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.'

• Looking at the total return of 57% 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 (97.2%)
• During the last 3 years, the total return, or increase in value is 24.4%, which is lower, thus worse than the value of 80.6% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the annual return (CAGR) of 9.5% of Schwab US Dividend Equity ETF is smaller, thus worse.
• Looking at annual performance (CAGR) in of 7.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.8%).

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.'

• Looking at the 30 days standard deviation of 14.6% 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 (17.1%)
• Looking at volatility in of 13.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.2%).

DownVol:

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

• The downside volatility over 5 years of Schwab US Dividend Equity ETF is 10.1%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside deviation is 9.4%, 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.'

• The Sharpe Ratio over 5 years of Schwab US Dividend Equity ETF is 0.48, which is lower, thus worse compared to the benchmark SPY (0.71) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.38, which is lower, thus worse than the value of 1.27 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.69 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 (1.03)
• Looking at ratio of annual return and downside deviation in of 0.54 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.9).

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 Index of 5.69 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 (8.42 )
• Looking at Ulcer Ratio in of 5.28 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.51 ).

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.'

• 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 greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -16.1 days, which is higher, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• 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 higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 275 days is higher, 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 (120 days) in the period of the last 5 years, the average days under water of 143 days of Schwab US Dividend Equity ETF is higher, thus worse.
• During the last 3 years, the average days below previous high is 93 days, which is larger, thus worse than the value of 21 days from the benchmark.