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REIT vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


REITSCHG
YTD Return13.16%34.22%
1Y Return35.19%47.39%
3Y Return (Ann)2.53%11.12%
Sharpe Ratio1.942.71
Sortino Ratio2.783.48
Omega Ratio1.351.49
Calmar Ratio1.253.74
Martin Ratio8.6214.90
Ulcer Index3.80%3.10%
Daily Std Dev16.87%17.06%
Max Drawdown-29.30%-34.59%
Current Drawdown-1.16%0.00%

Correlation

-0.50.00.51.00.5

The correlation between REIT and SCHG is 0.48, 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

REIT vs. SCHG - Performance Comparison

In the year-to-date period, REIT achieves a 13.16% return, which is significantly lower than SCHG's 34.22% 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%20.00%JuneJulyAugustSeptemberOctoberNovember
18.29%
19.72%
REIT
SCHG

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REIT vs. SCHG - Expense Ratio Comparison

REIT has a 0.68% expense ratio, which is higher than SCHG's 0.04% expense ratio.


REIT
ALPS Active REIT ETF
Expense ratio chart for REIT: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

REIT vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ALPS Active REIT ETF (REIT) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.


REIT
Sharpe ratio
The chart of Sharpe ratio for REIT, currently valued at 1.94, compared to the broader market-2.000.002.004.001.94
Sortino ratio
The chart of Sortino ratio for REIT, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.0012.002.78
Omega ratio
The chart of Omega ratio for REIT, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for REIT, currently valued at 1.25, compared to the broader market0.005.0010.0015.001.25
Martin ratio
The chart of Martin ratio for REIT, currently valued at 8.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.62
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.71, compared to the broader market-2.000.002.004.002.71
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.48, compared to the broader market-2.000.002.004.006.008.0010.0012.003.48
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.74
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.90

REIT vs. SCHG - Sharpe Ratio Comparison

The current REIT Sharpe Ratio is 1.94, which is comparable to the SCHG Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of REIT and SCHG, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.94
2.71
REIT
SCHG

Dividends

REIT vs. SCHG - Dividend Comparison

REIT's dividend yield for the trailing twelve months is around 3.09%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
REIT
ALPS Active REIT ETF
3.09%3.13%2.81%4.70%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

REIT vs. SCHG - Drawdown Comparison

The maximum REIT drawdown since its inception was -29.30%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for REIT and SCHG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.16%
0
REIT
SCHG

Volatility

REIT vs. SCHG - Volatility Comparison

The current volatility for ALPS Active REIT ETF (REIT) is 4.93%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.35%. This indicates that REIT experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
5.35%
REIT
SCHG