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^DWRTF vs. SCHD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWRTF and SCHD is 0.62, 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.


-0.50.00.51.00.6

Performance

^DWRTF vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Select REIT Index (^DWRTF) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
69.12%
394.81%
^DWRTF
SCHD

Key characteristics

Sharpe Ratio

^DWRTF:

0.33

SCHD:

1.20

Sortino Ratio

^DWRTF:

0.56

SCHD:

1.76

Omega Ratio

^DWRTF:

1.07

SCHD:

1.21

Calmar Ratio

^DWRTF:

0.18

SCHD:

1.69

Martin Ratio

^DWRTF:

1.22

SCHD:

5.86

Ulcer Index

^DWRTF:

4.41%

SCHD:

2.30%

Daily Std Dev

^DWRTF:

16.05%

SCHD:

11.25%

Max Drawdown

^DWRTF:

-44.52%

SCHD:

-33.37%

Current Drawdown

^DWRTF:

-19.14%

SCHD:

-6.72%

Returns By Period

In the year-to-date period, ^DWRTF achieves a 3.50% return, which is significantly lower than SCHD's 11.54% return. Over the past 10 years, ^DWRTF has underperformed SCHD with an annualized return of 0.85%, while SCHD has yielded a comparatively higher 10.86% annualized return.


^DWRTF

YTD

3.50%

1M

-5.57%

6M

7.21%

1Y

4.20%

5Y*

-0.23%

10Y*

0.85%

SCHD

YTD

11.54%

1M

-4.06%

6M

7.86%

1Y

12.63%

5Y*

10.97%

10Y*

10.86%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DWRTF vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Select REIT Index (^DWRTF) 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 ratio
The chart of Sharpe ratio for ^DWRTF, currently valued at 0.32, compared to the broader market0.001.002.000.321.20
The chart of Sortino ratio for ^DWRTF, currently valued at 0.54, compared to the broader market-1.000.001.002.003.000.541.76
The chart of Omega ratio for ^DWRTF, currently valued at 1.07, compared to the broader market0.901.001.101.201.301.401.071.21
The chart of Calmar ratio for ^DWRTF, currently valued at 0.17, compared to the broader market0.001.002.003.000.171.69
The chart of Martin ratio for ^DWRTF, currently valued at 1.12, compared to the broader market0.005.0010.0015.0020.001.125.86
^DWRTF
SCHD

The current ^DWRTF Sharpe Ratio is 0.33, which is lower than the SCHD Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of ^DWRTF 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.32
1.20
^DWRTF
SCHD

Drawdowns

^DWRTF vs. SCHD - Drawdown Comparison

The maximum ^DWRTF drawdown since its inception was -44.52%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ^DWRTF and SCHD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.14%
-6.72%
^DWRTF
SCHD

Volatility

^DWRTF vs. SCHD - Volatility Comparison

Dow Jones U.S. Select REIT Index (^DWRTF) has a higher volatility of 5.31% compared to Schwab US Dividend Equity ETF (SCHD) at 3.88%. This indicates that ^DWRTF'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%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
5.31%
3.88%
^DWRTF
SCHD
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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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