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

Correlation

The correlation between SCHW and GS is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

SCHW vs. GS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Charles Schwab Corporation (SCHW) and The Goldman Sachs Group, Inc. (GS). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
2.50%
22.26%
SCHW
GS

Key characteristics

Sharpe Ratio

SCHW:

0.32

GS:

1.89

Sortino Ratio

SCHW:

0.61

GS:

2.80

Omega Ratio

SCHW:

1.09

GS:

1.37

Calmar Ratio

SCHW:

0.25

GS:

4.92

Martin Ratio

SCHW:

0.79

GS:

17.71

Ulcer Index

SCHW:

10.50%

GS:

2.73%

Daily Std Dev

SCHW:

26.03%

GS:

25.62%

Max Drawdown

SCHW:

-86.79%

GS:

-78.84%

Current Drawdown

SCHW:

-19.20%

GS:

-8.52%

Fundamentals

Market Cap

SCHW:

$140.51B

GS:

$180.40B

EPS

SCHW:

$2.56

GS:

$34.12

PE Ratio

SCHW:

29.98

GS:

16.84

PEG Ratio

SCHW:

1.24

GS:

3.95

Total Revenue (TTM)

SCHW:

$19.48B

GS:

$50.96B

Gross Profit (TTM)

SCHW:

$11.11B

GS:

$33.41B

EBITDA (TTM)

SCHW:

$8.20B

GS:

$18.07B

Returns By Period

In the year-to-date period, SCHW achieves a 9.11% return, which is significantly lower than GS's 47.09% return. Over the past 10 years, SCHW has underperformed GS with an annualized return of 10.84%, while GS has yielded a comparatively higher 13.28% annualized return.


SCHW

YTD

9.11%

1M

-9.12%

6M

2.31%

1Y

7.64%

5Y*

10.58%

10Y*

10.84%

GS

YTD

47.09%

1M

-4.24%

6M

22.26%

1Y

50.30%

5Y*

22.35%

10Y*

13.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

SCHW vs. GS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) and The Goldman Sachs Group, Inc. (GS). 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 SCHW, currently valued at 0.29, compared to the broader market-4.00-2.000.002.000.291.89
The chart of Sortino ratio for SCHW, currently valued at 0.58, compared to the broader market-4.00-2.000.002.004.000.582.80
The chart of Omega ratio for SCHW, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.37
The chart of Calmar ratio for SCHW, currently valued at 0.23, compared to the broader market0.002.004.006.000.234.92
The chart of Martin ratio for SCHW, currently valued at 0.73, compared to the broader market0.0010.0020.000.7317.71
SCHW
GS

The current SCHW Sharpe Ratio is 0.32, which is lower than the GS Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of SCHW and GS, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.29
1.89
SCHW
GS

Dividends

SCHW vs. GS - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.35%, less than GS's 2.08% yield.


TTM20232022202120202019201820172016201520142013
SCHW
The Charles Schwab Corporation
1.35%1.45%1.01%0.86%1.36%1.43%1.11%0.62%0.68%0.73%0.79%0.92%
GS
The Goldman Sachs Group, Inc.
2.08%2.72%2.62%1.70%1.90%1.80%1.89%1.14%1.09%1.41%1.16%1.16%

Drawdowns

SCHW vs. GS - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than GS's maximum drawdown of -78.84%. Use the drawdown chart below to compare losses from any high point for SCHW and GS. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.20%
-8.52%
SCHW
GS

Volatility

SCHW vs. GS - Volatility Comparison

The Charles Schwab Corporation (SCHW) and The Goldman Sachs Group, Inc. (GS) have volatilities of 6.48% and 6.23%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.48%
6.23%
SCHW
GS

Financials

SCHW vs. GS - Financials Comparison

This section allows you to compare key financial metrics between The Charles Schwab Corporation and The Goldman Sachs Group, Inc.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab