DVY vs SCHD: returns, Sharpe ratio and drawdown
Performance
DVY+11.73%SCHD+24.49%
Summary
DVY vs SCHD
Over the past year, SCHD returned +24.49% against +11.73% for DVY. Over five years, DVY averaged +5.40% a year, compared with +5.19% for SCHD. SCHD had the higher Sharpe ratio over the past year (1.65 vs 0.65), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.61% for SCHD and -8.11% for DVY.
Current Drawdown
DVY-6.73%SCHD-6.16%
Rolling Volatility
DVY+0.66%SCHD+0.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DVYSCHD
Alpha
DVY
3.40%
SCHD
14.98%
Beta
DVY
0.28x
SCHD
0.23x
Sharpe
DVY
0.65
SCHD
1.65
Sortino
DVY
0.95
SCHD
2.71
Omega
DVY
1.11
SCHD
1.31
Calmar
DVY
1.45
SCHD
3.22
Martin
DVY
2.61
SCHD
7.91
Comparisons