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 62.9%, which is smaller, thus worse compared to the benchmark SPY (90.7%) in the same period.
• During the last 3 years, the total return is 56.8%, which is lower, thus worse than the value of 85.9% 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.'

• The annual performance (CAGR) over 5 years of Schwab US Dividend Equity ETF is 10.3%, which is lower, thus worse compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 16.3%, which is smaller, thus worse than the value of 23.1% from the benchmark.

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 historical 30 days volatility over 5 years of Schwab US Dividend Equity ETF is 14.4%, which is smaller, thus better compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the volatility is 13.2%, which is lower, thus better than the value of 15.3% from the benchmark.

DownVol:

'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 (11.8%) in the period of the last 5 years, the downside deviation of 9.9% of Schwab US Dividend Equity ETF is lower, thus better.
• During the last 3 years, the downside risk is 8.8%, 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.54 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 (0.66)
• Looking at ratio of return and volatility (Sharpe) in of 1.05 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.35).

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 ratio of annual return and downside deviation of 0.79 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 (0.96)
• Looking at downside risk / excess return profile in of 1.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.02).

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 5.7 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 4.18 , which is higher, thus worse than the value of 3.23 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• 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.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high 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.'

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

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 time in days below previous high water mark of 143 days in the last 5 years of Schwab US Dividend Equity ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days under water is 67 days, which is higher, thus worse than the value of 17 days from the benchmark.