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

Performance

PRF vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco FTSE RAFI US 1000 ETF (PRF) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.40%
13.68%
PRF
SCHD

Returns By Period

In the year-to-date period, PRF achieves a 20.05% return, which is significantly higher than SCHD's 17.35% return. Over the past 10 years, PRF has underperformed SCHD with an annualized return of 10.81%, while SCHD has yielded a comparatively higher 11.54% annualized return.


PRF

YTD

20.05%

1M

1.73%

6M

9.91%

1Y

28.53%

5Y (annualized)

13.45%

10Y (annualized)

10.81%

SCHD

YTD

17.35%

1M

2.29%

6M

13.68%

1Y

26.18%

5Y (annualized)

12.87%

10Y (annualized)

11.54%

Key characteristics


PRFSCHD
Sharpe Ratio2.582.40
Sortino Ratio3.583.44
Omega Ratio1.471.42
Calmar Ratio4.803.63
Martin Ratio16.7812.99
Ulcer Index1.68%2.05%
Daily Std Dev10.95%11.09%
Max Drawdown-60.35%-33.37%
Current Drawdown-1.37%-0.62%

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PRF vs. SCHD - Expense Ratio Comparison

PRF has a 0.39% expense ratio, which is higher than SCHD's 0.06% expense ratio.


PRF
Invesco FTSE RAFI US 1000 ETF
Expense ratio chart for PRF: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
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

-0.50.00.51.00.9

The correlation between PRF and SCHD is 0.93, 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.

Risk-Adjusted Performance

PRF vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) 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 PRF, currently valued at 2.61, compared to the broader market0.002.004.002.612.40
The chart of Sortino ratio for PRF, currently valued at 3.62, compared to the broader market-2.000.002.004.006.008.0010.0012.003.623.44
The chart of Omega ratio for PRF, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.42
The chart of Calmar ratio for PRF, currently valued at 4.86, compared to the broader market0.005.0010.0015.004.863.63
The chart of Martin ratio for PRF, currently valued at 16.95, compared to the broader market0.0020.0040.0060.0080.00100.0016.9512.99
PRF
SCHD

The current PRF Sharpe Ratio is 2.58, which is comparable to the SCHD Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of PRF 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
2.61
2.40
PRF
SCHD

Dividends

PRF vs. SCHD - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.68%, less than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
PRF
Invesco FTSE RAFI US 1000 ETF
1.68%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%1.56%
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

PRF vs. SCHD - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for PRF and SCHD. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.37%
-0.62%
PRF
SCHD

Volatility

PRF vs. SCHD - Volatility Comparison

Invesco FTSE RAFI US 1000 ETF (PRF) has a higher volatility of 3.89% compared to Schwab US Dividend Equity ETF (SCHD) at 3.48%. This indicates that PRF'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%JuneJulyAugustSeptemberOctoberNovember
3.89%
3.48%
PRF
SCHD