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WPC vs. SCHP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between WPC and SCHP is 0.10, 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.


-0.50.00.51.00.1

Performance

WPC vs. SCHP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in W. P. Carey Inc. (WPC) and Schwab U.S. TIPS ETF (SCHP). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
316.76%
43.08%
WPC
SCHP

Key characteristics

Sharpe Ratio

WPC:

-0.50

SCHP:

0.33

Sortino Ratio

WPC:

-0.56

SCHP:

0.49

Omega Ratio

WPC:

0.93

SCHP:

1.06

Calmar Ratio

WPC:

-0.33

SCHP:

0.14

Martin Ratio

WPC:

-0.85

SCHP:

1.17

Ulcer Index

WPC:

12.36%

SCHP:

1.32%

Daily Std Dev

WPC:

21.07%

SCHP:

4.61%

Max Drawdown

WPC:

-52.45%

SCHP:

-14.26%

Current Drawdown

WPC:

-28.88%

SCHP:

-7.45%

Returns By Period

In the year-to-date period, WPC achieves a -12.40% return, which is significantly lower than SCHP's 1.79% return. Over the past 10 years, WPC has outperformed SCHP with an annualized return of 3.31%, while SCHP has yielded a comparatively lower 2.21% annualized return.


WPC

YTD

-12.40%

1M

-4.57%

6M

1.40%

1Y

-11.36%

5Y*

-0.94%

10Y*

3.31%

SCHP

YTD

1.79%

1M

-0.85%

6M

0.76%

1Y

1.69%

5Y*

1.79%

10Y*

2.21%

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Risk-Adjusted Performance

WPC vs. SCHP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for W. P. Carey Inc. (WPC) and Schwab U.S. TIPS ETF (SCHP). 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 WPC, currently valued at -0.50, compared to the broader market-4.00-2.000.002.00-0.500.33
The chart of Sortino ratio for WPC, currently valued at -0.56, compared to the broader market-4.00-2.000.002.004.00-0.560.49
The chart of Omega ratio for WPC, currently valued at 0.93, compared to the broader market0.501.001.502.000.931.06
The chart of Calmar ratio for WPC, currently valued at -0.33, compared to the broader market0.002.004.006.00-0.330.14
The chart of Martin ratio for WPC, currently valued at -0.85, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.851.17
WPC
SCHP

The current WPC Sharpe Ratio is -0.50, which is lower than the SCHP Sharpe Ratio of 0.33. The chart below compares the historical Sharpe Ratios of WPC and SCHP, 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 Ratio-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.50
0.33
WPC
SCHP

Dividends

WPC vs. SCHP - Dividend Comparison

WPC's dividend yield for the trailing twelve months is around 6.40%, more than SCHP's 2.99% yield.


TTM20232022202120202019201820172016201520142013
WPC
W. P. Carey Inc.
6.40%6.17%5.43%5.13%5.91%5.17%6.26%5.82%6.65%6.49%5.26%5.71%
SCHP
Schwab U.S. TIPS ETF
2.99%3.02%7.19%4.39%1.11%2.02%2.63%1.90%1.38%0.28%1.30%0.67%

Drawdowns

WPC vs. SCHP - Drawdown Comparison

The maximum WPC drawdown since its inception was -52.45%, which is greater than SCHP's maximum drawdown of -14.26%. Use the drawdown chart below to compare losses from any high point for WPC and SCHP. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-28.88%
-7.45%
WPC
SCHP

Volatility

WPC vs. SCHP - Volatility Comparison

W. P. Carey Inc. (WPC) has a higher volatility of 6.05% compared to Schwab U.S. TIPS ETF (SCHP) at 1.30%. This indicates that WPC's price experiences larger fluctuations and is considered to be riskier than SCHP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.05%
1.30%
WPC
SCHP
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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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