Schwab US Dividend Equity ETF (SCHD)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (87.1%) in the period of the last 5 years, the total return, or increase in value of 46.4% of Schwab US Dividend Equity ETF is lower, thus worse.
• Compared with SPY (85.7%) in the period of the last 3 years, the total return, or increase in value of 50.2% is lower, thus worse.

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 (13.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.9% of Schwab US Dividend Equity ETF is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 14.6%, which is lower, thus worse than the value of 23% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 14.4% 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%)
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 13.1% is smaller, thus better.

DownVol:

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

• Looking at the downside risk of 10% 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 (11.8%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 8.8% 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.'

• Looking at the Sharpe Ratio of 0.38 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 (0.64)
• Compared with SPY (1.36) in the period of the last 3 years, the Sharpe Ratio of 0.92 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of Schwab US Dividend Equity ETF is 0.55, which is smaller, thus worse compared to the benchmark SPY (0.93) in the same period.
• Compared with SPY (2.04) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.37 is smaller, thus worse.

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 Downside risk index of 5.71 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 (8.45 )
• During the last 3 years, the Ulcer Ratio is 4.47 , which is greater, thus worse than the value of 3.5 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 higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.1 days is larger, thus better.

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.'

• Looking at the maximum time in days below previous high water mark of 492 days in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high 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 time in days below previous high water mark of 142 days of Schwab US Dividend Equity ETF is greater, thus worse.
• Looking at average days under water in of 70 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).