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SCHW vs. IBKR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SCHWIBKR
YTD Return2.20%33.28%
1Y Return38.43%35.18%
3Y Return (Ann)3.03%15.22%
5Y Return (Ann)10.70%16.07%
10Y Return (Ann)11.69%18.76%
Sharpe Ratio1.211.43
Daily Std Dev30.87%25.35%
Max Drawdown-86.79%-63.66%
Current Drawdown-24.32%-3.81%

Fundamentals


SCHWIBKR
Market Cap$131.97B$46.56B
EPS$2.54$2.84
PE Ratio28.4839.38
PEG Ratio1.232.58
Revenue (TTM)$18.84B$4.42B
Gross Profit (TTM)$20.17B$2.81B

Correlation

0.56
-1.001.00

The correlation between SCHW and IBKR is 0.56, 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.

Performance

SCHW vs. IBKR - Performance Comparison

In the year-to-date period, SCHW achieves a 2.20% return, which is significantly lower than IBKR's 33.28% return. Over the past 10 years, SCHW has underperformed IBKR with an annualized return of 11.69%, while IBKR has yielded a comparatively higher 18.76% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%NovemberDecember2024FebruaryMarchApril
37.61%
30.02%
SCHW
IBKR

Compare stocks, funds, or ETFs


The Charles Schwab Corporation

Interactive Brokers Group, Inc.

Risk-Adjusted Performance

SCHW vs. IBKR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) and Interactive Brokers Group, Inc. (IBKR). 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.


SCHW
Sharpe ratio
The Sharpe ratio of SCHW compared to the broader market-2.00-1.000.001.002.003.004.001.21
Sortino ratio
The Sortino ratio of SCHW compared to the broader market-4.00-2.000.002.004.006.002.02
Omega ratio
The Omega ratio of SCHW compared to the broader market0.501.001.501.23
Calmar ratio
The Calmar ratio of SCHW compared to the broader market0.002.004.006.000.75
Martin ratio
The Martin ratio of SCHW compared to the broader market0.0010.0020.0030.003.26
IBKR
Sharpe ratio
The Sharpe ratio of IBKR compared to the broader market-2.00-1.000.001.002.003.004.001.43
Sortino ratio
The Sortino ratio of IBKR compared to the broader market-4.00-2.000.002.004.006.002.01
Omega ratio
The Omega ratio of IBKR compared to the broader market0.501.001.501.24
Calmar ratio
The Calmar ratio of IBKR compared to the broader market0.002.004.006.001.82
Martin ratio
The Martin ratio of IBKR compared to the broader market0.0010.0020.0030.004.45

SCHW vs. IBKR - Sharpe Ratio Comparison

The current SCHW Sharpe Ratio is 1.21, which roughly equals the IBKR Sharpe Ratio of 1.43. The chart below compares the 12-month rolling Sharpe Ratio of SCHW and IBKR.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.21
1.43
SCHW
IBKR

Dividends

SCHW vs. IBKR - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.43%, more than IBKR's 0.36% yield.


TTM20232022202120202019201820172016201520142013
SCHW
The Charles Schwab Corporation
1.43%1.45%1.01%0.86%1.36%1.43%1.11%0.62%0.68%0.73%0.79%0.92%
IBKR
Interactive Brokers Group, Inc.
0.36%0.48%0.55%0.50%0.66%0.86%0.73%0.68%1.10%0.92%1.37%1.64%

Drawdowns

SCHW vs. IBKR - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than IBKR's maximum drawdown of -63.66%. The drawdown chart below compares losses from any high point along the way for SCHW and IBKR


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-24.32%
-3.81%
SCHW
IBKR

Volatility

SCHW vs. IBKR - Volatility Comparison

The current volatility for The Charles Schwab Corporation (SCHW) is 5.26%, while Interactive Brokers Group, Inc. (IBKR) has a volatility of 6.86%. This indicates that SCHW experiences smaller price fluctuations and is considered to be less risky than IBKR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%NovemberDecember2024FebruaryMarchApril
5.26%
6.86%
SCHW
IBKR