ECML vs. SCHG

Last updated Jun 23, 2026

ECML (EA Series Trust - Euclidean Fundamental Value ETF) and SCHG (Schwab U.S. Large-Cap Growth ETF) are both exchange-traded funds - ECML is a Small Cap Value Equities fund actively managed by Euclidean, while SCHG is a Large Cap Growth Equities fund tracking the Dow Jones U.S. Large-Cap Growth Total Stock Market Index. ECML is actively managed, while SCHG is passively managed. Over the past 3 years, ECML returned 14.43%/yr vs 22.70%/yr for SCHG. At a 0.43 correlation, their price movements are largely independent. ECML charges 0.95%/yr vs 0.04%/yr for SCHG.

Performance

ECML vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EA Series Trust - Euclidean Fundamental Value ETF (ECML) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ECML achieves a 14.84% return, which is significantly higher than SCHG's 2.76% return.

ECML

• 1D: 0.35%
• 1M: 1.19%
• YTD: 14.84%
• 6M: 13.24%
• 1Y: 28.34%
• 3Y*: 14.43%
• 5Y*: —
• 10Y*: —

SCHG

• 1D: -1.24%
• 1M: -2.59%
• YTD: 2.76%
• 6M: 2.11%
• 1Y: 20.89%
• 3Y*: 22.70%
• 5Y*: 13.68%
• 10Y*: 18.81%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ECML vs. SCHG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ECML EA Series Trust - Euclidean Fundamental Value ETF	14.84%	6.82%	2.37%	26.00%
SCHG Schwab U.S. Large-Cap Growth ETF	2.76%	17.50%	34.95%	22.89%

Correlation

The correlation between ECML and SCHG is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
Correlation (3Y) Calculated over the trailing 3-year period	0.44
Correlation (All Time) Calculated using the full available price history since May 18, 2023	0.43

The correlation between ECML and SCHG shifts across timeframes, from 0.33 (1 year) to 0.44 (3 years), reflecting how their relationship changes across market environments.

ECML vs. SCHG - Sectors Allocation Comparison

Sectors	ECML	SCHG
Consumer Cyclical	23.1%	12.4%
Healthcare	17.6%	8.4%
Industrials	14.8%	6.0%
Consumer Defensive	12.3%	1.6%
Energy	12.2%	0.7%
Basic Materials	11.7%	1.3%
Technology	4.5%	46.7%
Communication Services	3.8%	15.3%
Utilities	1.4%	0.4%
Financial Services	-	6.6%
Real Estate	-	0.5%

Return for Risk

ECML vs. SCHG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ECML

ECML Risk / Return Rank: 65
ECML Sharpe Ratio Rank: 60
ECML Sortino Ratio Rank: 66
ECML Omega Ratio Rank: 55
ECML Calmar Ratio Rank: 80
ECML Martin Ratio Rank: 66

SCHG

SCHG Risk / Return Rank: 33
SCHG Sharpe Ratio Rank: 37
SCHG Sortino Ratio Rank: 35
SCHG Omega Ratio Rank: 35
SCHG Calmar Ratio Rank: 27
SCHG Martin Ratio Rank: 30

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ECML vs. SCHG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for EA Series Trust - Euclidean Fundamental Value ETF (ECML) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ECML	SCHG	Difference
Sharpe ratio: Return per unit of total volatility	1.93	1.30	+0.63
Sortino ratio: Return per unit of downside risk	2.93	1.79	+1.13
Omega ratio: Gain probability vs. loss probability	1.33	1.23	+0.10
Calmar ratio: Return relative to maximum drawdown	4.06	1.28	+2.78
Martin ratio: Return relative to average drawdown	11.61	4.19	+7.42

ECML vs. SCHG - Sharpe Ratio Comparison

The current ECML Sharpe Ratio is 1.93, which is higher than the SCHG Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of ECML and SCHG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ECML vs. SCHG - Drawdown Comparison

The maximum ECML drawdown since its inception was -24.66%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for ECML and SCHG.

Drawdown Indicators

	ECML	SCHG	Difference
Max Drawdown Largest peak-to-trough decline	-24.66%	-34.59%	+9.93%
Max Drawdown (1Y) Largest decline over 1 year	-7.01%	-16.41%	+9.40%
Max Drawdown (3Y) Largest decline over 3 years	-24.66%	-23.39%	-1.27%
Max Drawdown (5Y) Largest decline over 5 years	—	-34.59%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-34.59%	—
Current Drawdown Current decline from peak	-2.06%	-5.16%	+3.10%
Average Drawdown Average peak-to-trough decline	-5.80%	-5.20%	-0.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.45%	5.00%	-2.55%

Volatility

ECML vs. SCHG - Volatility Comparison

The current volatility for EA Series Trust - Euclidean Fundamental Value ETF (ECML) is 4.01%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.78%. This indicates that ECML experiences smaller price fluctuations and is considered to be less risky than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ECML	SCHG	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.01%	5.78%	-1.77%
Volatility (6M) Calculated over the trailing 6-month period	9.68%	12.50%	-2.82%
Volatility (1Y) Calculated over the trailing 1-year period	14.79%	16.21%	-1.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.34%	22.37%	-4.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.34%	21.61%	-3.27%

ECML vs. SCHG - Expense Ratio Comparison

ECML has a 0.95% expense ratio, which is higher than SCHG's 0.04% expense ratio.

Dividends

ECML vs. SCHG - Dividend Comparison

ECML's dividend yield for the trailing twelve months is around 1.20%, more than SCHG's 0.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ECML EA Series Trust - Euclidean Fundamental Value ETF	1.20%	1.38%	0.98%	0.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SCHG Schwab U.S. Large-Cap Growth ETF	0.38%	0.36%	0.39%	0.46%	0.55%	0.42%	0.52%	0.82%	1.27%	1.01%	1.04%	1.22%

Frequently Asked Questions

Can I hold both ECML and SCHG in my portfolio?

ECML and SCHG have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ECML or SCHG?

SCHG has higher volatility (5.78%) compared to ECML (4.01%). In terms of maximum drawdown, ECML dropped -24.66% vs SCHG's -34.59%.

Which ETF is better, ECML or SCHG?

On 3-year performance, SCHG leads with 22.70% vs 14.43% for ECML. On fees, SCHG is cheaper at 0.04% per year. On volatility, ECML has been the lower-risk option at 4.01%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ECML or SCHG?

Over the 3-year period, SCHG has performed better with a 22.70% return vs 14.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ECML or SCHG?

SCHG is cheaper with a 0.04% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, ECML or SCHG?

ECML has the higher dividend yield at 1.20%, compared with 0.38% for SCHG.

What is the main difference between ECML and SCHG?

ECML is categorized as Small Cap Value Equities, while SCHG is Large Cap Growth Equities. They also come from different issuers: Euclidean and Charles Schwab. Their fees differ too: 0.95% for ECML and 0.04% for SCHG.

Which has better risk-adjusted returns?

ECML currently has the higher Sharpe Ratio (1.93 vs 1.30), 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.