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

Correlation

The correlation between SCHJ and SLQD is 0.89, 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.


-0.50.00.51.00.9

Performance

SCHJ vs. SLQD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab 1-5 Year Corporate Bond ETF (SCHJ) and iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-99.10%
11.08%
SCHJ
SLQD

Key characteristics

Sharpe Ratio

SCHJ:

2.43

SLQD:

2.65

Sortino Ratio

SCHJ:

3.85

SLQD:

4.09

Omega Ratio

SCHJ:

1.49

SLQD:

1.54

Calmar Ratio

SCHJ:

0.06

SLQD:

6.21

Martin Ratio

SCHJ:

13.37

SLQD:

15.47

Ulcer Index

SCHJ:

0.46%

SLQD:

0.33%

Daily Std Dev

SCHJ:

2.53%

SLQD:

1.92%

Max Drawdown

SCHJ:

-99.30%

SLQD:

-12.69%

Current Drawdown

SCHJ:

-99.10%

SLQD:

-0.49%

Returns By Period

In the year-to-date period, SCHJ achieves a 5.70% return, which is significantly higher than SLQD's 4.68% return.


SCHJ

YTD

5.70%

1M

0.21%

6M

3.78%

1Y

6.05%

5Y*

2.86%

10Y*

N/A

SLQD

YTD

4.68%

1M

0.29%

6M

2.97%

1Y

4.94%

5Y*

2.06%

10Y*

2.27%

Compare stocks, funds, or ETFs

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


SCHJ vs. SLQD - Expense Ratio Comparison

SCHJ has a 0.05% expense ratio, which is lower than SLQD's 0.06% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SLQD
iShares 0-5 Year Investment Grade Corporate Bond ETF
Expense ratio chart for SLQD: 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%
Expense ratio chart for SCHJ: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

SCHJ vs. SLQD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab 1-5 Year Corporate Bond ETF (SCHJ) and iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD). 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 SCHJ, currently valued at 2.43, compared to the broader market0.002.004.002.432.65
The chart of Sortino ratio for SCHJ, currently valued at 3.85, compared to the broader market-2.000.002.004.006.008.0010.003.854.09
The chart of Omega ratio for SCHJ, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.54
The chart of Calmar ratio for SCHJ, currently valued at 0.06, compared to the broader market0.005.0010.0015.000.066.21
The chart of Martin ratio for SCHJ, currently valued at 13.37, compared to the broader market0.0020.0040.0060.0080.00100.0013.3715.47
SCHJ
SLQD

The current SCHJ Sharpe Ratio is 2.43, which is comparable to the SLQD Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of SCHJ and SLQD, 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 Ratio2.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.43
2.65
SCHJ
SLQD

Dividends

SCHJ vs. SLQD - Dividend Comparison

SCHJ's dividend yield for the trailing twelve months is around 5.00%, more than SLQD's 3.72% yield.


TTM20232022202120202019201820172016201520142013
SCHJ
Schwab 1-5 Year Corporate Bond ETF
5.00%4.01%2.42%1.60%3.56%0.67%0.00%0.00%0.00%0.00%0.00%0.00%
SLQD
iShares 0-5 Year Investment Grade Corporate Bond ETF
3.72%2.99%2.00%1.67%2.34%2.89%2.56%1.98%1.81%1.43%1.24%0.23%

Drawdowns

SCHJ vs. SLQD - Drawdown Comparison

The maximum SCHJ drawdown since its inception was -99.30%, which is greater than SLQD's maximum drawdown of -12.69%. Use the drawdown chart below to compare losses from any high point for SCHJ and SLQD. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.10%
-0.49%
SCHJ
SLQD

Volatility

SCHJ vs. SLQD - Volatility Comparison

Schwab 1-5 Year Corporate Bond ETF (SCHJ) has a higher volatility of 0.67% compared to iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD) at 0.61%. This indicates that SCHJ's price experiences larger fluctuations and is considered to be riskier than SLQD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.30%0.40%0.50%0.60%0.70%0.80%0.90%JulyAugustSeptemberOctoberNovemberDecember
0.67%
0.61%
SCHJ
SLQD
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