TDIV vs SCHD: returns, Sharpe ratio and drawdown
Performance
TDIV+14.57%SCHD+38.81%
Summary
TDIV vs SCHD
Over the past year, SCHD returned +38.81% against +14.57% for TDIV. Over five years, TDIV averaged +16.69% a year, compared with +10.59% for SCHD. SCHD had the higher Sharpe ratio over the past year (2.56 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.88% for SCHD and -16.34% for TDIV. Dividends over the past year came to 2.95% of SCHD's price, against 1.39% for TDIV.
Current Drawdown
TDIV-10.55%SCHD+0.00%
Rolling Volatility
TDIV+1.27%SCHD+0.75%
METRICS
Correlation Matrix
Metrics
Risk Indicators
TDIVSCHD
Alpha
TDIV
0.44%
SCHD
27.64%
Beta
TDIV
1.35x
SCHD
0.18x
Sharpe
TDIV
0.55
SCHD
2.56
Sortino
TDIV
0.76
SCHD
4.51
Omega
TDIV
1.09
SCHD
1.52
Calmar
TDIV
0.89
SCHD
5.64
Martin
TDIV
1.49
SCHD
13.84
Comparisons