SCHA vs SCHB: returns, Sharpe ratio and drawdown
Performance
SCHA+13.08%SCHB+13.01%
Summary
SCHA vs SCHB
Over the past year, SCHA returned +13.08% against +13.01% for SCHB. Over five years, SCHB averaged +9.70% a year, compared with +4.15% for SCHA. SCHB had the higher Sharpe ratio over the past year (0.67 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.16% for SCHB and -11.46% for SCHA.
Current Drawdown
SCHA-11.46%SCHB-2.69%
Rolling Volatility
SCHA+0.87%SCHB+0.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCHASCHB
Alpha
SCHA
-1.43%
SCHB
-0.73%
Beta
SCHA
1.19x
SCHB
1.02x
Sharpe
SCHA
0.52
SCHB
0.67
Sortino
SCHA
0.77
SCHB
0.97
Omega
SCHA
1.09
SCHB
1.12
Calmar
SCHA
1.14
SCHB
1.42
Martin
SCHA
2.22
SCHB
3.89
Comparisons