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NULC vs. SCHX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NULCSCHX
YTD Return18.05%21.62%
1Y Return29.69%34.08%
3Y Return (Ann)4.69%9.51%
5Y Return (Ann)13.46%16.52%
Sharpe Ratio2.582.90
Sortino Ratio3.493.83
Omega Ratio1.471.54
Calmar Ratio2.604.15
Martin Ratio14.9218.71
Ulcer Index2.09%1.89%
Daily Std Dev12.11%12.23%
Max Drawdown-34.86%-34.33%
Current Drawdown-2.74%-2.47%

Correlation

-0.50.00.51.01.0

The correlation between NULC and SCHX is 0.97, 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

NULC vs. SCHX - Performance Comparison

In the year-to-date period, NULC achieves a 18.05% return, which is significantly lower than SCHX's 21.62% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
9.21%
11.56%
NULC
SCHX

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NULC vs. SCHX - Expense Ratio Comparison

NULC has a 0.20% expense ratio, which is higher than SCHX's 0.03% 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%.


NULC
Nuveen ESG Large-Cap ETF
Expense ratio chart for NULC: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SCHX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

NULC vs. SCHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nuveen ESG Large-Cap ETF (NULC) and Schwab U.S. Large-Cap ETF (SCHX). 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.


NULC
Sharpe ratio
The chart of Sharpe ratio for NULC, currently valued at 2.58, compared to the broader market0.002.004.006.002.58
Sortino ratio
The chart of Sortino ratio for NULC, currently valued at 3.49, compared to the broader market0.005.0010.003.49
Omega ratio
The chart of Omega ratio for NULC, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for NULC, currently valued at 2.60, compared to the broader market0.005.0010.0015.0020.002.60
Martin ratio
The chart of Martin ratio for NULC, currently valued at 14.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.92
SCHX
Sharpe ratio
The chart of Sharpe ratio for SCHX, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for SCHX, currently valued at 3.83, compared to the broader market0.005.0010.003.83
Omega ratio
The chart of Omega ratio for SCHX, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for SCHX, currently valued at 4.15, compared to the broader market0.005.0010.0015.0020.004.15
Martin ratio
The chart of Martin ratio for SCHX, currently valued at 18.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.71

NULC vs. SCHX - Sharpe Ratio Comparison

The current NULC Sharpe Ratio is 2.58, which is comparable to the SCHX Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of NULC and SCHX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.58
2.90
NULC
SCHX

Dividends

NULC vs. SCHX - Dividend Comparison

NULC's dividend yield for the trailing twelve months is around 1.12%, less than SCHX's 1.23% yield.


TTM20232022202120202019201820172016201520142013
NULC
Nuveen ESG Large-Cap ETF
1.12%1.32%2.37%6.14%4.07%0.78%0.00%0.00%0.00%0.00%0.00%0.00%
SCHX
Schwab U.S. Large-Cap ETF
1.23%1.39%1.64%1.22%1.64%1.82%2.16%1.70%1.93%2.04%1.76%1.65%

Drawdowns

NULC vs. SCHX - Drawdown Comparison

The maximum NULC drawdown since its inception was -34.86%, roughly equal to the maximum SCHX drawdown of -34.33%. Use the drawdown chart below to compare losses from any high point for NULC and SCHX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.74%
-2.47%
NULC
SCHX

Volatility

NULC vs. SCHX - Volatility Comparison

The current volatility for Nuveen ESG Large-Cap ETF (NULC) is 3.05%, while Schwab U.S. Large-Cap ETF (SCHX) has a volatility of 3.22%. This indicates that NULC experiences smaller price fluctuations and is considered to be less risky than SCHX 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
3.05%
3.22%
NULC
SCHX