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

Key characteristics


WMTSCHD
YTD Return14.89%6.74%
1Y Return26.97%15.96%
3Y Return (Ann)11.42%6.69%
5Y Return (Ann)14.98%12.89%
10Y Return (Ann)11.30%11.64%
Sharpe Ratio1.831.50
Daily Std Dev15.07%11.53%
Max Drawdown-76.80%-33.37%
Current Drawdown-2.08%0.00%

Correlation

0.47
-1.001.00

The correlation between WMT and SCHD is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

WMT vs. SCHD - Performance Comparison

In the year-to-date period, WMT achieves a 14.89% return, which is significantly higher than SCHD's 6.74% return. Both investments have delivered pretty close results over the past 10 years, with WMT having a 11.30% annualized return and SCHD not far ahead at 11.64%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


240.00%260.00%280.00%300.00%320.00%340.00%360.00%380.00%OctoberNovemberDecember2024FebruaryMarch
319.98%
373.52%
WMT
SCHD

Compare stocks, funds, or ETFs


Walmart Inc.

Schwab US Dividend Equity ETF

Risk-Adjusted Performance

WMT vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Walmart Inc. (WMT) 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
WMT
Walmart Inc.
1.83
SCHD
Schwab US Dividend Equity ETF
1.50

WMT vs. SCHD - Sharpe Ratio Comparison

The current WMT Sharpe Ratio is 1.83, which roughly equals the SCHD Sharpe Ratio of 1.50. The chart below compares the 12-month rolling Sharpe Ratio of WMT and SCHD.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00OctoberNovemberDecember2024FebruaryMarch
1.83
1.50
WMT
SCHD

Dividends

WMT vs. SCHD - Dividend Comparison

WMT's dividend yield for the trailing twelve months is around 1.29%, less than SCHD's 3.31% yield.


TTM20232022202120202019201820172016201520142013
WMT
Walmart Inc.
1.29%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%
SCHD
Schwab US Dividend Equity ETF
3.31%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

WMT vs. SCHD - Drawdown Comparison

The maximum WMT drawdown since its inception was -76.80%, which is greater than SCHD's maximum drawdown of -33.37%. The drawdown chart below compares losses from any high point along the way for WMT and SCHD


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-2.08%
0
WMT
SCHD

Volatility

WMT vs. SCHD - Volatility Comparison

Walmart Inc. (WMT) has a higher volatility of 3.50% compared to Schwab US Dividend Equity ETF (SCHD) at 2.68%. This indicates that WMT'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%OctoberNovemberDecember2024FebruaryMarch
3.50%
2.68%
WMT
SCHD