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

Performance

SCHV vs. VLUE - 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 Edge MSCI USA Value Factor ETF (VLUE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.33%
11.30%
SCHV
VLUE

Returns By Period

In the year-to-date period, SCHV achieves a 22.77% return, which is significantly higher than VLUE's 13.82% return. Over the past 10 years, SCHV has outperformed VLUE with an annualized return of 12.29%, while VLUE has yielded a comparatively lower 8.25% annualized return.


SCHV

YTD

22.77%

1M

2.15%

6M

15.33%

1Y

30.88%

5Y (annualized)

11.65%

10Y (annualized)

12.29%

VLUE

YTD

13.82%

1M

3.29%

6M

11.30%

1Y

24.26%

5Y (annualized)

8.31%

10Y (annualized)

8.25%

Key characteristics


SCHVVLUE
Sharpe Ratio3.021.88
Sortino Ratio4.232.63
Omega Ratio1.551.33
Calmar Ratio5.511.72
Martin Ratio18.617.78
Ulcer Index1.69%3.19%
Daily Std Dev10.40%13.22%
Max Drawdown-37.08%-39.47%
Current Drawdown0.00%-0.57%

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SCHV vs. VLUE - Expense Ratio Comparison

SCHV has a 0.04% expense ratio, which is lower than VLUE'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%.


VLUE
iShares Edge MSCI USA Value Factor ETF
Expense ratio chart for VLUE: 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%

Correlation

-0.50.00.51.00.9

The correlation between SCHV and VLUE is 0.90, 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. VLUE - 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 Edge MSCI USA Value Factor ETF (VLUE). 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 market0.002.004.003.021.88
The chart of Sortino ratio for SCHV, currently valued at 4.23, compared to the broader market-2.000.002.004.006.008.0010.0012.004.232.63
The chart of Omega ratio for SCHV, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.001.551.33
The chart of Calmar ratio for SCHV, currently valued at 5.51, compared to the broader market0.005.0010.0015.005.511.72
The chart of Martin ratio for SCHV, currently valued at 18.61, compared to the broader market0.0020.0040.0060.0080.00100.0018.617.78
SCHV
VLUE

The current SCHV Sharpe Ratio is 3.02, which is higher than the VLUE Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of SCHV and VLUE, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.02
1.88
SCHV
VLUE

Dividends

SCHV vs. VLUE - Dividend Comparison

SCHV's dividend yield for the trailing twelve months is around 4.12%, more than VLUE's 2.47% 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%
VLUE
iShares Edge MSCI USA Value Factor ETF
2.47%2.66%3.19%2.22%2.42%2.60%2.70%2.14%2.07%2.39%1.64%1.33%

Drawdowns

SCHV vs. VLUE - Drawdown Comparison

The maximum SCHV drawdown since its inception was -37.08%, smaller than the maximum VLUE drawdown of -39.47%. Use the drawdown chart below to compare losses from any high point for SCHV and VLUE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.57%
SCHV
VLUE

Volatility

SCHV vs. VLUE - Volatility Comparison

The current volatility for Schwab U.S. Large-Cap Value ETF (SCHV) is 3.61%, while iShares Edge MSCI USA Value Factor ETF (VLUE) has a volatility of 4.27%. This indicates that SCHV experiences smaller price fluctuations and is considered to be less risky than VLUE 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.61%
4.27%
SCHV
VLUE