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

Key characteristics


SCHVAVLV
YTD Return17.88%15.59%
1Y Return28.97%27.34%
3Y Return (Ann)7.02%8.86%
Sharpe Ratio2.942.33
Sortino Ratio4.093.20
Omega Ratio1.531.41
Calmar Ratio3.103.39
Martin Ratio18.0112.74
Ulcer Index1.68%2.26%
Daily Std Dev10.28%12.32%
Max Drawdown-37.08%-19.34%
Current Drawdown-3.00%-2.02%

Correlation

-0.50.00.51.00.9

The correlation between SCHV and AVLV is 0.93, 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

SCHV vs. AVLV - Performance Comparison

In the year-to-date period, SCHV achieves a 17.88% return, which is significantly higher than AVLV's 15.59% 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
11.17%
6.33%
SCHV
AVLV

Compare stocks, funds, or ETFs

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


SCHV vs. AVLV - Expense Ratio Comparison

SCHV has a 0.04% expense ratio, which is lower than AVLV's 0.15% 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%.


AVLV
Avantis U.S. Large Cap Value ETF
Expense ratio chart for AVLV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SCHV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SCHV vs. AVLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. Large-Cap Value ETF (SCHV) and Avantis U.S. Large Cap Value ETF (AVLV). 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.


SCHV
Sharpe ratio
The chart of Sharpe ratio for SCHV, currently valued at 2.94, compared to the broader market0.002.004.006.002.94
Sortino ratio
The chart of Sortino ratio for SCHV, currently valued at 4.09, compared to the broader market0.005.0010.004.09
Omega ratio
The chart of Omega ratio for SCHV, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SCHV, currently valued at 3.10, compared to the broader market0.005.0010.0015.0020.003.10
Martin ratio
The chart of Martin ratio for SCHV, currently valued at 18.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.01
AVLV
Sharpe ratio
The chart of Sharpe ratio for AVLV, currently valued at 2.33, compared to the broader market0.002.004.006.002.33
Sortino ratio
The chart of Sortino ratio for AVLV, currently valued at 3.20, compared to the broader market0.005.0010.003.20
Omega ratio
The chart of Omega ratio for AVLV, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for AVLV, currently valued at 3.39, compared to the broader market0.005.0010.0015.0020.003.39
Martin ratio
The chart of Martin ratio for AVLV, currently valued at 12.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.74

SCHV vs. AVLV - Sharpe Ratio Comparison

The current SCHV Sharpe Ratio is 2.94, which is comparable to the AVLV Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of SCHV and AVLV, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.94
2.33
SCHV
AVLV

Dividends

SCHV vs. AVLV - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 3.19%, more than AVLV's 1.60% yield.


TTM20232022202120202019201820172016201520142013
SCHV
Schwab U.S. Large-Cap Value ETF
3.19%4.68%4.55%2.88%3.03%5.66%3.05%3.55%6.75%6.81%4.85%5.39%
AVLV
Avantis U.S. Large Cap Value ETF
1.60%1.85%2.00%0.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SCHV vs. AVLV - Drawdown Comparison

The maximum SCHV drawdown since its inception was -37.08%, which is greater than AVLV's maximum drawdown of -19.34%. Use the drawdown chart below to compare losses from any high point for SCHV and AVLV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.00%
-2.02%
SCHV
AVLV

Volatility

SCHV vs. AVLV - Volatility Comparison

Schwab U.S. Large-Cap Value ETF (SCHV) and Avantis U.S. Large Cap Value ETF (AVLV) have volatilities of 2.58% and 2.59%, 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
2.58%
2.59%
SCHV
AVLV