O vs SCHD: returns, Sharpe ratio and drawdown
Performance
O-7.00%SCHD+24.49%
Summary
O vs SCHD
Over the past year, SCHD returned +24.49% against -7.00% for O. Over five years, SCHD averaged +5.19% a year, compared with -4.92% for O. SCHD had the higher Sharpe ratio over the past year (1.65 vs -0.62), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.61% for SCHD and -21.03% for O.
Current Drawdown
O-19.80%SCHD-6.16%
Rolling Volatility
O+0.99%SCHD+0.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
OSCHD
Alpha
O
-10.04%
SCHD
14.98%
Beta
O
-0.03x
SCHD
0.23x
Sharpe
O
-0.62
SCHD
1.65
Sortino
O
-0.83
SCHD
2.71
Omega
O
0.91
SCHD
1.31
Calmar
O
-0.33
SCHD
3.22
Martin
O
-1.32
SCHD
7.91