Performance

SCHF+18.46%VEA+18.87%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SCHF	+0.66%	+11.95%	+18.46%	+6.56%	-11.48%	0.80
VEA	+0.70%	+11.31%	+18.87%	+6.30%	-11.78%	0.82

Summary

SCHF vs VEA

Over the past year, VEA returned +18.87% against +18.46% for SCHF. Over five years, SCHF averaged +6.56% a year, compared with +6.30% for VEA. VEA had the higher Sharpe ratio over the past year (0.82 vs 0.80), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.48% for SCHF and -11.78% for VEA.

Current Drawdown

SCHF-4.62%VEA-4.66%

Rolling Volatility

SCHF+0.91%VEA+0.92%

METRICS

Correlation Matrix

	SCHF	VEA
SCHF	1.00	0.98
VEA	0.98	1.00

Metrics

Risk Indicators

SCHFVEA

Alpha

-1.45%

-1.03%

Beta

1.11x

Sharpe

0.80

0.82

Sortino

1.16

1.20

Omega

1.14

1.15

Calmar

1.61

1.60

Martin

4.28

4.41

Comparisons

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