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

Key characteristics


SCHWVOO
YTD Return2.20%7.85%
1Y Return38.43%25.52%
3Y Return (Ann)3.03%9.04%
5Y Return (Ann)10.70%13.89%
10Y Return (Ann)11.69%12.85%
Sharpe Ratio1.212.32
Daily Std Dev30.87%11.69%
Max Drawdown-86.79%-33.99%
Current Drawdown-24.32%-2.45%

Correlation

0.63
-1.001.00

The correlation between SCHW and VOO 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.

Performance

SCHW vs. VOO - Performance Comparison

In the year-to-date period, SCHW achieves a 2.20% return, which is significantly lower than VOO's 7.85% return. Over the past 10 years, SCHW has underperformed VOO with an annualized return of 11.69%, while VOO has yielded a comparatively higher 12.85% annualized return. 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%
19.33%
SCHW
VOO

Compare stocks, funds, or ETFs


The Charles Schwab Corporation

Vanguard S&P 500 ETF

Risk-Adjusted Performance

SCHW vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) and Vanguard S&P 500 ETF (VOO). 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
VOO
Sharpe ratio
The Sharpe ratio of VOO compared to the broader market-2.00-1.000.001.002.003.004.002.32
Sortino ratio
The Sortino ratio of VOO compared to the broader market-4.00-2.000.002.004.006.003.34
Omega ratio
The Omega ratio of VOO compared to the broader market0.501.001.501.41
Calmar ratio
The Calmar ratio of VOO compared to the broader market0.002.004.006.001.99
Martin ratio
The Martin ratio of VOO compared to the broader market0.0010.0020.0030.009.84

SCHW vs. VOO - Sharpe Ratio Comparison

The current SCHW Sharpe Ratio is 1.21, which is lower than the VOO Sharpe Ratio of 2.32. The chart below compares the 12-month rolling Sharpe Ratio of SCHW and VOO.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
1.21
2.32
SCHW
VOO

Dividends

SCHW vs. VOO - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.43%, more than VOO's 1.37% 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%
VOO
Vanguard S&P 500 ETF
1.37%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SCHW vs. VOO - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than VOO's maximum drawdown of -33.99%. The drawdown chart below compares losses from any high point along the way for SCHW and VOO


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-24.32%
-2.45%
SCHW
VOO

Volatility

SCHW vs. VOO - Volatility Comparison

The Charles Schwab Corporation (SCHW) has a higher volatility of 5.26% compared to Vanguard S&P 500 ETF (VOO) at 3.27%. This indicates that SCHW's price experiences larger fluctuations and is considered to be riskier than VOO 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%
3.27%
SCHW
VOO