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WDIV vs. SCHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between WDIV and SCHY is 0.89, 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.


-0.50.00.51.00.9

Performance

WDIV vs. SCHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Global Dividend ETF (WDIV) and Schwab International Dividend Equity ETF (SCHY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.23%
-0.41%
WDIV
SCHY

Key characteristics

Sharpe Ratio

WDIV:

0.83

SCHY:

0.07

Sortino Ratio

WDIV:

1.19

SCHY:

0.17

Omega Ratio

WDIV:

1.15

SCHY:

1.02

Calmar Ratio

WDIV:

1.02

SCHY:

0.07

Martin Ratio

WDIV:

4.08

SCHY:

0.20

Ulcer Index

WDIV:

2.24%

SCHY:

3.69%

Daily Std Dev

WDIV:

10.95%

SCHY:

10.99%

Max Drawdown

WDIV:

-42.35%

SCHY:

-24.03%

Current Drawdown

WDIV:

-7.36%

SCHY:

-11.47%

Returns By Period

In the year-to-date period, WDIV achieves a 6.43% return, which is significantly higher than SCHY's -1.91% return.


WDIV

YTD

6.43%

1M

-4.22%

6M

6.25%

1Y

8.21%

5Y*

2.10%

10Y*

4.15%

SCHY

YTD

-1.91%

1M

-3.34%

6M

-0.15%

1Y

-0.04%

5Y*

N/A

10Y*

N/A

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WDIV vs. SCHY - Expense Ratio Comparison

WDIV has a 0.40% expense ratio, which is higher than SCHY's 0.14% expense ratio.


WDIV
SPDR S&P Global Dividend ETF
Expense ratio chart for WDIV: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for SCHY: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

WDIV vs. SCHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Global Dividend ETF (WDIV) and Schwab International Dividend Equity ETF (SCHY). 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 WDIV, currently valued at 0.83, compared to the broader market0.002.004.000.830.07
The chart of Sortino ratio for WDIV, currently valued at 1.19, compared to the broader market-2.000.002.004.006.008.0010.001.190.17
The chart of Omega ratio for WDIV, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.02
The chart of Calmar ratio for WDIV, currently valued at 1.02, compared to the broader market0.005.0010.0015.001.020.07
The chart of Martin ratio for WDIV, currently valued at 4.08, compared to the broader market0.0020.0040.0060.0080.00100.004.080.20
WDIV
SCHY

The current WDIV Sharpe Ratio is 0.83, which is higher than the SCHY Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of WDIV and SCHY, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.83
0.07
WDIV
SCHY

Dividends

WDIV vs. SCHY - Dividend Comparison

WDIV's dividend yield for the trailing twelve months is around 3.52%, less than SCHY's 4.65% yield.


TTM20232022202120202019201820172016201520142013
WDIV
SPDR S&P Global Dividend ETF
3.52%4.73%5.12%4.16%5.55%3.99%4.42%3.62%4.32%5.03%4.73%2.17%
SCHY
Schwab International Dividend Equity ETF
4.65%3.97%3.68%1.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

WDIV vs. SCHY - Drawdown Comparison

The maximum WDIV drawdown since its inception was -42.35%, which is greater than SCHY's maximum drawdown of -24.03%. Use the drawdown chart below to compare losses from any high point for WDIV and SCHY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.36%
-11.47%
WDIV
SCHY

Volatility

WDIV vs. SCHY - Volatility Comparison

SPDR S&P Global Dividend ETF (WDIV) has a higher volatility of 3.26% compared to Schwab International Dividend Equity ETF (SCHY) at 3.00%. This indicates that WDIV's price experiences larger fluctuations and is considered to be riskier than SCHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.26%
3.00%
WDIV
SCHY
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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.

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