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SPIP vs. SCHP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPIP and SCHP is 0.95, 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.


-0.50.00.51.01.0

Performance

SPIP vs. SCHP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio TIPS ETF (SPIP) and Schwab U.S. TIPS ETF (SCHP). The values are adjusted to include any dividend payments, if applicable.

40.00%42.00%44.00%46.00%48.00%JulyAugustSeptemberOctoberNovemberDecember
42.80%
43.08%
SPIP
SCHP

Key characteristics

Sharpe Ratio

SPIP:

0.32

SCHP:

0.33

Sortino Ratio

SPIP:

0.47

SCHP:

0.49

Omega Ratio

SPIP:

1.06

SCHP:

1.06

Calmar Ratio

SPIP:

0.14

SCHP:

0.14

Martin Ratio

SPIP:

1.18

SCHP:

1.17

Ulcer Index

SPIP:

1.42%

SCHP:

1.32%

Daily Std Dev

SPIP:

5.28%

SCHP:

4.61%

Max Drawdown

SPIP:

-15.38%

SCHP:

-14.26%

Current Drawdown

SPIP:

-8.63%

SCHP:

-7.45%

Returns By Period

In the year-to-date period, SPIP achieves a 2.39% return, which is significantly higher than SCHP's 1.79% return. Both investments have delivered pretty close results over the past 10 years, with SPIP having a 2.12% annualized return and SCHP not far ahead at 2.21%.


SPIP

YTD

2.39%

1M

-0.71%

6M

0.67%

1Y

1.75%

5Y*

1.69%

10Y*

2.12%

SCHP

YTD

1.79%

1M

-0.85%

6M

0.76%

1Y

1.69%

5Y*

1.79%

10Y*

2.21%

Compare stocks, funds, or ETFs

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


SPIP vs. SCHP - Expense Ratio Comparison

SPIP has a 0.12% expense ratio, which is higher than SCHP's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPIP
SPDR Portfolio TIPS ETF
Expense ratio chart for SPIP: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for SCHP: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

SPIP vs. SCHP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio TIPS ETF (SPIP) and Schwab U.S. TIPS ETF (SCHP). 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.


Sharpe ratio
The chart of Sharpe ratio for SPIP, currently valued at 0.32, compared to the broader market0.002.004.000.320.33
The chart of Sortino ratio for SPIP, currently valued at 0.47, compared to the broader market-2.000.002.004.006.008.0010.000.470.49
The chart of Omega ratio for SPIP, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.06
The chart of Calmar ratio for SPIP, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.140.14
The chart of Martin ratio for SPIP, currently valued at 1.18, compared to the broader market0.0020.0040.0060.0080.00100.001.181.17
SPIP
SCHP

The current SPIP Sharpe Ratio is 0.32, which is comparable to the SCHP Sharpe Ratio of 0.33. The chart below compares the historical Sharpe Ratios of SPIP and SCHP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.32
0.33
SPIP
SCHP

Dividends

SPIP vs. SCHP - Dividend Comparison

SPIP's dividend yield for the trailing twelve months is around 3.35%, more than SCHP's 2.99% yield.


TTM20232022202120202019201820172016201520142013
SPIP
SPDR Portfolio TIPS ETF
3.35%3.70%7.06%4.53%1.97%2.60%2.80%3.02%1.88%0.14%1.66%1.11%
SCHP
Schwab U.S. TIPS ETF
2.99%3.02%7.19%4.39%1.11%2.02%2.63%1.90%1.38%0.28%1.30%0.67%

Drawdowns

SPIP vs. SCHP - Drawdown Comparison

The maximum SPIP drawdown since its inception was -15.38%, which is greater than SCHP's maximum drawdown of -14.26%. Use the drawdown chart below to compare losses from any high point for SPIP and SCHP. For additional features, visit the drawdowns tool.


-10.00%-9.00%-8.00%-7.00%-6.00%-5.00%-4.00%JulyAugustSeptemberOctoberNovemberDecember
-8.63%
-7.45%
SPIP
SCHP

Volatility

SPIP vs. SCHP - Volatility Comparison

SPDR Portfolio TIPS ETF (SPIP) has a higher volatility of 1.44% compared to Schwab U.S. TIPS ETF (SCHP) at 1.30%. This indicates that SPIP's price experiences larger fluctuations and is considered to be riskier than SCHP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%2.00%2.20%JulyAugustSeptemberOctoberNovemberDecember
1.44%
1.30%
SPIP
SCHP
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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