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

Performance

SCHK vs. SCHX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab 1000 Index ETF (SCHK) and Schwab U.S. Large-Cap ETF (SCHX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.21%
13.18%
SCHK
SCHX

Returns By Period

The year-to-date returns for both investments are quite close, with SCHK having a 26.08% return and SCHX slightly higher at 26.42%.


SCHK

YTD

26.08%

1M

1.64%

6M

13.21%

1Y

33.58%

5Y (annualized)

16.18%

10Y (annualized)

N/A

SCHX

YTD

26.42%

1M

1.56%

6M

13.18%

1Y

33.66%

5Y (annualized)

17.11%

10Y (annualized)

14.82%

Key characteristics


SCHKSCHX
Sharpe Ratio2.682.70
Sortino Ratio3.573.60
Omega Ratio1.501.50
Calmar Ratio3.913.90
Martin Ratio17.1317.48
Ulcer Index1.94%1.91%
Daily Std Dev12.38%12.36%
Max Drawdown-34.80%-34.33%
Current Drawdown-1.41%-1.35%

Compare stocks, funds, or ETFs

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


SCHK vs. SCHX - Expense Ratio Comparison

SCHK has a 0.05% expense ratio, which is higher than SCHX's 0.03% 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%.


SCHK
Schwab 1000 Index ETF
Expense ratio chart for SCHK: 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%
Expense ratio chart for SCHX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.01.0

The correlation between SCHK and SCHX is 0.99, 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

SCHK vs. SCHX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab 1000 Index ETF (SCHK) and Schwab U.S. Large-Cap ETF (SCHX). 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 SCHK, currently valued at 2.68, compared to the broader market0.002.004.002.682.70
The chart of Sortino ratio for SCHK, currently valued at 3.57, compared to the broader market-2.000.002.004.006.008.0010.0012.003.573.60
The chart of Omega ratio for SCHK, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.50
The chart of Calmar ratio for SCHK, currently valued at 3.91, compared to the broader market0.005.0010.0015.003.913.90
The chart of Martin ratio for SCHK, currently valued at 17.13, compared to the broader market0.0020.0040.0060.0080.00100.0017.1317.48
SCHK
SCHX

The current SCHK Sharpe Ratio is 2.68, which is comparable to the SCHX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of SCHK and SCHX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.68
2.70
SCHK
SCHX

Dividends

SCHK vs. SCHX - Dividend Comparison

SCHK's dividend yield for the trailing twelve months is around 1.45%, more than SCHX's 1.19% yield.


TTM20232022202120202019201820172016201520142013
SCHK
Schwab 1000 Index ETF
1.45%2.03%1.96%1.41%2.65%3.25%1.81%0.31%0.00%0.00%0.00%0.00%
SCHX
Schwab U.S. Large-Cap ETF
1.19%1.39%1.64%1.22%1.64%1.82%2.17%1.70%1.92%2.04%1.76%1.65%

Drawdowns

SCHK vs. SCHX - Drawdown Comparison

The maximum SCHK drawdown since its inception was -34.80%, roughly equal to the maximum SCHX drawdown of -34.33%. Use the drawdown chart below to compare losses from any high point for SCHK and SCHX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.41%
-1.35%
SCHK
SCHX

Volatility

SCHK vs. SCHX - Volatility Comparison

Schwab 1000 Index ETF (SCHK) and Schwab U.S. Large-Cap ETF (SCHX) have volatilities of 4.23% and 4.24%, 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%JuneJulyAugustSeptemberOctoberNovember
4.23%
4.24%
SCHK
SCHX