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SCHV vs. SPY
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Performance

SCHV vs. SPY - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.14%
11.66%
SCHV
SPY

Returns By Period

In the year-to-date period, SCHV achieves a 21.44% return, which is significantly lower than SPY's 24.91% return. Over the past 10 years, SCHV has underperformed SPY with an annualized return of 12.18%, while SPY has yielded a comparatively higher 13.04% annualized return.


SCHV

YTD

21.44%

1M

-0.07%

6M

12.14%

1Y

30.27%

5Y (annualized)

11.48%

10Y (annualized)

12.18%

SPY

YTD

24.91%

1M

0.61%

6M

11.66%

1Y

32.24%

5Y (annualized)

15.43%

10Y (annualized)

13.04%

Key characteristics


SCHVSPY
Sharpe Ratio2.982.67
Sortino Ratio4.153.56
Omega Ratio1.541.50
Calmar Ratio4.923.85
Martin Ratio18.2617.38
Ulcer Index1.69%1.86%
Daily Std Dev10.36%12.17%
Max Drawdown-37.08%-55.19%
Current Drawdown-1.05%-1.77%

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SCHV vs. SPY - Expense Ratio Comparison

SCHV has a 0.04% expense ratio, which is lower than SPY's 0.09% 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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
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 SPY is 0.92, 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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab U.S. Large-Cap Value ETF (SCHV) and SPDR S&P 500 ETF (SPY). 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 2.98, compared to the broader market0.002.004.002.982.67
The chart of Sortino ratio for SCHV, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.004.153.56
The chart of Omega ratio for SCHV, currently valued at 1.54, compared to the broader market0.501.001.502.002.503.001.541.50
The chart of Calmar ratio for SCHV, currently valued at 4.92, compared to the broader market0.005.0010.0015.004.923.85
The chart of Martin ratio for SCHV, currently valued at 18.26, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.2617.38
SCHV
SPY

The current SCHV Sharpe Ratio is 2.98, which is comparable to the SPY Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of SCHV and SPY, 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
2.98
2.67
SCHV
SPY

Dividends

SCHV vs. SPY - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 2.14%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
SCHV
Schwab U.S. Large-Cap Value ETF
2.14%4.77%3.33%5.00%6.62%5.72%6.14%4.82%4.95%5.50%3.54%2.18%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SCHV vs. SPY - Drawdown Comparison

The maximum SCHV drawdown since its inception was -37.08%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SCHV and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-1.77%
SCHV
SPY

Volatility

SCHV vs. SPY - Volatility Comparison

The current volatility for Schwab U.S. Large-Cap Value ETF (SCHV) is 3.53%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that SCHV experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.53%
4.08%
SCHV
SPY