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

Performance

TISEX vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Quant Small-Cap Equity Fund (TISEX) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.57%
10.83%
TISEX
SCHD

Returns By Period

In the year-to-date period, TISEX achieves a 19.50% return, which is significantly higher than SCHD's 16.58% return. Over the past 10 years, TISEX has underperformed SCHD with an annualized return of 10.01%, while SCHD has yielded a comparatively higher 11.44% annualized return.


TISEX

YTD

19.50%

1M

1.50%

6M

11.45%

1Y

34.17%

5Y (annualized)

12.09%

10Y (annualized)

10.01%

SCHD

YTD

16.58%

1M

-0.07%

6M

10.53%

1Y

26.04%

5Y (annualized)

12.78%

10Y (annualized)

11.44%

Key characteristics


TISEXSCHD
Sharpe Ratio1.782.41
Sortino Ratio2.543.46
Omega Ratio1.311.42
Calmar Ratio2.203.46
Martin Ratio10.9813.08
Ulcer Index3.27%2.04%
Daily Std Dev20.18%11.08%
Max Drawdown-59.91%-33.37%
Current Drawdown-5.40%-1.27%

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TISEX vs. SCHD - Expense Ratio Comparison

TISEX has a 0.41% expense ratio, which is higher than SCHD's 0.06% expense ratio.


TISEX
TIAA-CREF Quant Small-Cap Equity Fund
Expense ratio chart for TISEX: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.8

The correlation between TISEX and SCHD is 0.78, 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.

Risk-Adjusted Performance

TISEX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Quant Small-Cap Equity Fund (TISEX) 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 TISEX, currently valued at 1.78, compared to the broader market0.002.004.001.782.41
The chart of Sortino ratio for TISEX, currently valued at 2.54, compared to the broader market0.005.0010.002.543.46
The chart of Omega ratio for TISEX, currently valued at 1.31, compared to the broader market1.002.003.004.001.311.42
The chart of Calmar ratio for TISEX, currently valued at 2.20, compared to the broader market0.005.0010.0015.0020.0025.002.203.46
The chart of Martin ratio for TISEX, currently valued at 10.98, compared to the broader market0.0020.0040.0060.0080.00100.0010.9813.08
TISEX
SCHD

The current TISEX Sharpe Ratio is 1.78, which is comparable to the SCHD Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of TISEX 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.78
2.41
TISEX
SCHD

Dividends

TISEX vs. SCHD - Dividend Comparison

TISEX's dividend yield for the trailing twelve months is around 0.88%, less than SCHD's 3.39% yield.


TTM20232022202120202019201820172016201520142013
TISEX
TIAA-CREF Quant Small-Cap Equity Fund
0.88%1.05%1.02%0.63%0.63%1.08%0.96%0.85%0.93%0.82%0.83%0.87%
SCHD
Schwab US Dividend Equity ETF
3.39%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

TISEX vs. SCHD - Drawdown Comparison

The maximum TISEX drawdown since its inception was -59.91%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for TISEX and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.40%
-1.27%
TISEX
SCHD

Volatility

TISEX vs. SCHD - Volatility Comparison

TIAA-CREF Quant Small-Cap Equity Fund (TISEX) has a higher volatility of 7.61% compared to Schwab US Dividend Equity ETF (SCHD) at 3.60%. This indicates that TISEX'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%JuneJulyAugustSeptemberOctoberNovember
7.61%
3.60%
TISEX
SCHD