Schwab US Dividend Equity ETF (SCHD)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (90.8%) in the period of the last 5 years, the total return, or performance of 70.5% of Schwab US Dividend Equity ETF is smaller, thus worse.
• Looking at total return, or increase in value in of 37.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (75.3%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 11.3% in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.8%)
• Looking at annual performance (CAGR) in of 11.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of Schwab US Dividend Equity ETF is 14.6%, which is lower, thus better compared to the benchmark SPY (17%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 13.5% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside volatility of 10% of Schwab US Dividend Equity ETF is smaller, thus better.
• During the last 3 years, the downside volatility is 9.3%, which is lower, thus better than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the Sharpe Ratio of 0.6 of Schwab US Dividend Equity ETF is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.64 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.2).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of Schwab US Dividend Equity ETF is 0.88, which is lower, thus worse compared to the benchmark SPY (0.97) in the same period.
• Looking at downside risk / excess return profile in of 0.93 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.78).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 5.69 in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.42 )
• Compared with SPY (3.49 ) in the period of the last 3 years, the Ulcer Index of 5.13 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -16.8 days of Schwab US Dividend Equity ETF is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -16.1 days, which is higher, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 492 days of Schwab US Dividend Equity ETF is greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 275 days is greater, thus worse.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 144 days of Schwab US Dividend Equity ETF is higher, thus worse.
• Compared with SPY (20 days) in the period of the last 3 years, the average time in days below previous high water mark of 92 days is greater, thus worse.