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

Key characteristics


NNNSCHD
YTD Return3.64%17.47%
1Y Return14.59%27.61%
3Y Return (Ann)2.41%6.96%
5Y Return (Ann)-0.63%12.74%
10Y Return (Ann)6.11%11.66%
Sharpe Ratio1.022.70
Sortino Ratio1.473.89
Omega Ratio1.181.48
Calmar Ratio0.953.71
Martin Ratio4.7314.94
Ulcer Index3.88%2.04%
Daily Std Dev18.02%11.25%
Max Drawdown-56.17%-33.37%
Current Drawdown-13.09%-0.51%

Correlation

-0.50.00.51.00.4

The correlation between NNN and SCHD is 0.44, 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

NNN vs. SCHD - Performance Comparison

In the year-to-date period, NNN achieves a 3.64% return, which is significantly lower than SCHD's 17.47% return. Over the past 10 years, NNN has underperformed SCHD with an annualized return of 6.11%, while SCHD has yielded a comparatively higher 11.66% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.66%
10.72%
NNN
SCHD

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Risk-Adjusted Performance

NNN vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Retail Properties, Inc. (NNN) 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.


NNN
Sharpe ratio
The chart of Sharpe ratio for NNN, currently valued at 1.02, compared to the broader market-4.00-2.000.002.004.001.02
Sortino ratio
The chart of Sortino ratio for NNN, currently valued at 1.47, compared to the broader market-4.00-2.000.002.004.006.001.47
Omega ratio
The chart of Omega ratio for NNN, currently valued at 1.18, compared to the broader market0.501.001.502.001.18
Calmar ratio
The chart of Calmar ratio for NNN, currently valued at 0.95, compared to the broader market0.002.004.006.000.95
Martin ratio
The chart of Martin ratio for NNN, currently valued at 4.73, compared to the broader market0.0010.0020.0030.004.73
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.70, compared to the broader market-4.00-2.000.002.004.002.70
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.89, compared to the broader market-4.00-2.000.002.004.006.003.89
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.48, compared to the broader market0.501.001.502.001.48
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 3.71, compared to the broader market0.002.004.006.003.71
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.94, compared to the broader market0.0010.0020.0030.0014.94

NNN vs. SCHD - Sharpe Ratio Comparison

The current NNN Sharpe Ratio is 1.02, which is lower than the SCHD Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of NNN 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.02
2.70
NNN
SCHD

Dividends

NNN vs. SCHD - Dividend Comparison

NNN's dividend yield for the trailing twelve months is around 5.41%, more than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
NNN
National Retail Properties, Inc.
5.41%5.17%4.72%4.37%5.06%3.79%4.02%4.31%4.03%4.27%4.19%5.28%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

NNN vs. SCHD - Drawdown Comparison

The maximum NNN drawdown since its inception was -56.17%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for NNN and SCHD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.09%
-0.51%
NNN
SCHD

Volatility

NNN vs. SCHD - Volatility Comparison

National Retail Properties, Inc. (NNN) has a higher volatility of 7.03% compared to Schwab US Dividend Equity ETF (SCHD) at 3.49%. This indicates that NNN'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%8.00%JuneJulyAugustSeptemberOctoberNovember
7.03%
3.49%
NNN
SCHD