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

Correlation

The correlation between SPY and SCHD is 0.86, 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.


-0.50.00.51.00.9

Performance

SPY vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 ETF (SPY) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
13.60%
13.24%
SPY
SCHD

Key characteristics

Sharpe Ratio

SPY:

2.78

SCHD:

2.03

Sortino Ratio

SPY:

3.69

SCHD:

2.96

Omega Ratio

SPY:

1.52

SCHD:

1.36

Calmar Ratio

SPY:

4.01

SCHD:

3.78

Martin Ratio

SPY:

18.07

SCHD:

10.93

Ulcer Index

SPY:

1.87%

SCHD:

2.07%

Daily Std Dev

SPY:

12.15%

SCHD:

11.16%

Max Drawdown

SPY:

-55.19%

SCHD:

-33.37%

Current Drawdown

SPY:

-0.51%

SCHD:

-2.51%

Returns By Period

In the year-to-date period, SPY achieves a 28.42% return, which is significantly higher than SCHD's 16.58% return. Over the past 10 years, SPY has outperformed SCHD with an annualized return of 13.68%, while SCHD has yielded a comparatively lower 11.86% annualized return.


SPY

YTD

28.42%

1M

1.08%

6M

13.60%

1Y

33.17%

5Y (annualized)

15.80%

10Y (annualized)

13.68%

SCHD

YTD

16.58%

1M

-1.00%

6M

13.24%

1Y

22.38%

5Y (annualized)

12.41%

10Y (annualized)

11.86%

Compare stocks, funds, or ETFs

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


SPY vs. SCHD - Expense Ratio Comparison

SPY has a 0.09% expense ratio, which is higher than SCHD's 0.06% 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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

SPY vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 ETF (SPY) 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.


Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.78, compared to the broader market0.002.004.002.782.03
The chart of Sortino ratio for SPY, currently valued at 3.69, compared to the broader market-2.000.002.004.006.008.0010.0012.003.692.96
The chart of Omega ratio for SPY, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.36
The chart of Calmar ratio for SPY, currently valued at 4.01, compared to the broader market0.005.0010.0015.004.013.78
The chart of Martin ratio for SPY, currently valued at 18.07, compared to the broader market0.0020.0040.0060.0080.00100.0018.0710.93
SPY
SCHD

The current SPY Sharpe Ratio is 2.78, which is higher than the SCHD Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of SPY and SCHD, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.78
2.03
SPY
SCHD

Dividends

SPY vs. SCHD - Dividend Comparison

SPY's dividend yield for the trailing twelve months is around 1.16%, less than SCHD's 2.54% yield.


TTM20232022202120202019201820172016201520142013
SPY
SPDR S&P 500 ETF
1.16%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
SCHD
Schwab US Dividend Equity ETF
2.54%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

SPY vs. SCHD - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for SPY and SCHD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.51%
-2.51%
SPY
SCHD

Volatility

SPY vs. SCHD - Volatility Comparison

The current volatility for SPDR S&P 500 ETF (SPY) is 2.19%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 2.79%. This indicates that SPY experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.19%
2.79%
SPY
SCHD
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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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