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STLG vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STLG and SCHG is 0.97, 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

STLG vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Factors US Growth Style ETF (STLG) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
127.29%
142.32%
STLG
SCHG

Key characteristics

Sharpe Ratio

STLG:

2.10

SCHG:

2.22

Sortino Ratio

STLG:

2.73

SCHG:

2.86

Omega Ratio

STLG:

1.38

SCHG:

1.40

Calmar Ratio

STLG:

2.92

SCHG:

3.13

Martin Ratio

STLG:

11.00

SCHG:

12.34

Ulcer Index

STLG:

3.57%

SCHG:

3.14%

Daily Std Dev

STLG:

18.72%

SCHG:

17.45%

Max Drawdown

STLG:

-31.34%

SCHG:

-34.59%

Current Drawdown

STLG:

-3.60%

SCHG:

-2.75%

Returns By Period

The year-to-date returns for both stocks are quite close, with STLG having a 38.21% return and SCHG slightly lower at 37.04%.


STLG

YTD

38.21%

1M

2.42%

6M

9.68%

1Y

37.94%

5Y*

N/A

10Y*

N/A

SCHG

YTD

37.04%

1M

3.40%

6M

12.88%

1Y

37.14%

5Y*

20.24%

10Y*

16.77%

Compare stocks, funds, or ETFs

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


STLG vs. SCHG - Expense Ratio Comparison

STLG has a 0.25% expense ratio, which is higher than SCHG's 0.04% 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%.


STLG
iShares Factors US Growth Style ETF
Expense ratio chart for STLG: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

STLG vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Factors US Growth Style ETF (STLG) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 STLG, currently valued at 2.10, compared to the broader market0.002.004.002.102.22
The chart of Sortino ratio for STLG, currently valued at 2.73, compared to the broader market-2.000.002.004.006.008.0010.002.732.86
The chart of Omega ratio for STLG, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.40
The chart of Calmar ratio for STLG, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.923.13
The chart of Martin ratio for STLG, currently valued at 11.00, compared to the broader market0.0020.0040.0060.0080.00100.0011.0012.34
STLG
SCHG

The current STLG Sharpe Ratio is 2.10, which is comparable to the SCHG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of STLG and SCHG, 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 Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.10
2.22
STLG
SCHG

Dividends

STLG vs. SCHG - Dividend Comparison

STLG's dividend yield for the trailing twelve months is around 0.21%, less than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
STLG
iShares Factors US Growth Style ETF
0.21%0.21%0.14%0.00%0.75%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

STLG vs. SCHG - Drawdown Comparison

The maximum STLG drawdown since its inception was -31.34%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for STLG and SCHG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.60%
-2.75%
STLG
SCHG

Volatility

STLG vs. SCHG - Volatility Comparison

iShares Factors US Growth Style ETF (STLG) has a higher volatility of 5.91% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.07%. This indicates that STLG's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.91%
5.07%
STLG
SCHG
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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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