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XLSR vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XLSRSCHD
YTD Return18.81%17.75%
1Y Return30.40%31.70%
3Y Return (Ann)7.67%7.26%
5Y Return (Ann)13.56%12.80%
Sharpe Ratio2.212.67
Sortino Ratio2.953.84
Omega Ratio1.411.47
Calmar Ratio2.892.80
Martin Ratio12.3614.83
Ulcer Index2.39%2.04%
Daily Std Dev13.42%11.32%
Max Drawdown-32.94%-33.37%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between XLSR and SCHD is 0.79, 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

XLSR vs. SCHD - Performance Comparison

In the year-to-date period, XLSR achieves a 18.81% return, which is significantly higher than SCHD's 17.75% 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%JuneJulyAugustSeptemberOctoberNovember
10.21%
12.18%
XLSR
SCHD

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XLSR vs. SCHD - Expense Ratio Comparison

XLSR has a 0.70% expense ratio, which is higher than SCHD's 0.06% expense ratio.


XLSR
SPDR SSGA US Sector Rotation ETF
Expense ratio chart for XLSR: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
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

XLSR vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Sector Rotation ETF (XLSR) 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.


XLSR
Sharpe ratio
The chart of Sharpe ratio for XLSR, currently valued at 2.21, compared to the broader market-2.000.002.004.002.21
Sortino ratio
The chart of Sortino ratio for XLSR, currently valued at 2.95, compared to the broader market0.005.0010.002.95
Omega ratio
The chart of Omega ratio for XLSR, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for XLSR, currently valued at 2.89, compared to the broader market0.005.0010.0015.002.89
Martin ratio
The chart of Martin ratio for XLSR, currently valued at 12.36, compared to the broader market0.0020.0040.0060.0080.00100.0012.36
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.67, compared to the broader market-2.000.002.004.002.67
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 market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
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

XLSR vs. SCHD - Sharpe Ratio Comparison

The current XLSR Sharpe Ratio is 2.21, which is comparable to the SCHD Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of XLSR 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.21
2.67
XLSR
SCHD

Dividends

XLSR vs. SCHD - Dividend Comparison

XLSR's dividend yield for the trailing twelve months is around 0.52%, less than SCHD's 3.36% yield.


TTM20232022202120202019201820172016201520142013
XLSR
SPDR SSGA US Sector Rotation ETF
0.52%1.04%1.79%6.06%1.25%0.94%0.00%0.00%0.00%0.00%0.00%0.00%
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

XLSR vs. SCHD - Drawdown Comparison

The maximum XLSR drawdown since its inception was -32.94%, roughly equal to the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for XLSR and SCHD. For additional features, visit the drawdowns tool.


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

Volatility

XLSR vs. SCHD - Volatility Comparison

SPDR SSGA US Sector Rotation ETF (XLSR) and Schwab US Dividend Equity ETF (SCHD) have volatilities of 3.59% and 3.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
3.59%
3.57%
XLSR
SCHD