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SCHV vs. SCHD
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Risk-Adjusted Performance
Dividends
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Volatility

Performance

SCHV vs. SCHD - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.33%
13.68%
SCHV
SCHD

Returns By Period

In the year-to-date period, SCHV achieves a 22.77% return, which is significantly higher than SCHD's 17.35% return. Over the past 10 years, SCHV has outperformed SCHD with an annualized return of 12.29%, while SCHD has yielded a comparatively lower 11.54% annualized return.


SCHV

YTD

22.77%

1M

2.15%

6M

15.33%

1Y

30.88%

5Y (annualized)

11.65%

10Y (annualized)

12.29%

SCHD

YTD

17.35%

1M

2.29%

6M

13.68%

1Y

26.18%

5Y (annualized)

12.87%

10Y (annualized)

11.54%

Key characteristics


SCHVSCHD
Sharpe Ratio3.022.40
Sortino Ratio4.233.44
Omega Ratio1.551.42
Calmar Ratio5.513.63
Martin Ratio18.6112.99
Ulcer Index1.69%2.05%
Daily Std Dev10.40%11.09%
Max Drawdown-37.08%-33.37%
Current Drawdown0.00%-0.62%

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SCHV vs. SCHD - Expense Ratio Comparison

SCHV has a 0.04% expense ratio, which is lower than SCHD's 0.06% 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%.


SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
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

-0.50.00.51.00.9

The correlation between SCHV and SCHD 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.

Risk-Adjusted Performance

SCHV vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. Large-Cap Value ETF (SCHV) and Schwab US Dividend Equity ETF (SCHD). 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 3.02, compared to the broader market0.002.004.003.022.40
The chart of Sortino ratio for SCHV, currently valued at 4.23, compared to the broader market-2.000.002.004.006.008.0010.0012.004.233.44
The chart of Omega ratio for SCHV, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.001.551.42
The chart of Calmar ratio for SCHV, currently valued at 5.51, compared to the broader market0.005.0010.0015.005.513.63
The chart of Martin ratio for SCHV, currently valued at 18.61, compared to the broader market0.0020.0040.0060.0080.00100.0018.6112.99
SCHV
SCHD

The current SCHV Sharpe Ratio is 3.02, which is comparable to the SCHD Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of SCHV and SCHD, 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
3.02
2.40
SCHV
SCHD

Dividends

SCHV vs. SCHD - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 4.12%, more than SCHD's 3.37% yield.


TTM20232022202120202019201820172016201520142013
SCHV
Schwab U.S. Large-Cap Value ETF
4.12%3.57%4.76%2.90%6.50%6.99%7.79%3.47%6.15%5.39%5.98%4.65%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

SCHV vs. SCHD - Drawdown Comparison

The maximum SCHV drawdown since its inception was -37.08%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for SCHV and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.62%
SCHV
SCHD

Volatility

SCHV vs. SCHD - Volatility Comparison

Schwab U.S. Large-Cap Value ETF (SCHV) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.61% and 3.48%, 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
3.61%
3.48%
SCHV
SCHD