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SCHK vs. VONG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SCHKVONG
YTD Return27.41%32.07%
1Y Return36.23%39.77%
3Y Return (Ann)9.68%10.42%
5Y Return (Ann)16.37%19.76%
Sharpe Ratio3.142.56
Sortino Ratio4.173.28
Omega Ratio1.591.47
Calmar Ratio4.603.24
Martin Ratio20.3112.81
Ulcer Index1.92%3.32%
Daily Std Dev12.44%16.64%
Max Drawdown-34.80%-32.72%
Current Drawdown-0.38%-0.07%

Correlation

-0.50.00.51.00.9

The correlation between SCHK and VONG is 0.94, 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

SCHK vs. VONG - Performance Comparison

In the year-to-date period, SCHK achieves a 27.41% return, which is significantly lower than VONG's 32.07% 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%JuneJulyAugustSeptemberOctoberNovember
14.22%
16.17%
SCHK
VONG

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SCHK vs. VONG - Expense Ratio Comparison

SCHK has a 0.05% expense ratio, which is lower than VONG's 0.08% 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%.


VONG
Vanguard Russell 1000 Growth ETF
Expense ratio chart for VONG: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
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%

Risk-Adjusted Performance

SCHK vs. VONG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab 1000 Index ETF (SCHK) and Vanguard Russell 1000 Growth ETF (VONG). 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.


SCHK
Sharpe ratio
The chart of Sharpe ratio for SCHK, currently valued at 3.14, compared to the broader market-2.000.002.004.006.003.14
Sortino ratio
The chart of Sortino ratio for SCHK, currently valued at 4.17, compared to the broader market-2.000.002.004.006.008.0010.0012.004.17
Omega ratio
The chart of Omega ratio for SCHK, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SCHK, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SCHK, currently valued at 20.31, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.31
VONG
Sharpe ratio
The chart of Sharpe ratio for VONG, currently valued at 2.56, compared to the broader market-2.000.002.004.006.002.56
Sortino ratio
The chart of Sortino ratio for VONG, currently valued at 3.28, compared to the broader market-2.000.002.004.006.008.0010.0012.003.28
Omega ratio
The chart of Omega ratio for VONG, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for VONG, currently valued at 3.24, compared to the broader market0.005.0010.0015.003.24
Martin ratio
The chart of Martin ratio for VONG, currently valued at 12.81, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.81

SCHK vs. VONG - Sharpe Ratio Comparison

The current SCHK Sharpe Ratio is 3.14, which is comparable to the VONG Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of SCHK and VONG, 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
3.14
2.56
SCHK
VONG

Dividends

SCHK vs. VONG - Dividend Comparison

SCHK's dividend yield for the trailing twelve months is around 1.45%, more than VONG's 0.59% yield.


TTM20232022202120202019201820172016201520142013
SCHK
Schwab 1000 Index ETF
1.45%2.04%2.35%2.05%2.65%2.85%2.30%0.62%0.00%0.00%0.00%0.00%
VONG
Vanguard Russell 1000 Growth ETF
0.59%0.71%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%1.28%

Drawdowns

SCHK vs. VONG - Drawdown Comparison

The maximum SCHK drawdown since its inception was -34.80%, which is greater than VONG's maximum drawdown of -32.72%. Use the drawdown chart below to compare losses from any high point for SCHK and VONG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.38%
-0.07%
SCHK
VONG

Volatility

SCHK vs. VONG - Volatility Comparison

The current volatility for Schwab 1000 Index ETF (SCHK) is 3.89%, while Vanguard Russell 1000 Growth ETF (VONG) has a volatility of 5.03%. This indicates that SCHK experiences smaller price fluctuations and is considered to be less risky than VONG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.89%
5.03%
SCHK
VONG