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

Correlation

The correlation between OMAB and SCHD is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

OMAB vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. (OMAB) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.34%
7.18%
OMAB
SCHD

Key characteristics

Sharpe Ratio

OMAB:

-0.30

SCHD:

1.14

Sortino Ratio

OMAB:

-0.19

SCHD:

1.68

Omega Ratio

OMAB:

0.98

SCHD:

1.20

Calmar Ratio

OMAB:

-0.28

SCHD:

1.61

Martin Ratio

OMAB:

-0.58

SCHD:

5.54

Ulcer Index

OMAB:

18.36%

SCHD:

2.31%

Daily Std Dev

OMAB:

35.27%

SCHD:

11.20%

Max Drawdown

OMAB:

-77.35%

SCHD:

-33.37%

Current Drawdown

OMAB:

-21.45%

SCHD:

-7.30%

Returns By Period

In the year-to-date period, OMAB achieves a -9.54% return, which is significantly lower than SCHD's 10.84% return. Over the past 10 years, OMAB has outperformed SCHD with an annualized return of 12.08%, while SCHD has yielded a comparatively lower 10.83% annualized return.


OMAB

YTD

-9.54%

1M

11.07%

6M

5.80%

1Y

-9.48%

5Y*

9.32%

10Y*

12.08%

SCHD

YTD

10.84%

1M

-4.42%

6M

7.27%

1Y

12.77%

5Y*

10.83%

10Y*

10.83%

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Risk-Adjusted Performance

OMAB vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. (OMAB) 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 OMAB, currently valued at -0.27, compared to the broader market-4.00-2.000.002.00-0.271.14
The chart of Sortino ratio for OMAB, currently valued at -0.15, compared to the broader market-4.00-2.000.002.004.00-0.151.68
The chart of Omega ratio for OMAB, currently valued at 0.98, compared to the broader market0.501.001.502.000.981.20
The chart of Calmar ratio for OMAB, currently valued at -0.25, compared to the broader market0.002.004.006.00-0.251.61
The chart of Martin ratio for OMAB, currently valued at -0.52, compared to the broader market0.0010.0020.00-0.525.54
OMAB
SCHD

The current OMAB Sharpe Ratio is -0.30, which is lower than the SCHD Sharpe Ratio of 1.14. The chart below compares the historical Sharpe Ratios of OMAB 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.27
1.14
OMAB
SCHD

Dividends

OMAB vs. SCHD - Dividend Comparison

OMAB's dividend yield for the trailing twelve months is around 6.66%, more than SCHD's 3.67% yield.


TTM20232022202120202019201820172016201520142013
OMAB
Grupo Aeroportuario del Centro Norte, S.A.B. de C.V.
6.66%5.14%10.82%3.55%0.00%2.81%4.30%4.06%4.65%4.05%5.05%7.06%
SCHD
Schwab US Dividend Equity ETF
3.67%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

OMAB vs. SCHD - Drawdown Comparison

The maximum OMAB drawdown since its inception was -77.35%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for OMAB and SCHD. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-21.45%
-7.30%
OMAB
SCHD

Volatility

OMAB vs. SCHD - Volatility Comparison

Grupo Aeroportuario del Centro Norte, S.A.B. de C.V. (OMAB) has a higher volatility of 10.90% compared to Schwab US Dividend Equity ETF (SCHD) at 3.67%. This indicates that OMAB'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.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
10.90%
3.67%
OMAB
SCHD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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