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CHDVD.SW vs. VWRL.AS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CHDVD.SWVWRL.AS
YTD Return9.81%24.71%
1Y Return13.47%30.21%
3Y Return (Ann)3.23%8.56%
5Y Return (Ann)7.72%11.89%
10Y Return (Ann)7.82%10.94%
Sharpe Ratio1.392.87
Sortino Ratio1.943.80
Omega Ratio1.251.59
Calmar Ratio2.343.72
Martin Ratio7.8218.20
Ulcer Index1.87%1.65%
Daily Std Dev10.48%10.43%
Max Drawdown-30.09%-33.27%
Current Drawdown-5.12%-0.18%

Correlation

-0.50.00.51.00.7

The correlation between CHDVD.SW and VWRL.AS is 0.70, 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

CHDVD.SW vs. VWRL.AS - Performance Comparison

In the year-to-date period, CHDVD.SW achieves a 9.81% return, which is significantly lower than VWRL.AS's 24.71% return. Over the past 10 years, CHDVD.SW has underperformed VWRL.AS with an annualized return of 7.82%, while VWRL.AS has yielded a comparatively higher 10.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.71%
8.13%
CHDVD.SW
VWRL.AS

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CHDVD.SW vs. VWRL.AS - Expense Ratio Comparison

CHDVD.SW has a 0.15% expense ratio, which is lower than VWRL.AS's 0.22% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VWRL.AS
Vanguard FTSE All-World UCITS ETF
Expense ratio chart for VWRL.AS: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for CHDVD.SW: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

CHDVD.SW vs. VWRL.AS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Swiss Dividend ETF (CH) (CHDVD.SW) and Vanguard FTSE All-World UCITS ETF (VWRL.AS). 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.


CHDVD.SW
Sharpe ratio
The chart of Sharpe ratio for CHDVD.SW, currently valued at 1.14, compared to the broader market-2.000.002.004.001.14
Sortino ratio
The chart of Sortino ratio for CHDVD.SW, currently valued at 1.65, compared to the broader market-2.000.002.004.006.008.0010.0012.001.65
Omega ratio
The chart of Omega ratio for CHDVD.SW, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for CHDVD.SW, currently valued at 1.45, compared to the broader market0.005.0010.0015.001.45
Martin ratio
The chart of Martin ratio for CHDVD.SW, currently valued at 4.35, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.35
VWRL.AS
Sharpe ratio
The chart of Sharpe ratio for VWRL.AS, currently valued at 2.46, compared to the broader market-2.000.002.004.002.46
Sortino ratio
The chart of Sortino ratio for VWRL.AS, currently valued at 3.41, compared to the broader market-2.000.002.004.006.008.0010.0012.003.41
Omega ratio
The chart of Omega ratio for VWRL.AS, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for VWRL.AS, currently valued at 3.39, compared to the broader market0.005.0010.0015.003.39
Martin ratio
The chart of Martin ratio for VWRL.AS, currently valued at 15.50, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.50

CHDVD.SW vs. VWRL.AS - Sharpe Ratio Comparison

The current CHDVD.SW Sharpe Ratio is 1.39, which is lower than the VWRL.AS Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of CHDVD.SW and VWRL.AS, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.14
2.46
CHDVD.SW
VWRL.AS

Dividends

CHDVD.SW vs. VWRL.AS - Dividend Comparison

CHDVD.SW's dividend yield for the trailing twelve months is around 3.86%, more than VWRL.AS's 1.43% yield.


TTM20232022202120202019201820172016201520142013
CHDVD.SW
iShares Swiss Dividend ETF (CH)
3.86%3.48%3.48%2.92%3.07%3.25%3.83%3.50%2.70%3.13%0.34%0.00%
VWRL.AS
Vanguard FTSE All-World UCITS ETF
1.43%1.74%2.10%1.43%1.56%1.89%2.24%1.93%1.95%2.03%2.06%1.57%

Drawdowns

CHDVD.SW vs. VWRL.AS - Drawdown Comparison

The maximum CHDVD.SW drawdown since its inception was -30.09%, smaller than the maximum VWRL.AS drawdown of -33.27%. Use the drawdown chart below to compare losses from any high point for CHDVD.SW and VWRL.AS. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.02%
-1.09%
CHDVD.SW
VWRL.AS

Volatility

CHDVD.SW vs. VWRL.AS - Volatility Comparison

iShares Swiss Dividend ETF (CH) (CHDVD.SW) has a higher volatility of 3.80% compared to Vanguard FTSE All-World UCITS ETF (VWRL.AS) at 2.99%. This indicates that CHDVD.SW's price experiences larger fluctuations and is considered to be riskier than VWRL.AS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.80%
2.99%
CHDVD.SW
VWRL.AS