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

Key characteristics


IVOVSCHD
YTD Return10.20%13.91%
1Y Return26.31%24.71%
3Y Return (Ann)5.09%6.00%
5Y Return (Ann)10.56%12.22%
10Y Return (Ann)9.09%11.39%
Sharpe Ratio1.782.32
Sortino Ratio2.553.34
Omega Ratio1.321.41
Calmar Ratio1.902.39
Martin Ratio9.9512.61
Ulcer Index2.94%2.04%
Daily Std Dev16.32%11.09%
Max Drawdown-45.99%-33.37%
Current Drawdown-2.47%-2.36%

Correlation

-0.50.00.51.00.8

The correlation between IVOV and SCHD is 0.81, 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

IVOV vs. SCHD - Performance Comparison

In the year-to-date period, IVOV achieves a 10.20% return, which is significantly lower than SCHD's 13.91% return. Over the past 10 years, IVOV has underperformed SCHD with an annualized return of 9.09%, while SCHD has yielded a comparatively higher 11.39% annualized 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
8.68%
9.97%
IVOV
SCHD

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IVOV vs. SCHD - Expense Ratio Comparison

IVOV has a 0.15% expense ratio, which is higher than SCHD's 0.06% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IVOV
Vanguard S&P Mid-Cap 400 Value ETF
Expense ratio chart for IVOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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

IVOV vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P Mid-Cap 400 Value ETF (IVOV) 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.


IVOV
Sharpe ratio
The chart of Sharpe ratio for IVOV, currently valued at 1.78, compared to the broader market0.002.004.006.001.78
Sortino ratio
The chart of Sortino ratio for IVOV, currently valued at 2.55, compared to the broader market0.005.0010.002.55
Omega ratio
The chart of Omega ratio for IVOV, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for IVOV, currently valued at 1.90, compared to the broader market0.005.0010.0015.0020.001.90
Martin ratio
The chart of Martin ratio for IVOV, currently valued at 9.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.95
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.32, compared to the broader market0.002.004.006.002.32
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.34, compared to the broader market0.005.0010.003.34
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.39, compared to the broader market0.005.0010.0015.0020.002.39
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 12.61, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.61

IVOV vs. SCHD - Sharpe Ratio Comparison

The current IVOV Sharpe Ratio is 1.78, which is comparable to the SCHD Sharpe Ratio of 2.32. The chart below compares the historical Sharpe Ratios of IVOV 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.78
2.32
IVOV
SCHD

Dividends

IVOV vs. SCHD - Dividend Comparison

IVOV's dividend yield for the trailing twelve months is around 1.38%, less than SCHD's 3.47% yield.


TTM20232022202120202019201820172016201520142013
IVOV
Vanguard S&P Mid-Cap 400 Value ETF
1.38%1.52%1.97%1.78%2.42%1.75%1.87%1.55%1.36%1.66%1.47%0.85%
SCHD
Schwab US Dividend Equity ETF
3.47%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

IVOV vs. SCHD - Drawdown Comparison

The maximum IVOV drawdown since its inception was -45.99%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for IVOV and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.47%
-2.36%
IVOV
SCHD

Volatility

IVOV vs. SCHD - Volatility Comparison

Vanguard S&P Mid-Cap 400 Value ETF (IVOV) has a higher volatility of 3.59% compared to Schwab US Dividend Equity ETF (SCHD) at 2.75%. This indicates that IVOV'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%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.59%
2.75%
IVOV
SCHD