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

Key characteristics


ZSCHD
YTD Return28.50%17.07%
1Y Return108.20%29.98%
3Y Return (Ann)5.17%6.85%
5Y Return (Ann)13.85%12.79%
Sharpe Ratio1.892.64
Sortino Ratio2.953.81
Omega Ratio1.361.47
Calmar Ratio1.252.92
Martin Ratio6.3814.57
Ulcer Index16.08%2.04%
Daily Std Dev54.37%11.26%
Max Drawdown-86.51%-33.37%
Current Drawdown-62.81%-0.86%

Correlation

-0.50.00.51.00.3

The correlation between Z and SCHD is 0.34, 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.

Performance

Z vs. SCHD - Performance Comparison

In the year-to-date period, Z achieves a 28.50% return, which is significantly higher than SCHD's 17.07% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
66.33%
10.97%
Z
SCHD

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Risk-Adjusted Performance

Z vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Zillow Group, Inc. (Z) 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.


Z
Sharpe ratio
The chart of Sharpe ratio for Z, currently valued at 1.89, compared to the broader market-4.00-2.000.002.004.001.89
Sortino ratio
The chart of Sortino ratio for Z, currently valued at 2.95, compared to the broader market-4.00-2.000.002.004.006.002.95
Omega ratio
The chart of Omega ratio for Z, currently valued at 1.36, compared to the broader market0.501.001.502.001.36
Calmar ratio
The chart of Calmar ratio for Z, currently valued at 1.25, compared to the broader market0.002.004.006.001.25
Martin ratio
The chart of Martin ratio for Z, currently valued at 6.38, compared to the broader market0.0010.0020.0030.006.38
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.64, compared to the broader market-4.00-2.000.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.81, compared to the broader market-4.00-2.000.002.004.006.003.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market0.501.001.502.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.92, compared to the broader market0.002.004.006.002.92
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.57, compared to the broader market0.0010.0020.0030.0014.57

Z vs. SCHD - Sharpe Ratio Comparison

The current Z Sharpe Ratio is 1.89, which is comparable to the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of Z 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.89
2.64
Z
SCHD

Dividends

Z vs. SCHD - Dividend Comparison

Z has not paid dividends to shareholders, while SCHD's dividend yield for the trailing twelve months is around 3.38%.


TTM20232022202120202019201820172016201520142013
Z
Zillow Group, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

Z vs. SCHD - Drawdown Comparison

The maximum Z drawdown since its inception was -86.51%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for Z and SCHD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-62.81%
-0.86%
Z
SCHD

Volatility

Z vs. SCHD - Volatility Comparison

Zillow Group, Inc. (Z) has a higher volatility of 24.07% compared to Schwab US Dividend Equity ETF (SCHD) at 3.51%. This indicates that Z'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.


5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
24.07%
3.51%
Z
SCHD