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

Key characteristics


VADAXSCHD
YTD Return17.46%17.07%
1Y Return32.29%29.98%
3Y Return (Ann)5.73%6.85%
5Y Return (Ann)12.03%12.79%
10Y Return (Ann)10.36%11.62%
Sharpe Ratio2.722.64
Sortino Ratio3.803.81
Omega Ratio1.491.47
Calmar Ratio2.602.92
Martin Ratio15.9114.57
Ulcer Index2.02%2.04%
Daily Std Dev11.79%11.26%
Max Drawdown-60.26%-33.37%
Current Drawdown-0.76%-0.86%

Correlation

-0.50.00.51.00.9

The correlation between VADAX and SCHD is 0.91, 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

VADAX vs. SCHD - Performance Comparison

The year-to-date returns for both stocks are quite close, with VADAX having a 17.46% return and SCHD slightly lower at 17.07%. Over the past 10 years, VADAX has underperformed SCHD with an annualized return of 10.36%, while SCHD has yielded a comparatively higher 11.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.80%
10.97%
VADAX
SCHD

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VADAX vs. SCHD - Expense Ratio Comparison

VADAX has a 0.52% expense ratio, which is higher than SCHD's 0.06% expense ratio.


VADAX
Invesco Equally-Weighted S&P 500 Fund Class A
Expense ratio chart for VADAX: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%
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%

Risk-Adjusted Performance

VADAX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Equally-Weighted S&P 500 Fund Class A (VADAX) 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.


VADAX
Sharpe ratio
The chart of Sharpe ratio for VADAX, currently valued at 2.72, compared to the broader market0.002.004.002.72
Sortino ratio
The chart of Sortino ratio for VADAX, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for VADAX, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for VADAX, currently valued at 2.60, compared to the broader market0.005.0010.0015.0020.0025.002.60
Martin ratio
The chart of Martin ratio for VADAX, currently valued at 15.91, compared to the broader market0.0020.0040.0060.0080.00100.0015.91
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.64, compared to the broader market0.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.81, compared to the broader market0.005.0010.003.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.92, compared to the broader market0.005.0010.0015.0020.0025.002.92
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.0014.57

VADAX vs. SCHD - Sharpe Ratio Comparison

The current VADAX Sharpe Ratio is 2.72, which is comparable to the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of VADAX 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
2.64
VADAX
SCHD

Dividends

VADAX vs. SCHD - Dividend Comparison

VADAX's dividend yield for the trailing twelve months is around 3.99%, more than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
VADAX
Invesco Equally-Weighted S&P 500 Fund Class A
3.99%4.69%8.49%9.80%6.21%4.49%6.90%2.76%1.33%2.77%2.37%3.56%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

VADAX vs. SCHD - Drawdown Comparison

The maximum VADAX drawdown since its inception was -60.26%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for VADAX and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.76%
-0.86%
VADAX
SCHD

Volatility

VADAX vs. SCHD - Volatility Comparison

Invesco Equally-Weighted S&P 500 Fund Class A (VADAX) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.48% and 3.51%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.48%
3.51%
VADAX
SCHD