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SCHP vs. WPC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SCHP and WPC is 0.10, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

SCHP vs. WPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab U.S. TIPS ETF (SCHP) and W. P. Carey Inc. (WPC). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
43.08%
316.76%
SCHP
WPC

Key characteristics

Sharpe Ratio

SCHP:

0.33

WPC:

-0.50

Sortino Ratio

SCHP:

0.49

WPC:

-0.56

Omega Ratio

SCHP:

1.06

WPC:

0.93

Calmar Ratio

SCHP:

0.14

WPC:

-0.33

Martin Ratio

SCHP:

1.17

WPC:

-0.85

Ulcer Index

SCHP:

1.32%

WPC:

12.36%

Daily Std Dev

SCHP:

4.61%

WPC:

21.07%

Max Drawdown

SCHP:

-14.26%

WPC:

-52.45%

Current Drawdown

SCHP:

-7.45%

WPC:

-28.88%

Returns By Period

In the year-to-date period, SCHP achieves a 1.79% return, which is significantly higher than WPC's -12.40% return. Over the past 10 years, SCHP has underperformed WPC with an annualized return of 2.21%, while WPC has yielded a comparatively higher 3.31% annualized return.


SCHP

YTD

1.79%

1M

-0.85%

6M

0.76%

1Y

1.69%

5Y*

1.79%

10Y*

2.21%

WPC

YTD

-12.40%

1M

-4.57%

6M

1.40%

1Y

-11.36%

5Y*

-0.94%

10Y*

3.31%

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Risk-Adjusted Performance

SCHP vs. WPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. TIPS ETF (SCHP) and W. P. Carey Inc. (WPC). 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 SCHP, currently valued at 0.33, compared to the broader market0.002.004.000.33-0.50
The chart of Sortino ratio for SCHP, currently valued at 0.49, compared to the broader market-2.000.002.004.006.008.0010.000.49-0.56
The chart of Omega ratio for SCHP, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.060.93
The chart of Calmar ratio for SCHP, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.14-0.33
The chart of Martin ratio for SCHP, currently valued at 1.17, compared to the broader market0.0020.0040.0060.0080.00100.001.17-0.85
SCHP
WPC

The current SCHP Sharpe Ratio is 0.33, which is higher than the WPC Sharpe Ratio of -0.50. The chart below compares the historical Sharpe Ratios of SCHP and WPC, 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 Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.33
-0.50
SCHP
WPC

Dividends

SCHP vs. WPC - Dividend Comparison

SCHP's dividend yield for the trailing twelve months is around 2.99%, less than WPC's 6.40% yield.


TTM20232022202120202019201820172016201520142013
SCHP
Schwab U.S. TIPS ETF
2.99%3.02%7.19%4.39%1.11%2.02%2.63%1.90%1.38%0.28%1.30%0.67%
WPC
W. P. Carey Inc.
6.40%6.17%5.43%5.13%5.91%5.17%6.26%5.82%6.65%6.49%5.26%5.71%

Drawdowns

SCHP vs. WPC - Drawdown Comparison

The maximum SCHP drawdown since its inception was -14.26%, smaller than the maximum WPC drawdown of -52.45%. Use the drawdown chart below to compare losses from any high point for SCHP and WPC. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-7.45%
-28.88%
SCHP
WPC

Volatility

SCHP vs. WPC - Volatility Comparison

The current volatility for Schwab U.S. TIPS ETF (SCHP) is 1.30%, while W. P. Carey Inc. (WPC) has a volatility of 6.05%. This indicates that SCHP experiences smaller price fluctuations and is considered to be less risky than WPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
1.30%
6.05%
SCHP
WPC
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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.

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