LII vs. SCHG
LII (Lennox International Inc.) is a stock, while SCHG (Schwab U.S. Large-Cap Growth ETF) is Large Cap Growth Equities fund tracking the Dow Jones U.S. Large-Cap Growth Total Stock Market Index. Over the past 10 years, LII returned 11.67%/yr vs 18.27%/yr for SCHG. Their 0.53 correlation means they have sometimes moved together and sometimes differently.
Performance
LII vs. SCHG - Performance Comparison
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Returns By Period
In the year-to-date period, LII achieves a -13.90% return, which is significantly lower than SCHG's 4.99% return. Over the past 10 years, LII has underperformed SCHG with an annualized return of 11.67%, while SCHG has yielded a comparatively higher 18.27% annualized return.
LII
- 1D
- -0.38%
- 1M
- -27.04%
- 6M
- -15.55%
- YTD
- -13.90%
- 1Y
- -30.64%
- 3Y*
- 4.50%
- 5Y*
- 6.03%
- 10Y*
- 11.67%
- ALL TIME*
- 13.99%
SCHG
- 1D
- 1.12%
- 1M
- 0.15%
- 6M
- 7.02%
- YTD
- 4.99%
- 1Y
- 16.16%
- 3Y*
- 21.39%
- 5Y*
- 13.15%
- 10Y*
- 18.27%
- ALL TIME*
- 16.34%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $319.65M | $269.89M | $231.88M | |
| $247.66M | $249.87M | $339.91M |
LII vs. SCHG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LII Lennox International Inc. | -13.90% | -19.54% | 37.27% | 89.55% | -24.94% | 19.71% | 13.79% | 12.78% | 6.33% | 37.43% |
SCHG Schwab U.S. Large-Cap Growth ETF | 4.99% | 17.50% | 34.95% | 50.10% | -31.80% | 28.11% | 39.14% | 36.02% | -1.36% | 28.05% |
Correlation
The correlation between LII and SCHG is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.42 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.50 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.47 |
Correlation (All Time) Calculated using the full available price history since Dec 11, 2009 | 0.53 |
Over the past year, the correlation between LII and SCHG has dropped to 0.27 - well below their long-term average of 0.53, suggesting their price drivers have been diverging.
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Return for Risk
LII vs. SCHG — Risk / Return Rank
LII
SCHG
LII vs. SCHG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lennox International Inc. (LII) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| LII | SCHG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.58 | ||
| Sortino ratioReturn per unit of downside risk | -2.05 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.15 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | -0.99 | 0.83 | -1.82 |
| Martin ratioReturn relative to average drawdown | -1.94 | 2.62 | -4.56 |
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Drawdowns
LII vs. SCHG - Drawdown Comparison
The maximum LII drawdown since its inception was -62.76%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for LII and SCHG.
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Drawdown Indicators
| LII | SCHG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.76% | -34.59% | -28.17% |
Max Drawdown (1Y)Largest decline over 1 year | -31.50% | -16.41% | -15.09% |
Max Drawdown (3Y)Largest decline over 3 years | -37.66% | -23.39% | -14.27% |
Max Drawdown (5Y)Largest decline over 5 years | -45.41% | -34.59% | -10.82% |
Max Drawdown (10Y)Largest decline over 10 years | -46.88% | -34.59% | -12.29% |
Current DrawdownCurrent decline from peak | -37.66% | -3.10% | -34.56% |
Average DrawdownAverage peak-to-trough decline | -14.53% | -5.19% | -9.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 15.98% | 5.19% | +10.79% |
Volatility
LII vs. SCHG - Volatility Comparison
Lennox International Inc. (LII) has a higher volatility of 24.39% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 4.32%. This indicates that LII's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LII | SCHG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 24.39% | 4.32% | +20.07% |
Volatility (6M)Calculated over the trailing 6-month period | 35.95% | 12.90% | +23.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 40.93% | 16.67% | +24.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 33.47% | 22.42% | +11.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 30.19% | 21.59% | +8.60% |
Dividends
LII vs. SCHG - Dividend Comparison
LII's dividend yield for the trailing twelve months is around 1.26%, more than SCHG's 0.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LII Lennox International Inc. | 1.26% | 1.04% | 0.75% | 0.97% | 1.71% | 1.09% | 1.12% | 1.21% | 1.11% | 0.94% | 1.08% | 1.10% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.38% | 0.36% | 0.39% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% |
Frequently Asked Questions
LII and SCHG have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LII has higher volatility (24.39%) compared to SCHG (4.32%). In terms of maximum drawdown, LII dropped -62.76% vs SCHG's -34.59%.
SCHG currently has the higher Sharpe Ratio (0.82 vs -0.76), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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