PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VOTE vs. SCHK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VOTE and SCHK 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.


-0.50.00.51.01.0

Performance

VOTE vs. SCHK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Engine No. 1 Transform 500 ETF (VOTE) and Schwab 1000 Index ETF (SCHK). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.47%
9.28%
VOTE
SCHK

Key characteristics

Sharpe Ratio

VOTE:

2.01

SCHK:

2.06

Sortino Ratio

VOTE:

2.71

SCHK:

2.74

Omega Ratio

VOTE:

1.37

SCHK:

1.38

Calmar Ratio

VOTE:

3.00

SCHK:

3.10

Martin Ratio

VOTE:

13.45

SCHK:

13.46

Ulcer Index

VOTE:

1.92%

SCHK:

1.96%

Daily Std Dev

VOTE:

12.87%

SCHK:

12.78%

Max Drawdown

VOTE:

-25.71%

SCHK:

-34.80%

Current Drawdown

VOTE:

-3.84%

SCHK:

-3.89%

Returns By Period

The year-to-date returns for both investments are quite close, with VOTE having a 24.92% return and SCHK slightly higher at 25.43%.


VOTE

YTD

24.92%

1M

-0.25%

6M

8.08%

1Y

25.19%

5Y*

N/A

10Y*

N/A

SCHK

YTD

25.43%

1M

-0.34%

6M

8.91%

1Y

25.53%

5Y*

15.25%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VOTE vs. SCHK - Expense Ratio Comparison

Both VOTE and SCHK have an expense ratio of 0.05%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VOTE
Engine No. 1 Transform 500 ETF
Expense ratio chart for VOTE: 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 SCHK: 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%

Risk-Adjusted Performance

VOTE vs. SCHK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Engine No. 1 Transform 500 ETF (VOTE) and Schwab 1000 Index ETF (SCHK). 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 VOTE, currently valued at 2.01, compared to the broader market0.002.004.002.012.06
The chart of Sortino ratio for VOTE, currently valued at 2.71, compared to the broader market-2.000.002.004.006.008.0010.002.712.74
The chart of Omega ratio for VOTE, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.38
The chart of Calmar ratio for VOTE, currently valued at 3.00, compared to the broader market0.005.0010.0015.003.003.10
The chart of Martin ratio for VOTE, currently valued at 13.45, compared to the broader market0.0020.0040.0060.0080.00100.0013.4513.46
VOTE
SCHK

The current VOTE Sharpe Ratio is 2.01, which is comparable to the SCHK Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of VOTE and SCHK, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.01
2.06
VOTE
SCHK

Dividends

VOTE vs. SCHK - Dividend Comparison

VOTE's dividend yield for the trailing twelve months is around 0.87%, less than SCHK's 2.08% yield.


TTM2023202220212020201920182017
VOTE
Engine No. 1 Transform 500 ETF
0.87%1.33%1.54%0.54%0.00%0.00%0.00%0.00%
SCHK
Schwab 1000 Index ETF
2.08%2.43%1.90%2.05%2.82%2.22%2.81%0.62%

Drawdowns

VOTE vs. SCHK - Drawdown Comparison

The maximum VOTE drawdown since its inception was -25.71%, smaller than the maximum SCHK drawdown of -34.80%. Use the drawdown chart below to compare losses from any high point for VOTE and SCHK. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.84%
-3.89%
VOTE
SCHK

Volatility

VOTE vs. SCHK - Volatility Comparison

Engine No. 1 Transform 500 ETF (VOTE) and Schwab 1000 Index ETF (SCHK) have volatilities of 3.96% and 3.80%, 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%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.96%
3.80%
VOTE
SCHK
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab