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

Key characteristics


SCHWXLF
YTD Return2.20%6.94%
1Y Return38.43%25.23%
3Y Return (Ann)3.03%6.62%
5Y Return (Ann)10.70%10.34%
10Y Return (Ann)11.69%13.18%
Sharpe Ratio1.212.03
Daily Std Dev30.87%13.01%
Max Drawdown-86.79%-82.43%
Current Drawdown-24.32%-4.89%

Correlation

0.70
-1.001.00

The correlation between SCHW and XLF is 0.70, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

SCHW vs. XLF - Performance Comparison

In the year-to-date period, SCHW achieves a 2.20% return, which is significantly lower than XLF's 6.94% return. Over the past 10 years, SCHW has underperformed XLF with an annualized return of 11.69%, while XLF has yielded a comparatively higher 13.18% 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%
21.68%
SCHW
XLF

Compare stocks, funds, or ETFs


The Charles Schwab Corporation

Financial Select Sector SPDR Fund

Risk-Adjusted Performance

SCHW vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Charles Schwab Corporation (SCHW) and Financial Select Sector SPDR Fund (XLF). 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
XLF
Sharpe ratio
The Sharpe ratio of XLF compared to the broader market-2.00-1.000.001.002.003.004.002.03
Sortino ratio
The Sortino ratio of XLF compared to the broader market-4.00-2.000.002.004.006.002.85
Omega ratio
The Omega ratio of XLF compared to the broader market0.501.001.501.35
Calmar ratio
The Calmar ratio of XLF compared to the broader market0.002.004.006.001.21
Martin ratio
The Martin ratio of XLF compared to the broader market0.0010.0020.0030.007.96

SCHW vs. XLF - Sharpe Ratio Comparison

The current SCHW Sharpe Ratio is 1.21, which is lower than the XLF Sharpe Ratio of 2.03. The chart below compares the 12-month rolling Sharpe Ratio of SCHW and XLF.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
1.21
2.03
SCHW
XLF

Dividends

SCHW vs. XLF - Dividend Comparison

SCHW's dividend yield for the trailing twelve months is around 1.43%, less than XLF's 1.60% 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%
XLF
Financial Select Sector SPDR Fund
1.60%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%

Drawdowns

SCHW vs. XLF - Drawdown Comparison

The maximum SCHW drawdown since its inception was -86.79%, which is greater than XLF's maximum drawdown of -82.43%. The drawdown chart below compares losses from any high point along the way for SCHW and XLF


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-24.32%
-4.89%
SCHW
XLF

Volatility

SCHW vs. XLF - Volatility Comparison

The Charles Schwab Corporation (SCHW) has a higher volatility of 5.26% compared to Financial Select Sector SPDR Fund (XLF) at 3.85%. This indicates that SCHW's price experiences larger fluctuations and is considered to be riskier than XLF 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%
3.85%
SCHW
XLF