Ratio

ITOT:

1.17

SCHB:

1.17

Calmar Ratio

ITOT:

0.77

SCHB:

0.78

Martin Ratio

ITOT:

2.88

SCHB:

2.88

Ulcer Index

ITOT:

5.23%

SCHB:

5.22%

Daily Std Dev

ITOT:

20.12%

SCHB:

19.79%

Max Drawdown

ITOT:

-55.20%

SCHB:

-35.27%

Current Drawdown

ITOT:

-2.92%

SCHB:

-2.92%

Returns By Period

The year-to-date returns for both stocks are quite close, with ITOT having a 1.59% return and SCHB slightly lower at 1.57%. Both investments have delivered pretty close results over the past 10 years, with ITOT having a 12.39% annualized return and SCHB not far behind at 12.33%.


ITOT

YTD

1.59%

1M

5.34%

6M

-1.68%

1Y

14.15%

3Y*

14.26%

5Y*

14.90%

10Y*

12.39%

SCHB

YTD

1.57%

1M

5.36%

6M

-1.62%

1Y

14.09%

3Y*

14.31%

5Y*

14.96%

10Y*

12.33%

*Annualized

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Schwab U.S. Broad Market ETF

ITOT vs. SCHB - Expense Ratio Comparison

Both ITOT and SCHB have an expense ratio of 0.03%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

ITOT vs. SCHB — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ITOT
The Risk-Adjusted Performance Rank of ITOT is 6565
Overall Rank
The Sharpe Ratio Rank of ITOT is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of ITOT is 6464
Sortino Ratio Rank
The Omega Ratio Rank of ITOT is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ITOT is 6969
Calmar Ratio Rank
The Martin Ratio Rank of ITOT is 6565
Martin Ratio Rank

SCHB
The Risk-Adjusted Performance Rank of SCHB is 6666
Overall Rank
The Sharpe Ratio Rank of SCHB is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHB is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SCHB is 6767
Omega Ratio Rank
The Calmar Ratio Rank of SCHB is 6969
Calmar Ratio Rank
The Martin Ratio Rank of SCHB is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ITOT vs. SCHB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core S&P Total U.S. Stock Market ETF (ITOT) and Schwab U.S. Broad Market ETF (SCHB). 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.


The current ITOT Sharpe Ratio is 0.71, which is comparable to the SCHB Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ITOT and SCHB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

ITOT vs. SCHB - Dividend Comparison

ITOT's dividend yield for the trailing twelve months is around 1.25%, which matches SCHB's 1.24% yield.


TTM20242023202220212020201920182017201620152014
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.25%1.23%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%
SCHB
Schwab U.S. Broad Market ETF
1.24%1.24%1.40%1.61%1.21%1.63%1.80%2.13%1.65%1.86%2.00%1.72%

Drawdowns

ITOT vs. SCHB - Drawdown Comparison

The maximum ITOT drawdown since its inception was -55.20%, which is greater than SCHB's maximum drawdown of -35.27%. Use the drawdown chart below to compare losses from any high point for ITOT and SCHB.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

ITOT vs. SCHB - Volatility Comparison

iShares Core S&P Total U.S. Stock Market ETF (ITOT) and Schwab U.S. Broad Market ETF (SCHB) have volatilities of 4.82% and 4.68%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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