COF vs. SCJ
COF (Capital One Financial Corporation) is a stock, while SCJ (iShares MSCI Japan Small Cap ETF) is Japan Equities fund tracking the MSCI Japan Small Cap Index. Over the past 10 years, COF returned 11.46%/yr vs 7.55%/yr for SCJ. At a 0.39 correlation, their price movements are largely independent.
Performance
COF vs. SCJ - Performance Comparison
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Returns By Period
In the year-to-date period, COF achieves a -26.12% return, which is significantly lower than SCJ's 14.35% return. Over the past 10 years, COF has outperformed SCJ with an annualized return of 11.46%, while SCJ has yielded a comparatively lower 7.55% annualized return.
COF
- 1D
- -3.38%
- 1M
- -6.07%
- YTD
- -26.12%
- 6M
- -21.20%
- 1Y
- -7.87%
- 3Y*
- 19.04%
- 5Y*
- 3.21%
- 10Y*
- 11.46%
SCJ
- 1D
- 0.36%
- 1M
- 5.04%
- YTD
- 14.35%
- 6M
- 16.37%
- 1Y
- 30.15%
- 3Y*
- 17.70%
- 5Y*
- 7.36%
- 10Y*
- 7.55%
COF vs. SCJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COF Capital One Financial Corporation | -26.12% | 37.65% | 38.24% | 44.32% | -34.59% | 49.32% | -2.66% | 38.62% | -22.77% | 16.30% |
SCJ iShares MSCI Japan Small Cap ETF | 14.35% | 29.58% | 3.41% | 13.22% | -12.75% | -2.95% | 7.46% | 16.16% | -17.17% | 31.61% |
Correlation
The correlation between COF and SCJ is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.29 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.35 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.38 |
Correlation (All Time) Calculated using the full available price history since Dec 28, 2007 | 0.39 |
The correlation between COF and SCJ shifts across timeframes, from 0.25 (1 year) to 0.39 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
COF vs. SCJ — Risk / Return Rank
COF
SCJ
COF vs. SCJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Capital One Financial Corporation (COF) and iShares MSCI Japan Small Cap ETF (SCJ). 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.
| COF | SCJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.14 | ||
| Sortino ratioReturn per unit of downside risk | -2.81 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.34 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 2.49 | -2.74 |
| Martin ratioReturn relative to average drawdown | -0.52 | 8.42 | -8.94 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| COF | SCJ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.26 | 1.88 | -2.14 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.09 | 0.47 | -0.38 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.31 | 0.46 | -0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.30 | -0.02 |
Drawdowns
COF vs. SCJ - Drawdown Comparison
The maximum COF drawdown since its inception was -90.17%, which is greater than SCJ's maximum drawdown of -43.52%. Use the drawdown chart below to compare losses from any high point for COF and SCJ.
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Drawdown Indicators
| COF | SCJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.17% | -43.52% | -46.65% |
Max Drawdown (1Y)Largest decline over 1 year | -31.47% | -12.17% | -19.30% |
Max Drawdown (3Y)Largest decline over 3 years | -31.47% | -12.43% | -19.04% |
Max Drawdown (5Y)Largest decline over 5 years | -50.38% | -33.25% | -17.13% |
Max Drawdown (10Y)Largest decline over 10 years | -60.25% | -38.87% | -21.38% |
Current DrawdownCurrent decline from peak | -30.58% | -1.82% | -28.76% |
Average DrawdownAverage peak-to-trough decline | -21.49% | -10.38% | -11.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 15.25% | 3.59% | +11.66% |
Volatility
COF vs. SCJ - Volatility Comparison
Capital One Financial Corporation (COF) has a higher volatility of 7.49% compared to iShares MSCI Japan Small Cap ETF (SCJ) at 4.03%. This indicates that COF's price experiences larger fluctuations and is considered to be riskier than SCJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COF | SCJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.49% | 4.03% | +3.46% |
Volatility (6M)Calculated over the trailing 6-month period | 24.55% | 13.13% | +11.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 30.83% | 16.11% | +14.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.32% | 15.81% | +19.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 37.25% | 16.29% | +20.96% |
Dividends
COF vs. SCJ - Dividend Comparison
COF's dividend yield for the trailing twelve months is around 1.69%, less than SCJ's 2.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COF Capital One Financial Corporation | 1.69% | 1.07% | 1.35% | 1.83% | 2.58% | 1.79% | 1.01% | 1.55% | 2.12% | 1.61% | 1.83% | 2.08% |
SCJ iShares MSCI Japan Small Cap ETF | 2.75% | 3.14% | 1.79% | 1.99% | 1.18% | 1.87% | 0.89% | 1.85% | 1.44% | 1.45% | 2.73% | 1.53% |
Frequently Asked Questions
COF and SCJ have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COF has higher volatility (7.49%) compared to SCJ (4.03%). In terms of maximum drawdown, COF dropped -90.17% vs SCJ's -43.52%.
SCJ currently has the higher Sharpe Ratio (1.88 vs -0.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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