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

Correlation

The correlation between UNM and SCHG is 0.47, 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.


-0.50.00.51.00.5

Performance

UNM vs. SCHG - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
473.46%
923.84%
UNM
SCHG

Key characteristics

Sharpe Ratio

UNM:

3.30

SCHG:

2.22

Sortino Ratio

UNM:

4.49

SCHG:

2.86

Omega Ratio

UNM:

1.62

SCHG:

1.40

Calmar Ratio

UNM:

5.26

SCHG:

3.13

Martin Ratio

UNM:

18.41

SCHG:

12.34

Ulcer Index

UNM:

3.62%

SCHG:

3.14%

Daily Std Dev

UNM:

20.24%

SCHG:

17.45%

Max Drawdown

UNM:

-89.38%

SCHG:

-34.59%

Current Drawdown

UNM:

-6.57%

SCHG:

-2.75%

Returns By Period

In the year-to-date period, UNM achieves a 63.99% return, which is significantly higher than SCHG's 37.04% return. Over the past 10 years, UNM has underperformed SCHG with an annualized return of 10.96%, while SCHG has yielded a comparatively higher 16.77% annualized return.


UNM

YTD

63.99%

1M

-4.53%

6M

43.69%

1Y

65.01%

5Y*

24.70%

10Y*

10.96%

SCHG

YTD

37.04%

1M

3.40%

6M

12.88%

1Y

37.14%

5Y*

20.24%

10Y*

16.77%

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Risk-Adjusted Performance

UNM vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Unum Group (UNM) 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 UNM, currently valued at 3.30, compared to the broader market-4.00-2.000.002.003.302.22
The chart of Sortino ratio for UNM, currently valued at 4.49, compared to the broader market-4.00-2.000.002.004.004.492.86
The chart of Omega ratio for UNM, currently valued at 1.62, compared to the broader market0.501.001.502.001.621.40
The chart of Calmar ratio for UNM, currently valued at 5.26, compared to the broader market0.002.004.006.005.263.13
The chart of Martin ratio for UNM, currently valued at 18.41, compared to the broader market-5.000.005.0010.0015.0020.0025.0018.4112.34
UNM
SCHG

The current UNM Sharpe Ratio is 3.30, which is higher than the SCHG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of UNM 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
3.30
2.22
UNM
SCHG

Dividends

UNM vs. SCHG - Dividend Comparison

UNM's dividend yield for the trailing twelve months is around 2.18%, more than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
UNM
Unum Group
2.18%3.07%3.07%4.76%4.97%3.74%3.34%1.57%1.75%2.10%1.78%1.57%
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

UNM vs. SCHG - Drawdown Comparison

The maximum UNM drawdown since its inception was -89.38%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for UNM and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.57%
-2.75%
UNM
SCHG

Volatility

UNM vs. SCHG - Volatility Comparison

Unum Group (UNM) has a higher volatility of 6.42% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.07%. This indicates that UNM'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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.42%
5.07%
UNM
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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