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

Correlation

The correlation between VRTX and SCHD is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

VRTX vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vertex Pharmaceuticals Incorporated (VRTX) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
-1.92%
13.24%
VRTX
SCHD

Key characteristics

Sharpe Ratio

VRTX:

1.36

SCHD:

2.03

Sortino Ratio

VRTX:

2.16

SCHD:

2.96

Omega Ratio

VRTX:

1.28

SCHD:

1.36

Calmar Ratio

VRTX:

2.55

SCHD:

3.78

Martin Ratio

VRTX:

5.55

SCHD:

10.93

Ulcer Index

VRTX:

6.11%

SCHD:

2.07%

Daily Std Dev

VRTX:

24.88%

SCHD:

11.16%

Max Drawdown

VRTX:

-91.77%

SCHD:

-33.37%

Current Drawdown

VRTX:

-8.27%

SCHD:

-2.51%

Returns By Period

The year-to-date returns for both investments are quite close, with VRTX having a 16.49% return and SCHD slightly higher at 16.58%. Over the past 10 years, VRTX has outperformed SCHD with an annualized return of 14.92%, while SCHD has yielded a comparatively lower 11.86% annualized return.


VRTX

YTD

16.49%

1M

-8.27%

6M

-1.92%

1Y

35.36%

5Y (annualized)

16.65%

10Y (annualized)

14.92%

SCHD

YTD

16.58%

1M

-1.00%

6M

13.24%

1Y

22.38%

5Y (annualized)

12.41%

10Y (annualized)

11.86%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

VRTX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vertex Pharmaceuticals Incorporated (VRTX) 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 VRTX, currently valued at 1.36, compared to the broader market-4.00-2.000.002.004.001.362.03
The chart of Sortino ratio for VRTX, currently valued at 2.16, compared to the broader market-4.00-2.000.002.004.002.162.96
The chart of Omega ratio for VRTX, currently valued at 1.28, compared to the broader market0.501.001.502.001.281.36
The chart of Calmar ratio for VRTX, currently valued at 2.55, compared to the broader market0.002.004.006.002.553.78
The chart of Martin ratio for VRTX, currently valued at 5.55, compared to the broader market-10.000.0010.0020.0030.005.5510.93
VRTX
SCHD

The current VRTX Sharpe Ratio is 1.36, which is lower than the SCHD Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of VRTX 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.36
2.03
VRTX
SCHD

Dividends

VRTX vs. SCHD - Dividend Comparison

VRTX has not paid dividends to shareholders, while SCHD's dividend yield for the trailing twelve months is around 2.54%.


TTM20232022202120202019201820172016201520142013
VRTX
Vertex Pharmaceuticals Incorporated
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
2.54%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

VRTX vs. SCHD - Drawdown Comparison

The maximum VRTX drawdown since its inception was -91.77%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for VRTX and SCHD. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.27%
-2.51%
VRTX
SCHD

Volatility

VRTX vs. SCHD - Volatility Comparison

Vertex Pharmaceuticals Incorporated (VRTX) has a higher volatility of 9.18% compared to Schwab US Dividend Equity ETF (SCHD) at 2.79%. This indicates that VRTX'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%JulyAugustSeptemberOctoberNovemberDecember
9.18%
2.79%
VRTX
SCHD
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