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

Correlation

The correlation between SCHR and SCHQ is 0.86, 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

SCHR vs. SCHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Intermediate-Term U.S. Treasury ETF (SCHR) and Schwab Long-Term U.S. Treasury ETF (SCHQ). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.78%
-25.93%
SCHR
SCHQ

Key characteristics

Sharpe Ratio

SCHR:

0.76

SCHQ:

-0.47

Sortino Ratio

SCHR:

1.13

SCHQ:

-0.56

Omega Ratio

SCHR:

1.13

SCHQ:

0.94

Calmar Ratio

SCHR:

0.38

SCHQ:

-0.14

Martin Ratio

SCHR:

2.20

SCHQ:

-1.01

Ulcer Index

SCHR:

1.68%

SCHQ:

5.96%

Daily Std Dev

SCHR:

4.86%

SCHQ:

12.96%

Max Drawdown

SCHR:

-15.43%

SCHQ:

-46.13%

Current Drawdown

SCHR:

-4.72%

SCHQ:

-39.31%

Returns By Period

In the year-to-date period, SCHR achieves a 3.57% return, which is significantly higher than SCHQ's -5.60% return.


SCHR

YTD

3.57%

1M

-0.09%

6M

2.01%

1Y

3.74%

5Y*

0.83%

10Y*

2.14%

SCHQ

YTD

-5.60%

1M

-1.49%

6M

-2.97%

1Y

-5.65%

5Y*

-5.21%

10Y*

N/A

Compare stocks, funds, or ETFs

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


SCHR vs. SCHQ - Expense Ratio Comparison

Both SCHR and SCHQ have an expense ratio of 0.05%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SCHR
Schwab Intermediate-Term U.S. Treasury ETF
Expense ratio chart for SCHR: 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 SCHQ: 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

SCHR vs. SCHQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Intermediate-Term U.S. Treasury ETF (SCHR) and Schwab Long-Term U.S. Treasury ETF (SCHQ). 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 SCHR, currently valued at 0.76, compared to the broader market0.002.004.000.76-0.47
The chart of Sortino ratio for SCHR, currently valued at 1.13, compared to the broader market-2.000.002.004.006.008.0010.001.13-0.56
The chart of Omega ratio for SCHR, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.130.94
The chart of Calmar ratio for SCHR, currently valued at 0.38, compared to the broader market0.005.0010.0015.000.38-0.14
The chart of Martin ratio for SCHR, currently valued at 2.20, compared to the broader market0.0020.0040.0060.0080.00100.002.20-1.01
SCHR
SCHQ

The current SCHR Sharpe Ratio is 0.76, which is higher than the SCHQ Sharpe Ratio of -0.47. The chart below compares the historical Sharpe Ratios of SCHR and SCHQ, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.76
-0.47
SCHR
SCHQ

Dividends

SCHR vs. SCHQ - Dividend Comparison

SCHR's dividend yield for the trailing twelve months is around 5.96%, more than SCHQ's 4.54% yield.


TTM20232022202120202019201820172016201520142013
SCHR
Schwab Intermediate-Term U.S. Treasury ETF
5.96%4.22%2.65%1.25%2.34%3.83%2.86%2.51%2.20%2.74%1.89%1.39%
SCHQ
Schwab Long-Term U.S. Treasury ETF
4.54%3.79%2.88%1.69%1.52%0.44%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SCHR vs. SCHQ - Drawdown Comparison

The maximum SCHR drawdown since its inception was -15.43%, smaller than the maximum SCHQ drawdown of -46.13%. Use the drawdown chart below to compare losses from any high point for SCHR and SCHQ. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.72%
-39.31%
SCHR
SCHQ

Volatility

SCHR vs. SCHQ - Volatility Comparison

The current volatility for Schwab Intermediate-Term U.S. Treasury ETF (SCHR) is 1.26%, while Schwab Long-Term U.S. Treasury ETF (SCHQ) has a volatility of 3.89%. This indicates that SCHR experiences smaller price fluctuations and is considered to be less risky than SCHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
1.26%
3.89%
SCHR
SCHQ
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