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VB vs. SCHA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VBSCHA
YTD Return13.13%10.95%
1Y Return37.41%37.18%
3Y Return (Ann)2.98%1.48%
5Y Return (Ann)10.51%9.84%
10Y Return (Ann)9.26%9.04%
Sharpe Ratio2.211.96
Sortino Ratio3.052.74
Omega Ratio1.381.33
Calmar Ratio1.611.38
Martin Ratio12.4411.35
Ulcer Index3.09%3.36%
Daily Std Dev17.42%19.52%
Max Drawdown-59.58%-42.41%
Current Drawdown-1.42%-1.97%

Correlation

-0.50.00.51.01.0

The correlation between VB and SCHA is 0.99, 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

VB vs. SCHA - Performance Comparison

In the year-to-date period, VB achieves a 13.13% return, which is significantly higher than SCHA's 10.95% return. Both investments have delivered pretty close results over the past 10 years, with VB having a 9.26% annualized return and SCHA not far behind at 9.04%. 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%MayJuneJulyAugustSeptemberOctober
12.55%
13.53%
VB
SCHA

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VB vs. SCHA - Expense Ratio Comparison

VB has a 0.05% expense ratio, which is higher than SCHA's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VB
Vanguard Small-Cap ETF
Expense ratio chart for VB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for SCHA: 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

VB vs. SCHA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Small-Cap ETF (VB) and Schwab U.S. Small-Cap ETF (SCHA). 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.


VB
Sharpe ratio
The chart of Sharpe ratio for VB, currently valued at 2.21, compared to the broader market-2.000.002.004.006.002.21
Sortino ratio
The chart of Sortino ratio for VB, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for VB, currently valued at 1.38, compared to the broader market1.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for VB, currently valued at 1.61, compared to the broader market0.005.0010.0015.001.61
Martin ratio
The chart of Martin ratio for VB, currently valued at 12.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.44
SCHA
Sharpe ratio
The chart of Sharpe ratio for SCHA, currently valued at 1.96, compared to the broader market-2.000.002.004.006.001.96
Sortino ratio
The chart of Sortino ratio for SCHA, currently valued at 2.74, compared to the broader market0.005.0010.002.74
Omega ratio
The chart of Omega ratio for SCHA, currently valued at 1.33, compared to the broader market1.001.502.002.503.003.501.33
Calmar ratio
The chart of Calmar ratio for SCHA, currently valued at 1.38, compared to the broader market0.005.0010.0015.001.38
Martin ratio
The chart of Martin ratio for SCHA, currently valued at 11.35, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.35

VB vs. SCHA - Sharpe Ratio Comparison

The current VB Sharpe Ratio is 2.21, which is comparable to the SCHA Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of VB and SCHA, 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 Ratio0.501.001.502.00MayJuneJulyAugustSeptemberOctober
2.21
1.96
VB
SCHA

Dividends

VB vs. SCHA - Dividend Comparison

VB's dividend yield for the trailing twelve months is around 1.38%, less than SCHA's 2.09% yield.


TTM20232022202120202019201820172016201520142013
VB
Vanguard Small-Cap ETF
1.38%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%
SCHA
Schwab U.S. Small-Cap ETF
2.09%2.56%2.57%1.48%1.39%2.28%2.84%1.70%2.41%2.61%1.78%2.05%

Drawdowns

VB vs. SCHA - Drawdown Comparison

The maximum VB drawdown since its inception was -59.58%, which is greater than SCHA's maximum drawdown of -42.41%. Use the drawdown chart below to compare losses from any high point for VB and SCHA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.42%
-1.97%
VB
SCHA

Volatility

VB vs. SCHA - Volatility Comparison

The current volatility for Vanguard Small-Cap ETF (VB) is 3.50%, while Schwab U.S. Small-Cap ETF (SCHA) has a volatility of 4.23%. This indicates that VB experiences smaller price fluctuations and is considered to be less risky than SCHA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%MayJuneJulyAugustSeptemberOctober
3.50%
4.23%
VB
SCHA