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SCHV vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SCHVSPY
YTD Return18.01%21.39%
1Y Return29.12%33.27%
3Y Return (Ann)7.26%8.59%
5Y Return (Ann)10.86%15.03%
10Y Return (Ann)12.02%12.90%
Sharpe Ratio3.162.87
Sortino Ratio4.433.80
Omega Ratio1.581.54
Calmar Ratio3.404.10
Martin Ratio19.8518.62
Ulcer Index1.67%1.85%
Daily Std Dev10.49%12.01%
Max Drawdown-37.08%-55.19%
Current Drawdown-2.89%-2.23%

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.

Performance

SCHV vs. SPY - Performance Comparison

In the year-to-date period, SCHV achieves a 18.01% return, which is significantly lower than SPY's 21.39% return. Over the past 10 years, SCHV has underperformed SPY with an annualized return of 12.02%, while SPY has yielded a comparatively higher 12.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%520.00%540.00%560.00%580.00%600.00%620.00%JuneJulyAugustSeptemberOctoberNovember
591.12%
579.06%
SCHV
SPY

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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%

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.


SCHV
Sharpe ratio
The chart of Sharpe ratio for SCHV, currently valued at 2.95, compared to the broader market-2.000.002.004.006.002.95
Sortino ratio
The chart of Sortino ratio for SCHV, currently valued at 4.11, compared to the broader market0.005.0010.004.11
Omega ratio
The chart of Omega ratio for SCHV, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for SCHV, currently valued at 3.12, compared to the broader market0.005.0010.0015.0020.003.12
Martin ratio
The chart of Martin ratio for SCHV, currently valued at 18.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.10
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.87, compared to the broader market-2.000.002.004.006.002.87
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.54, compared to the broader market1.001.502.002.503.003.501.54
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.10, compared to the broader market0.005.0010.0015.0020.004.10
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.62

SCHV vs. SPY - Sharpe Ratio Comparison

The current SCHV Sharpe Ratio is 3.16, which is comparable to the SPY Sharpe Ratio of 2.87. 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
2.95
2.87
SCHV
SPY

Dividends

SCHV vs. SPY - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 5.60%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
SCHV
Schwab U.S. Large-Cap Value ETF
5.60%7.25%4.74%1.93%6.41%6.44%7.79%7.12%5.76%6.81%4.85%6.53%
SPY
SPDR S&P 500 ETF
1.23%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
-2.89%
-2.23%
SCHV
SPY

Volatility

SCHV vs. SPY - Volatility Comparison

The current volatility for Schwab U.S. Large-Cap Value ETF (SCHV) is 2.58%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.14%. 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
2.58%
3.14%
SCHV
SPY