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^N225 vs. SCHD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^N225 and SCHD is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

^N225 vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nikkei 225 (^N225) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
1.91%
7.11%
^N225
SCHD

Key characteristics

Sharpe Ratio

^N225:

0.69

SCHD:

1.02

Sortino Ratio

^N225:

1.04

SCHD:

1.51

Omega Ratio

^N225:

1.17

SCHD:

1.18

Calmar Ratio

^N225:

0.69

SCHD:

1.55

Martin Ratio

^N225:

2.48

SCHD:

5.23

Ulcer Index

^N225:

7.14%

SCHD:

2.21%

Daily Std Dev

^N225:

25.92%

SCHD:

11.28%

Max Drawdown

^N225:

-81.87%

SCHD:

-33.37%

Current Drawdown

^N225:

-8.22%

SCHD:

-7.44%

Returns By Period

In the year-to-date period, ^N225 achieves a 15.81% return, which is significantly higher than SCHD's 10.68% return. Over the past 10 years, ^N225 has underperformed SCHD with an annualized return of 8.33%, while SCHD has yielded a comparatively higher 10.89% annualized return.


^N225

YTD

15.81%

1M

0.89%

6M

0.32%

1Y

15.08%

5Y*

10.48%

10Y*

8.33%

SCHD

YTD

10.68%

1M

-5.06%

6M

7.69%

1Y

10.91%

5Y*

10.81%

10Y*

10.89%

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Risk-Adjusted Performance

^N225 vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nikkei 225 (^N225) and Schwab US Dividend Equity ETF (SCHD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ^N225, currently valued at 0.16, compared to the broader market-1.000.001.002.000.160.95
The chart of Sortino ratio for ^N225, currently valued at 0.41, compared to the broader market-1.000.001.002.003.000.411.42
The chart of Omega ratio for ^N225, currently valued at 1.06, compared to the broader market0.800.901.001.101.201.301.401.061.17
The chart of Calmar ratio for ^N225, currently valued at 0.18, compared to the broader market0.001.002.003.004.000.181.42
The chart of Martin ratio for ^N225, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.664.53
^N225
SCHD

The current ^N225 Sharpe Ratio is 0.69, which is lower than the SCHD Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of ^N225 and SCHD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.16
0.95
^N225
SCHD

Drawdowns

^N225 vs. SCHD - Drawdown Comparison

The maximum ^N225 drawdown since its inception was -81.87%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ^N225 and SCHD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.81%
-7.44%
^N225
SCHD

Volatility

^N225 vs. SCHD - Volatility Comparison

Nikkei 225 (^N225) has a higher volatility of 5.65% compared to Schwab US Dividend Equity ETF (SCHD) at 3.33%. This indicates that ^N225's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.65%
3.33%
^N225
SCHD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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