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BLW vs. SCHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BLWSCHY
YTD Return10.00%0.85%
1Y Return20.74%10.17%
3Y Return (Ann)2.38%2.06%
Sharpe Ratio2.320.96
Sortino Ratio3.501.40
Omega Ratio1.461.17
Calmar Ratio1.861.19
Martin Ratio15.714.21
Ulcer Index1.32%2.54%
Daily Std Dev8.93%11.09%
Max Drawdown-44.99%-24.04%
Current Drawdown-1.66%-8.98%

Correlation

-0.50.00.51.00.4

The correlation between BLW and SCHY is 0.41, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

BLW vs. SCHY - Performance Comparison

In the year-to-date period, BLW achieves a 10.00% return, which is significantly higher than SCHY's 0.85% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.73%
-0.95%
BLW
SCHY

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Risk-Adjusted Performance

BLW vs. SCHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Limited Duration Income Trust (BLW) and Schwab International Dividend Equity ETF (SCHY). 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.


BLW
Sharpe ratio
The chart of Sharpe ratio for BLW, currently valued at 2.32, compared to the broader market-4.00-2.000.002.004.002.32
Sortino ratio
The chart of Sortino ratio for BLW, currently valued at 3.50, compared to the broader market-4.00-2.000.002.004.006.003.50
Omega ratio
The chart of Omega ratio for BLW, currently valued at 1.46, compared to the broader market0.501.001.502.001.46
Calmar ratio
The chart of Calmar ratio for BLW, currently valued at 1.86, compared to the broader market0.002.004.006.001.86
Martin ratio
The chart of Martin ratio for BLW, currently valued at 15.71, compared to the broader market0.0010.0020.0030.0015.71
SCHY
Sharpe ratio
The chart of Sharpe ratio for SCHY, currently valued at 0.96, compared to the broader market-4.00-2.000.002.004.000.96
Sortino ratio
The chart of Sortino ratio for SCHY, currently valued at 1.40, compared to the broader market-4.00-2.000.002.004.006.001.40
Omega ratio
The chart of Omega ratio for SCHY, currently valued at 1.17, compared to the broader market0.501.001.502.001.17
Calmar ratio
The chart of Calmar ratio for SCHY, currently valued at 1.19, compared to the broader market0.002.004.006.001.19
Martin ratio
The chart of Martin ratio for SCHY, currently valued at 4.21, compared to the broader market0.0010.0020.0030.004.21

BLW vs. SCHY - Sharpe Ratio Comparison

The current BLW Sharpe Ratio is 2.32, which is higher than the SCHY Sharpe Ratio of 0.96. The chart below compares the historical Sharpe Ratios of BLW and SCHY, 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.32
0.96
BLW
SCHY

Dividends

BLW vs. SCHY - Dividend Comparison

BLW's dividend yield for the trailing twelve months is around 9.25%, more than SCHY's 6.11% yield.


TTM20232022202120202019201820172016201520142013
BLW
BlackRock Limited Duration Income Trust
8.50%8.63%8.25%6.98%7.39%6.30%7.18%6.26%9.68%8.29%8.28%7.48%
SCHY
Schwab International Dividend Equity ETF
6.11%3.97%3.68%1.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

BLW vs. SCHY - Drawdown Comparison

The maximum BLW drawdown since its inception was -44.99%, which is greater than SCHY's maximum drawdown of -24.04%. Use the drawdown chart below to compare losses from any high point for BLW and SCHY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.66%
-8.98%
BLW
SCHY

Volatility

BLW vs. SCHY - Volatility Comparison

The current volatility for BlackRock Limited Duration Income Trust (BLW) is 2.83%, while Schwab International Dividend Equity ETF (SCHY) has a volatility of 3.84%. This indicates that BLW experiences smaller price fluctuations and is considered to be less risky than SCHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.83%
3.84%
BLW
SCHY