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

Key characteristics


SCHWSPY
YTD Return8.37%5.46%
1Y Return40.49%22.99%
3Y Return (Ann)4.79%7.85%
5Y Return (Ann)12.16%13.16%
10Y Return (Ann)12.04%12.40%
Sharpe Ratio1.311.97
Daily Std Dev30.47%11.75%
Max Drawdown-86.79%-55.19%
Current Drawdown-19.75%-4.48%

Correlation

-0.50.00.51.00.6

The correlation between SCHW and SPY is 0.61, 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. SPY - Performance Comparison

In the year-to-date period, SCHW achieves a 8.37% return, which is significantly higher than SPY's 5.46% return. Both investments have delivered pretty close results over the past 10 years, with SCHW having a 12.04% annualized return and SPY not far ahead at 12.40%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%NovemberDecember2024FebruaryMarchApril
10,354.74%
1,917.63%
SCHW
SPY

Compare stocks, funds, or ETFs

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


The Charles Schwab Corporation

SPDR S&P 500 ETF

Risk-Adjusted Performance

SCHW vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) 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.


SCHW
Sharpe ratio
The chart of Sharpe ratio for SCHW, currently valued at 1.31, compared to the broader market-2.00-1.000.001.002.003.001.31
Sortino ratio
The chart of Sortino ratio for SCHW, currently valued at 2.15, compared to the broader market-4.00-2.000.002.004.002.15
Omega ratio
The chart of Omega ratio for SCHW, currently valued at 1.25, compared to the broader market0.501.001.501.25
Calmar ratio
The chart of Calmar ratio for SCHW, currently valued at 0.80, compared to the broader market0.001.002.003.004.005.000.80
Martin ratio
The chart of Martin ratio for SCHW, currently valued at 3.55, compared to the broader market0.0010.0020.0030.003.55
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 1.97, compared to the broader market-2.00-1.000.001.002.003.001.97
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 2.85, compared to the broader market-4.00-2.000.002.004.002.85
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.34, compared to the broader market0.501.001.501.34
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 1.69, compared to the broader market0.001.002.003.004.005.001.69
Martin ratio
The chart of Martin ratio for SPY, currently valued at 8.13, compared to the broader market0.0010.0020.0030.008.13

SCHW vs. SPY - Sharpe Ratio Comparison

The current SCHW Sharpe Ratio is 1.31, which is lower than the SPY Sharpe Ratio of 1.97. The chart below compares the 12-month rolling Sharpe Ratio of SCHW and SPY.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
1.31
1.97
SCHW
SPY

Dividends

SCHW vs. SPY - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.35%, which matches SPY's 1.35% 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%
SPY
SPDR S&P 500 ETF
1.35%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SCHW vs. SPY - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SCHW and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-19.75%
-4.48%
SCHW
SPY

Volatility

SCHW vs. SPY - Volatility Comparison

The Charles Schwab Corporation (SCHW) has a higher volatility of 4.84% compared to SPDR S&P 500 ETF (SPY) at 3.26%. This indicates that SCHW's price experiences larger fluctuations and is considered to be riskier than SPY 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
4.84%
3.26%
SCHW
SPY