SCHA vs AVUV: returns, Sharpe ratio and drawdown
Performance
SCHA+13.08%AVUV+21.85%
Summary
SCHA vs AVUV
Over the past year, AVUV returned +21.85% against +13.08% for SCHA. Over five years, AVUV averaged +8.89% a year, compared with +4.15% for SCHA. AVUV had the higher Sharpe ratio over the past year (1.11 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.52% for AVUV and -11.46% for SCHA.
Current Drawdown
SCHA-11.46%AVUV-6.73%
Rolling Volatility
SCHA+0.87%AVUV+0.70%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCHAAVUV
Alpha
SCHA
-1.43%
AVUV
9.78%
Beta
SCHA
1.19x
AVUV
0.73x
Sharpe
SCHA
0.52
AVUV
1.11
Sortino
SCHA
0.77
AVUV
1.73
Omega
SCHA
1.09
AVUV
1.20
Calmar
SCHA
1.14
AVUV
2.56
Martin
SCHA
2.22
AVUV
5.40
Comparisons