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

Correlation

The correlation between SWK and SCHD is 0.68, 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.


-0.50.00.51.00.7

Performance

SWK vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Stanley Black & Decker, Inc. (SWK) 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%JulyAugustSeptemberOctoberNovemberDecember
-1.53%
6.37%
SWK
SCHD

Key characteristics

Sharpe Ratio

SWK:

-0.37

SCHD:

1.20

Sortino Ratio

SWK:

-0.33

SCHD:

1.76

Omega Ratio

SWK:

0.96

SCHD:

1.21

Calmar Ratio

SWK:

-0.19

SCHD:

1.69

Martin Ratio

SWK:

-1.02

SCHD:

5.86

Ulcer Index

SWK:

11.33%

SCHD:

2.30%

Daily Std Dev

SWK:

31.49%

SCHD:

11.25%

Max Drawdown

SWK:

-66.45%

SCHD:

-33.37%

Current Drawdown

SWK:

-58.28%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, SWK achieves a -13.37% return, which is significantly lower than SCHD's 11.54% return. Over the past 10 years, SWK has underperformed SCHD with an annualized return of 0.63%, while SCHD has yielded a comparatively higher 10.86% annualized return.


SWK

YTD

-13.37%

1M

-5.61%

6M

-1.07%

1Y

-13.42%

5Y*

-10.83%

10Y*

0.63%

SCHD

YTD

11.54%

1M

-4.06%

6M

7.86%

1Y

12.63%

5Y*

10.97%

10Y*

10.86%

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Risk-Adjusted Performance

SWK vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Stanley Black & Decker, Inc. (SWK) 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 SWK, currently valued at -0.37, compared to the broader market-4.00-2.000.002.00-0.371.20
The chart of Sortino ratio for SWK, currently valued at -0.33, compared to the broader market-4.00-2.000.002.004.00-0.331.76
The chart of Omega ratio for SWK, currently valued at 0.96, compared to the broader market0.501.001.502.000.961.21
The chart of Calmar ratio for SWK, currently valued at -0.19, compared to the broader market0.002.004.006.00-0.191.69
The chart of Martin ratio for SWK, currently valued at -1.02, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.025.86
SWK
SCHD

The current SWK Sharpe Ratio is -0.37, which is lower than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of SWK 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
-0.37
1.20
SWK
SCHD

Dividends

SWK vs. SCHD - Dividend Comparison

SWK's dividend yield for the trailing twelve months is around 3.98%, more than SCHD's 3.64% yield.


TTM20232022202120202019201820172016201520142013
SWK
Stanley Black & Decker, Inc.
3.98%3.28%4.23%1.58%1.56%1.63%2.15%1.43%1.97%2.01%2.12%2.45%
SCHD
Schwab US Dividend Equity ETF
3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

SWK vs. SCHD - Drawdown Comparison

The maximum SWK drawdown since its inception was -66.45%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for SWK and SCHD. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-58.28%
-6.72%
SWK
SCHD

Volatility

SWK vs. SCHD - Volatility Comparison

Stanley Black & Decker, Inc. (SWK) has a higher volatility of 9.06% compared to Schwab US Dividend Equity ETF (SCHD) at 3.88%. This indicates that SWK'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%4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
9.06%
3.88%
SWK
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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