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

Key characteristics


SCHWSCHD
YTD Return2.20%1.68%
1Y Return38.43%7.99%
3Y Return (Ann)3.03%4.74%
5Y Return (Ann)10.70%11.24%
10Y Return (Ann)11.69%11.13%
Sharpe Ratio1.210.75
Daily Std Dev30.87%11.69%
Max Drawdown-86.79%-33.37%
Current Drawdown-24.32%-4.74%

Correlation

0.62
-1.001.00

The correlation between SCHW and SCHD is 0.62, 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. SCHD - Performance Comparison

In the year-to-date period, SCHW achieves a 2.20% return, which is significantly higher than SCHD's 1.68% return. Both investments have delivered pretty close results over the past 10 years, with SCHW having a 11.69% annualized return and SCHD not far behind at 11.13%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%NovemberDecember2024FebruaryMarchApril
37.61%
11.21%
SCHW
SCHD

Compare stocks, funds, or ETFs


The Charles Schwab Corporation

Schwab US Dividend Equity ETF

Risk-Adjusted Performance

SCHW vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) and Schwab US Dividend Equity ETF (SCHD). 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 market0.001.002.003.004.005.006.000.75
Martin ratio
The Martin ratio of SCHW compared to the broader market0.0010.0020.0030.003.26
SCHD
Sharpe ratio
The Sharpe ratio of SCHD compared to the broader market-2.00-1.000.001.002.003.004.000.75
Sortino ratio
The Sortino ratio of SCHD compared to the broader market-4.00-2.000.002.004.006.001.14
Omega ratio
The Omega ratio of SCHD compared to the broader market0.501.001.501.13
Calmar ratio
The Calmar ratio of SCHD compared to the broader market0.001.002.003.004.005.006.000.66
Martin ratio
The Martin ratio of SCHD compared to the broader market0.0010.0020.0030.002.43

SCHW vs. SCHD - Sharpe Ratio Comparison

The current SCHW Sharpe Ratio is 1.21, which is higher than the SCHD Sharpe Ratio of 0.75. The chart below compares the 12-month rolling Sharpe Ratio of SCHW and SCHD.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
1.21
0.75
SCHW
SCHD

Dividends

SCHW vs. SCHD - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.43%, less than SCHD's 3.48% 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%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

SCHW vs. SCHD - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than SCHD's maximum drawdown of -33.37%. The drawdown chart below compares losses from any high point along the way for SCHW and SCHD


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-24.32%
-4.74%
SCHW
SCHD

Volatility

SCHW vs. SCHD - Volatility Comparison

The Charles Schwab Corporation (SCHW) has a higher volatility of 5.26% compared to Schwab US Dividend Equity ETF (SCHD) at 3.78%. This indicates that SCHW's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2024FebruaryMarchApril
5.26%
3.78%
SCHW
SCHD