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SPYW.DE vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPYW.DESCHD
YTD Return4.81%17.07%
1Y Return12.55%29.98%
3Y Return (Ann)3.38%6.85%
5Y Return (Ann)2.25%12.79%
10Y Return (Ann)5.62%11.62%
Sharpe Ratio0.982.64
Sortino Ratio1.333.81
Omega Ratio1.181.47
Calmar Ratio1.442.92
Martin Ratio5.0314.57
Ulcer Index2.09%2.04%
Daily Std Dev10.77%11.26%
Max Drawdown-38.68%-33.37%
Current Drawdown-7.32%-0.86%

Correlation

-0.50.00.51.00.5

The correlation between SPYW.DE and SCHD is 0.48, 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

SPYW.DE vs. SCHD - Performance Comparison

In the year-to-date period, SPYW.DE achieves a 4.81% return, which is significantly lower than SCHD's 17.07% return. Over the past 10 years, SPYW.DE has underperformed SCHD with an annualized return of 5.62%, while SCHD has yielded a comparatively higher 11.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-6.37%
10.97%
SPYW.DE
SCHD

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SPYW.DE vs. SCHD - Expense Ratio Comparison

SPYW.DE has a 0.30% expense ratio, which is higher than SCHD's 0.06% expense ratio.


SPYW.DE
SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)
Expense ratio chart for SPYW.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
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

SPYW.DE vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist) (SPYW.DE) 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.


SPYW.DE
Sharpe ratio
The chart of Sharpe ratio for SPYW.DE, currently valued at 0.54, compared to the broader market-2.000.002.004.006.000.54
Sortino ratio
The chart of Sortino ratio for SPYW.DE, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.0012.000.79
Omega ratio
The chart of Omega ratio for SPYW.DE, currently valued at 1.10, compared to the broader market1.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for SPYW.DE, currently valued at 0.63, compared to the broader market0.005.0010.0015.000.63
Martin ratio
The chart of Martin ratio for SPYW.DE, currently valued at 2.41, compared to the broader market0.0020.0040.0060.0080.00100.002.41
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.39, compared to the broader market-2.000.002.004.006.002.39
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.45, compared to the broader market-2.000.002.004.006.008.0010.0012.003.45
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 3.59, compared to the broader market0.005.0010.0015.003.59
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 12.70, compared to the broader market0.0020.0040.0060.0080.00100.0012.70

SPYW.DE vs. SCHD - Sharpe Ratio Comparison

The current SPYW.DE Sharpe Ratio is 0.98, which is lower than the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of SPYW.DE 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
0.54
2.39
SPYW.DE
SCHD

Dividends

SPYW.DE vs. SCHD - Dividend Comparison

SPYW.DE's dividend yield for the trailing twelve months is around 0.51%, less than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
SPYW.DE
SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)
0.51%3.30%3.61%2.78%3.05%3.09%3.74%3.13%2.96%3.02%3.60%3.66%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

SPYW.DE vs. SCHD - Drawdown Comparison

The maximum SPYW.DE drawdown since its inception was -38.68%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for SPYW.DE and SCHD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.14%
-0.86%
SPYW.DE
SCHD

Volatility

SPYW.DE vs. SCHD - Volatility Comparison

SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist) (SPYW.DE) has a higher volatility of 5.34% compared to Schwab US Dividend Equity ETF (SCHD) at 3.51%. This indicates that SPYW.DE's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctoberNovember
5.34%
3.51%
SPYW.DE
SCHD