IXUS vs SCHF: returns, Sharpe ratio and drawdown
Performance
IXUS+10.85%SCHF+12.87%
Summary
IXUS vs SCHF
Over the past year, SCHF returned +12.87% against +10.85% for IXUS. Over five years, SCHF averaged +6.19% a year, compared with +5.07% for IXUS. SCHF had the higher Sharpe ratio over the past year (0.52 vs 0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.36% for IXUS and -11.48% for SCHF.
Current Drawdown
IXUS-5.37%SCHF-5.81%
Rolling Volatility
IXUS+0.83%SCHF+0.81%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IXUSSCHF
Alpha
IXUS
-3.03%
SCHF
-1.11%
Beta
IXUS
1.13x
SCHF
1.13x
Sharpe
IXUS
0.43
SCHF
0.52
Sortino
IXUS
0.61
SCHF
0.76
Omega
IXUS
1.08
SCHF
1.09
Calmar
IXUS
0.96
SCHF
1.12
Martin
IXUS
2.20
SCHF
2.73
Comparisons