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

Correlation

The correlation between SCHC and SPY is 0.79, 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.


-0.50.00.51.00.8

Performance

SCHC vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab International Small-Cap Equity ETF (SCHC) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
100.18%
575.34%
SCHC
SPY

Key characteristics

Sharpe Ratio

SCHC:

0.29

SPY:

2.21

Sortino Ratio

SCHC:

0.48

SPY:

2.93

Omega Ratio

SCHC:

1.06

SPY:

1.41

Calmar Ratio

SCHC:

0.21

SPY:

3.26

Martin Ratio

SCHC:

1.15

SPY:

14.43

Ulcer Index

SCHC:

3.53%

SPY:

1.90%

Daily Std Dev

SCHC:

13.99%

SPY:

12.41%

Max Drawdown

SCHC:

-43.94%

SPY:

-55.19%

Current Drawdown

SCHC:

-13.73%

SPY:

-2.74%

Returns By Period

In the year-to-date period, SCHC achieves a 1.26% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, SCHC has underperformed SPY with an annualized return of 4.41%, while SPY has yielded a comparatively higher 12.97% annualized return.


SCHC

YTD

1.26%

1M

-1.81%

6M

-0.51%

1Y

2.49%

5Y*

2.68%

10Y*

4.41%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


SCHC vs. SPY - Expense Ratio Comparison

SCHC has a 0.11% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SCHC
Schwab International Small-Cap Equity ETF
Expense ratio chart for SCHC: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

SCHC vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab International Small-Cap Equity ETF (SCHC) and SPDR S&P 500 ETF (SPY). 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 SCHC, currently valued at 0.29, compared to the broader market0.002.004.000.292.21
The chart of Sortino ratio for SCHC, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.000.482.93
The chart of Omega ratio for SCHC, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.41
The chart of Calmar ratio for SCHC, currently valued at 0.21, compared to the broader market0.005.0010.0015.000.213.26
The chart of Martin ratio for SCHC, currently valued at 1.15, compared to the broader market0.0020.0040.0060.0080.00100.001.1514.43
SCHC
SPY

The current SCHC Sharpe Ratio is 0.29, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SCHC and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.29
2.21
SCHC
SPY

Dividends

SCHC vs. SPY - Dividend Comparison

SCHC's dividend yield for the trailing twelve months is around 3.75%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
SCHC
Schwab International Small-Cap Equity ETF
3.75%2.94%1.78%3.02%1.62%3.23%2.51%2.72%2.01%2.34%2.59%2.80%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SCHC vs. SPY - Drawdown Comparison

The maximum SCHC drawdown since its inception was -43.94%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SCHC and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.73%
-2.74%
SCHC
SPY

Volatility

SCHC vs. SPY - Volatility Comparison

Schwab International Small-Cap Equity ETF (SCHC) and SPDR S&P 500 ETF (SPY) have volatilities of 3.68% and 3.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.68%
3.72%
SCHC
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab