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

Key characteristics


RVTSCHD
YTD Return22.01%17.07%
1Y Return46.10%29.98%
3Y Return (Ann)3.30%6.85%
5Y Return (Ann)11.97%12.79%
10Y Return (Ann)10.07%11.62%
Sharpe Ratio2.292.64
Sortino Ratio3.143.81
Omega Ratio1.401.47
Calmar Ratio1.742.92
Martin Ratio13.1014.57
Ulcer Index3.55%2.04%
Daily Std Dev20.34%11.26%
Max Drawdown-72.31%-33.37%
Current Drawdown-0.65%-0.86%

Correlation

-0.50.00.51.00.7

The correlation between RVT and SCHD is 0.73, 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

RVT vs. SCHD - Performance Comparison

In the year-to-date period, RVT achieves a 22.01% return, which is significantly higher than SCHD's 17.07% return. Over the past 10 years, RVT has underperformed SCHD with an annualized return of 10.07%, while SCHD has yielded a comparatively higher 11.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.42%
10.97%
RVT
SCHD

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Risk-Adjusted Performance

RVT vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Value Trust Inc. (RVT) 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.


RVT
Sharpe ratio
The chart of Sharpe ratio for RVT, currently valued at 2.29, compared to the broader market-4.00-2.000.002.004.002.29
Sortino ratio
The chart of Sortino ratio for RVT, currently valued at 3.14, compared to the broader market-4.00-2.000.002.004.006.003.14
Omega ratio
The chart of Omega ratio for RVT, currently valued at 1.40, compared to the broader market0.501.001.502.001.40
Calmar ratio
The chart of Calmar ratio for RVT, currently valued at 1.74, compared to the broader market0.002.004.006.001.74
Martin ratio
The chart of Martin ratio for RVT, currently valued at 13.10, compared to the broader market0.0010.0020.0030.0013.10
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.64, compared to the broader market-4.00-2.000.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.81, compared to the broader market-4.00-2.000.002.004.006.003.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market0.501.001.502.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.92, compared to the broader market0.002.004.006.002.92
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.57, compared to the broader market0.0010.0020.0030.0014.57

RVT vs. SCHD - Sharpe Ratio Comparison

The current RVT Sharpe Ratio is 2.29, which is comparable to the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of RVT 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.29
2.64
RVT
SCHD

Dividends

RVT vs. SCHD - Dividend Comparison

RVT's dividend yield for the trailing twelve months is around 6.67%, more than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
RVT
Royce Value Trust Inc.
6.67%7.35%9.95%8.52%6.44%7.45%10.68%7.17%7.62%10.54%12.70%4.65%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

RVT vs. SCHD - Drawdown Comparison

The maximum RVT drawdown since its inception was -72.31%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for RVT and SCHD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.65%
-0.86%
RVT
SCHD

Volatility

RVT vs. SCHD - Volatility Comparison

Royce Value Trust Inc. (RVT) has a higher volatility of 6.81% compared to Schwab US Dividend Equity ETF (SCHD) at 3.51%. This indicates that RVT'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%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.81%
3.51%
RVT
SCHD