Schwab US Dividend Equity ETF (SCHD)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of Schwab US Dividend Equity ETF is 78%, which is lower, thus worse compared to the benchmark SPY (108.3%) in the same period.
• During the last 3 years, the total return, or increase in value is 11.5%, which is lower, thus worse than the value of 49.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 12.3% in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.8%)
• Compared with SPY (14.3%) in the period of the last 3 years, the annual return (CAGR) of 3.7% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (17.9%) in the period of the last 5 years, the volatility of 16% of Schwab US Dividend Equity ETF is smaller, thus better.
• Looking at volatility in of 15.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.1%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 11.1% of Schwab US Dividend Equity ETF is smaller, thus better.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 10.7% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.75) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.61 of Schwab US Dividend Equity ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.08 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.65).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.07) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.88 of Schwab US Dividend Equity ETF is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.97).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 5.55 in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.49 )
• During the last 3 years, the Ulcer Ratio is 5.74 , which is larger, thus worse than the value of 5.55 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of Schwab US Dividend Equity ETF is -16.8 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -16.1 days, which is larger, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 492 days of Schwab US Dividend Equity ETF is greater, thus worse.
• Looking at maximum days under water in of 259 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days below previous high of 120 days in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 74 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (46 days).