SCYB vs SCHD: returns, Sharpe ratio and drawdown
Performance
SCYB+2.63%SCHD+38.10%
Summary
SCYB vs SCHD
Over the past year, SCHD returned +38.10% against +2.63% for SCYB. SCHD had the higher Sharpe ratio over the past year (2.49 vs -0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -2.84% for SCYB and -6.88% for SCHD. Dividends over the past year came to 7.16% of SCYB's price, against 2.96% for SCHD. Their daily returns had a correlation of 0.32 over the past year, which is low.
Ranking
How SCYB and SCHD rank
SCYBSCHD
Current Drawdown
SCYB-1.56%SCHD-1.55%
Rolling Volatility
SCYB4.25%SCHD16.06%
METRICS
Correlation Matrix
Fees and dividends
What SCYB and SCHD cost and pay
SCYBSCHDExpense ratio0.03%0.06%Yield7.16%2.96%Paid, past year$1.81$1.05PaysMonthlyQuarterlyGrowth a year—+7.1%Return with dividends+2.63%1Y+10.11%Return, price only-4.25%1Y+6.26%
SCYB charges 0.03% a year and SCHD 0.06%.
Metrics
Risk Indicators
SCYBSCHD
Alpha
SCYB
-3.01%
SCHD
27.08%
Beta
SCYB
0.20x
SCHD
0.24x
Sharpe
SCYB
-0.27
SCHD
2.49
Sortino
SCYB
-0.37
SCHD
4.29
Omega
SCYB
0.96
SCHD
1.51
Calmar
SCYB
0.92
SCHD
5.54
Martin
SCYB
-1.00
SCHD
13.92
Comparisons