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

Correlation

The correlation between STLA and SCHD is 0.58, 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.


-0.50.00.51.00.6

Performance

STLA vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Stellantis N.V. (STLA) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
-2.78%
40.45%
STLA
SCHD

Key characteristics

Sharpe Ratio

STLA:

-1.20

SCHD:

1.02

Sortino Ratio

STLA:

-1.64

SCHD:

1.51

Omega Ratio

STLA:

0.79

SCHD:

1.18

Calmar Ratio

STLA:

-0.76

SCHD:

1.55

Martin Ratio

STLA:

-1.27

SCHD:

5.23

Ulcer Index

STLA:

32.66%

SCHD:

2.21%

Daily Std Dev

STLA:

34.80%

SCHD:

11.28%

Max Drawdown

STLA:

-55.05%

SCHD:

-33.37%

Current Drawdown

STLA:

-53.45%

SCHD:

-7.44%

Returns By Period

In the year-to-date period, STLA achieves a -41.31% return, which is significantly lower than SCHD's 10.68% return.


STLA

YTD

-41.31%

1M

-4.33%

6M

-37.21%

1Y

-41.36%

5Y*

N/A

10Y*

N/A

SCHD

YTD

10.68%

1M

-5.06%

6M

7.69%

1Y

10.91%

5Y*

10.81%

10Y*

10.89%

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Risk-Adjusted Performance

STLA vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Stellantis N.V. (STLA) 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 STLA, currently valued at -1.20, compared to the broader market-4.00-2.000.002.00-1.201.02
The chart of Sortino ratio for STLA, currently valued at -1.64, compared to the broader market-4.00-2.000.002.004.00-1.641.51
The chart of Omega ratio for STLA, currently valued at 0.79, compared to the broader market0.501.001.502.000.791.18
The chart of Calmar ratio for STLA, currently valued at -0.76, compared to the broader market0.002.004.006.00-0.761.55
The chart of Martin ratio for STLA, currently valued at -1.27, compared to the broader market0.0010.0020.00-1.275.23
STLA
SCHD

The current STLA Sharpe Ratio is -1.20, which is lower than the SCHD Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of STLA 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.20
1.02
STLA
SCHD

Dividends

STLA vs. SCHD - Dividend Comparison

STLA's dividend yield for the trailing twelve months is around 12.90%, more than SCHD's 3.67% yield.


TTM20232022202120202019201820172016201520142013
STLA
Stellantis N.V.
12.90%6.32%7.90%2.66%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.67%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

STLA vs. SCHD - Drawdown Comparison

The maximum STLA drawdown since its inception was -55.05%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for STLA and SCHD. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-53.45%
-7.44%
STLA
SCHD

Volatility

STLA vs. SCHD - Volatility Comparison

Stellantis N.V. (STLA) has a higher volatility of 14.14% compared to Schwab US Dividend Equity ETF (SCHD) at 3.57%. This indicates that STLA'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.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
14.14%
3.57%
STLA
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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