MOAT vs SCHX: returns, Sharpe ratio and drawdown
Performance
MOAT+8.94%SCHX+12.91%
Summary
MOAT vs SCHX
Over the past year, SCHX returned +12.91% against +8.94% for MOAT. Over five years, SCHX averaged +10.18% a year, compared with +7.86% for MOAT. SCHX had the higher Sharpe ratio over the past year (0.67 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.28% for SCHX and -12.43% for MOAT.
Current Drawdown
MOAT-3.92%SCHX-2.31%
Rolling Volatility
MOAT+0.74%SCHX+0.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MOATSCHX
Alpha
MOAT
-1.42%
SCHX
-0.71%
Beta
MOAT
0.71x
SCHX
1.00x
Sharpe
MOAT
0.37
SCHX
0.67
Sortino
MOAT
0.54
SCHX
0.98
Omega
MOAT
1.06
SCHX
1.12
Calmar
MOAT
0.72
SCHX
1.39
Martin
MOAT
1.10
SCHX
3.77
Comparisons