SSGVX vs. SCHK
Compare and contrast key facts about State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) and Schwab 1000 Index ETF (SCHK).
SSGVX is managed by State Street Global Advisors. It was launched on Sep 17, 2014. SCHK is a passively managed fund by Charles Schwab that tracks the performance of the Schwab 1000 Index. It was launched on Oct 11, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SSGVX or SCHK.
Key characteristics
| SSGVX | SCHK | |
|---|---|---|
| YTD Return | 9.10% | 27.63% |
| 1Y Return | 19.67% | 41.37% |
| 3Y Return (Ann) | 1.13% | 9.71% |
| 5Y Return (Ann) | 5.15% | 16.61% |
| Sharpe Ratio | 1.75 | 3.21 |
| Sortino Ratio | 2.42 | 4.26 |
| Omega Ratio | 1.32 | 1.60 |
| Calmar Ratio | 1.35 | 4.74 |
| Martin Ratio | 8.89 | 20.94 |
| Ulcer Index | 2.29% | 1.92% |
| Daily Std Dev | 11.64% | 12.54% |
| Max Drawdown | -39.14% | -34.80% |
| Current Drawdown | -5.11% | 0.00% |
Correlation
The correlation between SSGVX and SCHK is 0.73, 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
SSGVX vs. SCHK - Performance Comparison
In the year-to-date period, SSGVX achieves a 9.10% return, which is significantly lower than SCHK's 27.63% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SSGVX vs. SCHK - Expense Ratio Comparison
Both SSGVX and SCHK have an expense ratio of 0.05%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
SSGVX vs. SCHK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) and Schwab 1000 Index ETF (SCHK). 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.
Dividends
SSGVX vs. SCHK - Dividend Comparison
SSGVX's dividend yield for the trailing twelve months is around 2.72%, more than SCHK's 2.32% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
SSGVX State Street Global All Cap Equity ex-U.S.Index Portfolio | 2.72% | 2.96% | 2.35% | 2.58% | 1.66% | 2.96% | 3.02% | 2.33% | 1.57% | 2.15% | 0.64% |
SCHK Schwab 1000 Index ETF | 2.32% | 2.75% | 2.42% | 1.70% | 2.30% | 2.26% | 2.66% | 0.61% | 0.00% | 0.00% | 0.00% |
Drawdowns
SSGVX vs. SCHK - Drawdown Comparison
The maximum SSGVX drawdown since its inception was -39.14%, which is greater than SCHK's maximum drawdown of -34.80%. Use the drawdown chart below to compare losses from any high point for SSGVX and SCHK. For additional features, visit the drawdowns tool.
Volatility
SSGVX vs. SCHK - Volatility Comparison
The current volatility for State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) is 3.30%, while Schwab 1000 Index ETF (SCHK) has a volatility of 4.01%. This indicates that SSGVX experiences smaller price fluctuations and is considered to be less risky than SCHK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.