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

Key characteristics


VVOAXSCHD
YTD Return35.38%17.75%
1Y Return52.65%31.70%
3Y Return (Ann)8.67%7.26%
5Y Return (Ann)13.61%12.80%
10Y Return (Ann)5.45%11.72%
Sharpe Ratio2.902.67
Sortino Ratio3.733.84
Omega Ratio1.511.47
Calmar Ratio3.142.80
Martin Ratio19.0414.83
Ulcer Index2.70%2.04%
Daily Std Dev17.73%11.32%
Max Drawdown-65.29%-33.37%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between VVOAX and SCHD is 0.83, 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

VVOAX vs. SCHD - Performance Comparison

In the year-to-date period, VVOAX achieves a 35.38% return, which is significantly higher than SCHD's 17.75% return. Over the past 10 years, VVOAX has underperformed SCHD with an annualized return of 5.45%, while SCHD has yielded a comparatively higher 11.72% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
17.60%
12.17%
VVOAX
SCHD

Compare stocks, funds, or ETFs

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


VVOAX vs. SCHD - Expense Ratio Comparison

VVOAX has a 1.22% expense ratio, which is higher than SCHD's 0.06% expense ratio.


VVOAX
Invesco Value Opportunities Fund
Expense ratio chart for VVOAX: current value at 1.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.22%
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

VVOAX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Value Opportunities Fund (VVOAX) 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.


VVOAX
Sharpe ratio
The chart of Sharpe ratio for VVOAX, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for VVOAX, currently valued at 3.73, compared to the broader market0.005.0010.003.73
Omega ratio
The chart of Omega ratio for VVOAX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for VVOAX, currently valued at 3.14, compared to the broader market0.005.0010.0015.0020.0025.003.14
Martin ratio
The chart of Martin ratio for VVOAX, currently valued at 19.04, compared to the broader market0.0020.0040.0060.0080.00100.0019.04
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.67, compared to the broader market0.002.004.002.67
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.84, compared to the broader market0.005.0010.003.84
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 2.80, compared to the broader market0.005.0010.0015.0020.0025.002.80
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.83, compared to the broader market0.0020.0040.0060.0080.00100.0014.83

VVOAX vs. SCHD - Sharpe Ratio Comparison

The current VVOAX Sharpe Ratio is 2.90, which is comparable to the SCHD Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of VVOAX 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
2.90
2.67
VVOAX
SCHD

Dividends

VVOAX vs. SCHD - Dividend Comparison

VVOAX's dividend yield for the trailing twelve months is around 0.15%, less than SCHD's 3.36% yield.


TTM20232022202120202019201820172016201520142013
VVOAX
Invesco Value Opportunities Fund
0.15%0.21%0.75%0.60%0.25%0.00%0.00%0.00%0.16%1.15%1.72%1.00%
SCHD
Schwab US Dividend Equity ETF
3.36%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

VVOAX vs. SCHD - Drawdown Comparison

The maximum VVOAX drawdown since its inception was -65.29%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for VVOAX and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VVOAX
SCHD

Volatility

VVOAX vs. SCHD - Volatility Comparison

Invesco Value Opportunities Fund (VVOAX) has a higher volatility of 6.32% compared to Schwab US Dividend Equity ETF (SCHD) at 3.57%. This indicates that VVOAX'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%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.32%
3.57%
VVOAX
SCHD