EFA vs SCHF: returns, Sharpe ratio and drawdown
Performance
EFA+9.29%SCHF+15.47%
Summary
EFA vs SCHF
Over the past year, SCHF returned +15.47% against +9.29% for EFA. Over five years, SCHF averaged +6.42% a year, compared with +5.14% for EFA. SCHF had the higher Sharpe ratio over the past year (0.65 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.42% for EFA and -11.48% for SCHF.
Current Drawdown
EFA-5.62%SCHF-5.25%
Rolling Volatility
EFA+0.80%SCHF+0.92%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EFASCHF
Alpha
EFA
-4.51%
SCHF
-0.10%
Beta
EFA
0.96x
SCHF
1.09x
Sharpe
EFA
0.36
SCHF
0.65
Sortino
EFA
0.52
SCHF
0.94
Omega
EFA
1.06
SCHF
1.12
Calmar
EFA
0.81
SCHF
1.35
Martin
EFA
1.79
SCHF
3.52
Comparisons