Performance

HDV+18.94%SCHD+24.49%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
HDV	-0.38%	+17.40%	+18.94%	+8.20%	-6.58%	1.20
SCHD	-0.33%	+19.15%	+24.49%	+5.19%	-7.61%	1.65

Summary

HDV vs SCHD

Over the past year, SCHD returned +24.49% against +18.94% for HDV. Over five years, HDV averaged +8.20% a year, compared with +5.19% for SCHD. SCHD had the higher Sharpe ratio over the past year (1.65 vs 1.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.58% for HDV and -7.61% for SCHD.

Current Drawdown

HDV-4.08%SCHD-6.16%

Rolling Volatility

HDV+0.66%SCHD+0.68%

METRICS

Correlation Matrix

	HDV	SCHD
HDV	1.00	0.83
SCHD	0.83	1.00

Metrics

Risk Indicators

HDVSCHD

Alpha

13.98%

14.98%

Beta

-0.02x

0.23x

Sharpe

1.20

1.65

Sortino

1.85

2.71

Omega

1.22

1.31

Calmar

2.88

3.22

Martin

5.28

7.91

Comparisons

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SCHD vs VOO
SCHD vs VYM
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HDV vs SCHD: returns, Sharpe ratio and drawdown

HDV vs SCHD

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