PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ACWU.L vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ACWU.LSCHD
YTD Return14.10%10.13%
1Y Return19.72%15.84%
3Y Return (Ann)7.48%6.65%
5Y Return (Ann)16.17%12.81%
Sharpe Ratio1.701.50
Daily Std Dev11.23%11.16%
Max Drawdown-33.80%-33.37%
Current Drawdown-0.74%0.00%

Correlation

-0.50.00.51.00.3

The correlation between ACWU.L and SCHD is 0.31, 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.

Performance

ACWU.L vs. SCHD - Performance Comparison

In the year-to-date period, ACWU.L achieves a 14.10% return, which is significantly higher than SCHD's 10.13% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%120.00%140.00%160.00%180.00%FebruaryMarchAprilMayJuneJuly
129.38%
179.49%
ACWU.L
SCHD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Lyxor MSCI All Country World UCITS C-USD

Schwab US Dividend Equity ETF

ACWU.L vs. SCHD - Expense Ratio Comparison

ACWU.L has a 0.45% expense ratio, which is higher than SCHD's 0.06% expense ratio.


ACWU.L
Lyxor MSCI All Country World UCITS C-USD
Expense ratio chart for ACWU.L: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

ACWU.L vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lyxor MSCI All Country World UCITS C-USD (ACWU.L) 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.


ACWU.L
Sharpe ratio
The chart of Sharpe ratio for ACWU.L, currently valued at 1.71, compared to the broader market0.002.004.006.001.71
Sortino ratio
The chart of Sortino ratio for ACWU.L, currently valued at 2.54, compared to the broader market0.005.0010.002.54
Omega ratio
The chart of Omega ratio for ACWU.L, currently valued at 1.32, compared to the broader market1.002.003.001.32
Calmar ratio
The chart of Calmar ratio for ACWU.L, currently valued at 1.35, compared to the broader market0.005.0010.0015.0020.001.35
Martin ratio
The chart of Martin ratio for ACWU.L, currently valued at 5.65, compared to the broader market0.0020.0040.0060.0080.00100.00120.00140.005.65
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 1.21, compared to the broader market0.002.004.006.001.21
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 1.81, compared to the broader market0.005.0010.001.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.22, compared to the broader market1.002.003.001.22
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.001.02
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 3.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.00140.003.72

ACWU.L vs. SCHD - Sharpe Ratio Comparison

The current ACWU.L Sharpe Ratio is 1.70, which roughly equals the SCHD Sharpe Ratio of 1.50. The chart below compares the 12-month rolling Sharpe Ratio of ACWU.L and SCHD.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50FebruaryMarchAprilMayJuneJuly
1.71
1.21
ACWU.L
SCHD

Dividends

ACWU.L vs. SCHD - Dividend Comparison

ACWU.L has not paid dividends to shareholders, while SCHD's dividend yield for the trailing twelve months is around 3.44%.


TTM20232022202120202019201820172016201520142013
ACWU.L
Lyxor MSCI All Country World UCITS C-USD
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.44%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

ACWU.L vs. SCHD - Drawdown Comparison

The maximum ACWU.L drawdown since its inception was -33.80%, roughly equal to the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ACWU.L and SCHD. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-0.74%
0
ACWU.L
SCHD

Volatility

ACWU.L vs. SCHD - Volatility Comparison

The current volatility for Lyxor MSCI All Country World UCITS C-USD (ACWU.L) is 1.99%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.18%. This indicates that ACWU.L experiences smaller price fluctuations and is considered to be less risky than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.99%
3.18%
ACWU.L
SCHD