SCHM vs VXF: returns, Sharpe ratio and drawdown
Performance
SCHM+14.55%VXF+6.98%
Summary
SCHM vs VXF
Over the past year, SCHM returned +14.55% against +6.98% for VXF. Over five years, SCHM averaged +4.88% a year, compared with +3.35% for VXF. SCHM had the higher Sharpe ratio over the past year (0.64 vs 0.22), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.54% for SCHM and -10.50% for VXF.
Current Drawdown
SCHM-7.35%VXF-9.59%
Rolling Volatility
SCHM+0.76%VXF+0.94%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SCHMVXF
Alpha
SCHM
0.70%
VXF
-7.17%
Beta
SCHM
1.07x
VXF
1.18x
Sharpe
SCHM
0.64
VXF
0.22
Sortino
SCHM
0.95
VXF
0.31
Omega
SCHM
1.11
VXF
1.04
Calmar
SCHM
1.53
VXF
0.66
Martin
SCHM
3.07
VXF
1.01
Comparisons