FHLC vs SCHD: returns, Sharpe ratio and drawdown

Over the past year, SCHD returned +38.10% against +29.90% for FHLC. Over five years, SCHD averaged +10.11% a year, compared with +7.69% for FHLC. SCHD had the higher Sharpe ratio over the past year (2.49 vs 1.45), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.88% for SCHD and -10.38% for FHLC. Dividends over the past year came to 2.96% of SCHD's price, against 1.13% for FHLC. Their daily returns had a correlation of 0.60 over the past year, which is moderate.

FHLC charges 0.084% a year and SCHD 0.06%. Over five years, reinvested dividends added 1.51 points a year to FHLC's return and 3.85 to SCHD's.