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

Key characteristics


TAIAXSCHG
YTD Return12.13%34.22%
1Y Return21.39%47.39%
3Y Return (Ann)4.77%11.12%
5Y Return (Ann)7.02%21.10%
10Y Return (Ann)6.68%16.82%
Sharpe Ratio3.692.71
Sortino Ratio5.503.48
Omega Ratio1.741.49
Calmar Ratio2.823.74
Martin Ratio27.2014.90
Ulcer Index0.77%3.10%
Daily Std Dev5.70%17.06%
Max Drawdown-21.42%-34.59%
Current Drawdown-0.42%0.00%

Correlation

-0.50.00.51.00.8

The correlation between TAIAX and SCHG is 0.83, 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

TAIAX vs. SCHG - Performance Comparison

In the year-to-date period, TAIAX achieves a 12.13% return, which is significantly lower than SCHG's 34.22% return. Over the past 10 years, TAIAX has underperformed SCHG with an annualized return of 6.68%, while SCHG has yielded a comparatively higher 16.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
6.98%
19.72%
TAIAX
SCHG

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TAIAX vs. SCHG - Expense Ratio Comparison

TAIAX has a 0.34% expense ratio, which is higher than SCHG's 0.04% expense ratio.


TAIAX
American Funds Tax-Aware Conservative Growth and Income Portfolio
Expense ratio chart for TAIAX: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%
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

TAIAX vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for American Funds Tax-Aware Conservative Growth and Income Portfolio (TAIAX) 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.


TAIAX
Sharpe ratio
The chart of Sharpe ratio for TAIAX, currently valued at 3.69, compared to the broader market0.002.004.003.69
Sortino ratio
The chart of Sortino ratio for TAIAX, currently valued at 5.50, compared to the broader market0.005.0010.005.50
Omega ratio
The chart of Omega ratio for TAIAX, currently valued at 1.74, compared to the broader market1.002.003.004.001.74
Calmar ratio
The chart of Calmar ratio for TAIAX, currently valued at 2.82, compared to the broader market0.005.0010.0015.0020.0025.002.82
Martin ratio
The chart of Martin ratio for TAIAX, currently valued at 27.20, compared to the broader market0.0020.0040.0060.0080.00100.0027.20
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.71, compared to the broader market0.002.004.002.71
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.74, compared to the broader market0.005.0010.0015.0020.0025.003.74
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.90, compared to the broader market0.0020.0040.0060.0080.00100.0014.90

TAIAX vs. SCHG - Sharpe Ratio Comparison

The current TAIAX Sharpe Ratio is 3.69, which is higher than the SCHG Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of TAIAX 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.69
2.71
TAIAX
SCHG

Dividends

TAIAX vs. SCHG - Dividend Comparison

TAIAX's dividend yield for the trailing twelve months is around 2.20%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
TAIAX
American Funds Tax-Aware Conservative Growth and Income Portfolio
2.20%2.45%2.34%1.86%2.11%2.33%2.66%2.40%2.64%2.69%3.64%2.71%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

TAIAX vs. SCHG - Drawdown Comparison

The maximum TAIAX drawdown since its inception was -21.42%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for TAIAX and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.42%
0
TAIAX
SCHG

Volatility

TAIAX vs. SCHG - Volatility Comparison

The current volatility for American Funds Tax-Aware Conservative Growth and Income Portfolio (TAIAX) is 1.58%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.35%. This indicates that TAIAX experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.58%
5.35%
TAIAX
SCHG