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

Performance

SCHV vs. IVE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab U.S. Large-Cap Value ETF (SCHV) and iShares S&P 500 Value ETF (IVE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.86%
10.58%
SCHV
IVE

Returns By Period

In the year-to-date period, SCHV achieves a 21.21% return, which is significantly higher than IVE's 16.74% return. Over the past 10 years, SCHV has outperformed IVE with an annualized return of 12.15%, while IVE has yielded a comparatively lower 10.31% annualized return.


SCHV

YTD

21.21%

1M

0.70%

6M

12.20%

1Y

29.79%

5Y (annualized)

11.37%

10Y (annualized)

12.15%

IVE

YTD

16.74%

1M

0.49%

6M

9.01%

1Y

25.06%

5Y (annualized)

12.08%

10Y (annualized)

10.31%

Key characteristics


SCHVIVE
Sharpe Ratio2.852.49
Sortino Ratio4.003.49
Omega Ratio1.521.45
Calmar Ratio4.844.49
Martin Ratio17.4514.38
Ulcer Index1.69%1.71%
Daily Std Dev10.34%9.89%
Max Drawdown-37.08%-61.32%
Current Drawdown-1.23%-1.29%

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. IVE - Expense Ratio Comparison

SCHV has a 0.04% expense ratio, which is lower than IVE's 0.18% 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%.


IVE
iShares S&P 500 Value ETF
Expense ratio chart for IVE: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
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%

Correlation

-0.50.00.51.01.0

The correlation between SCHV and IVE is 0.97, 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

SCHV vs. IVE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. Large-Cap Value ETF (SCHV) and iShares S&P 500 Value ETF (IVE). 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 SCHV, currently valued at 2.85, compared to the broader market0.002.004.002.852.49
The chart of Sortino ratio for SCHV, currently valued at 4.00, compared to the broader market-2.000.002.004.006.008.0010.0012.004.003.49
The chart of Omega ratio for SCHV, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.45
The chart of Calmar ratio for SCHV, currently valued at 4.84, compared to the broader market0.005.0010.0015.004.844.49
The chart of Martin ratio for SCHV, currently valued at 17.45, compared to the broader market0.0020.0040.0060.0080.00100.0017.4514.38
SCHV
IVE

The current SCHV Sharpe Ratio is 2.85, which is comparable to the IVE Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of SCHV and IVE, 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
2.85
2.49
SCHV
IVE

Dividends

SCHV vs. IVE - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 3.21%, more than IVE's 1.81% yield.


TTM20232022202120202019201820172016201520142013
SCHV
Schwab U.S. Large-Cap Value ETF
3.21%5.88%7.13%3.70%7.69%5.07%6.14%3.47%5.76%4.00%7.14%5.39%
IVE
iShares S&P 500 Value ETF
1.81%1.65%2.10%1.81%2.37%2.11%2.74%2.12%2.26%2.45%2.14%2.04%

Drawdowns

SCHV vs. IVE - Drawdown Comparison

The maximum SCHV drawdown since its inception was -37.08%, smaller than the maximum IVE drawdown of -61.32%. Use the drawdown chart below to compare losses from any high point for SCHV and IVE. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.23%
-1.29%
SCHV
IVE

Volatility

SCHV vs. IVE - Volatility Comparison

Schwab U.S. Large-Cap Value ETF (SCHV) and iShares S&P 500 Value ETF (IVE) have volatilities of 3.40% and 3.37%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.40%
3.37%
SCHV
IVE