ILCG vs SCHG: returns, Sharpe ratio and drawdown

Over the past year, SCHG returned +5.76% against +4.35% for ILCG. Over five years, SCHG averaged +11.06% a year, compared with +8.84% for ILCG. SCHG had the higher Sharpe ratio over the past year (0.20 vs 0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.17% for ILCG and -15.03% for SCHG. Dividends over the past year came to 0.44% of ILCG's price, against 0.41% for SCHG. Their daily returns had a correlation of 0.94 over the past year, which is very high.

ILCG charges 0.04% a year and SCHG 0.04%. Over five years, reinvested dividends added 0.64 points a year to ILCG's return and 0.52 to SCHG's.