PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
OEUR vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

OEUR vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in OShares Europe Quality Dividend ETF (OEUR) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-5.05%
13.68%
OEUR
SCHD

Returns By Period

In the year-to-date period, OEUR achieves a 2.22% return, which is significantly lower than SCHD's 17.35% return.


OEUR

YTD

2.22%

1M

-6.72%

6M

-5.05%

1Y

9.26%

5Y (annualized)

5.95%

10Y (annualized)

N/A

SCHD

YTD

17.35%

1M

2.29%

6M

13.68%

1Y

26.18%

5Y (annualized)

12.87%

10Y (annualized)

11.54%

Key characteristics


OEURSCHD
Sharpe Ratio0.742.40
Sortino Ratio1.113.44
Omega Ratio1.131.42
Calmar Ratio0.843.63
Martin Ratio2.7812.99
Ulcer Index3.41%2.05%
Daily Std Dev12.82%11.09%
Max Drawdown-33.01%-33.37%
Current Drawdown-11.31%-0.62%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


OEUR vs. SCHD - Expense Ratio Comparison

OEUR has a 0.48% expense ratio, which is higher than SCHD's 0.06% expense ratio.


OEUR
OShares Europe Quality Dividend ETF
Expense ratio chart for OEUR: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
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%

Correlation

-0.50.00.51.00.6

The correlation between OEUR and SCHD is 0.62, 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.

Risk-Adjusted Performance

OEUR vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for OShares Europe Quality Dividend ETF (OEUR) 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.


Sharpe ratio
The chart of Sharpe ratio for OEUR, currently valued at 0.74, compared to the broader market0.002.004.000.742.40
The chart of Sortino ratio for OEUR, currently valued at 1.11, compared to the broader market-2.000.002.004.006.008.0010.0012.001.113.44
The chart of Omega ratio for OEUR, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.42
The chart of Calmar ratio for OEUR, currently valued at 0.84, compared to the broader market0.005.0010.0015.000.843.63
The chart of Martin ratio for OEUR, currently valued at 2.78, compared to the broader market0.0020.0040.0060.0080.00100.002.7812.99
OEUR
SCHD

The current OEUR Sharpe Ratio is 0.74, which is lower than the SCHD Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of OEUR 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.74
2.40
OEUR
SCHD

Dividends

OEUR vs. SCHD - Dividend Comparison

OEUR's dividend yield for the trailing twelve months is around 3.84%, more than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
OEUR
OShares Europe Quality Dividend ETF
3.84%4.27%2.13%2.01%3.66%3.66%3.49%3.01%2.87%0.64%0.00%0.00%
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

OEUR vs. SCHD - Drawdown Comparison

The maximum OEUR drawdown since its inception was -33.01%, roughly equal to the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for OEUR and SCHD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.31%
-0.62%
OEUR
SCHD

Volatility

OEUR vs. SCHD - Volatility Comparison

OShares Europe Quality Dividend ETF (OEUR) has a higher volatility of 4.34% compared to Schwab US Dividend Equity ETF (SCHD) at 3.48%. This indicates that OEUR'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.


2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
3.48%
OEUR
SCHD