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SCHF vs. EUDG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SCHF and EUDG is 0.69, 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

SCHF vs. EUDG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab International Equity ETF (SCHF) and WisdomTree Europe Quality Dividend Growth Fund (EUDG). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SCHF:

0.91

EUDG:

0.49

Sortino Ratio

SCHF:

1.51

EUDG:

1.00

Omega Ratio

SCHF:

1.21

EUDG:

1.13

Calmar Ratio

SCHF:

1.29

EUDG:

0.74

Martin Ratio

SCHF:

3.92

EUDG:

1.68

Ulcer Index

SCHF:

4.43%

EUDG:

6.10%

Daily Std Dev

SCHF:

17.13%

EUDG:

16.36%

Max Drawdown

SCHF:

-34.64%

EUDG:

-33.76%

Current Drawdown

SCHF:

0.00%

EUDG:

0.00%

Returns By Period

The year-to-date returns for both investments are quite close, with SCHF having a 18.00% return and EUDG slightly higher at 18.34%. Over the past 10 years, SCHF has outperformed EUDG with an annualized return of 7.54%, while EUDG has yielded a comparatively lower 6.54% annualized return.


SCHF

YTD

18.00%

1M

4.60%

6M

13.66%

1Y

15.38%

3Y*

13.08%

5Y*

12.14%

10Y*

7.54%

EUDG

YTD

18.34%

1M

3.19%

6M

14.09%

1Y

7.88%

3Y*

8.61%

5Y*

8.79%

10Y*

6.54%

*Annualized

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SCHF vs. EUDG - Expense Ratio Comparison

SCHF has a 0.06% expense ratio, which is lower than EUDG's 0.58% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

SCHF vs. EUDG — Risk-Adjusted Performance Rank

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

SCHF
The Risk-Adjusted Performance Rank of SCHF is 7979
Overall Rank
The Sharpe Ratio Rank of SCHF is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHF is 7979
Sortino Ratio Rank
The Omega Ratio Rank of SCHF is 7979
Omega Ratio Rank
The Calmar Ratio Rank of SCHF is 8585
Calmar Ratio Rank
The Martin Ratio Rank of SCHF is 7878
Martin Ratio Rank

EUDG
The Risk-Adjusted Performance Rank of EUDG is 5252
Overall Rank
The Sharpe Ratio Rank of EUDG is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of EUDG is 5656
Sortino Ratio Rank
The Omega Ratio Rank of EUDG is 5050
Omega Ratio Rank
The Calmar Ratio Rank of EUDG is 6868
Calmar Ratio Rank
The Martin Ratio Rank of EUDG is 4646
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SCHF vs. EUDG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab International Equity ETF (SCHF) and WisdomTree Europe Quality Dividend Growth Fund (EUDG). 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.


The current SCHF Sharpe Ratio is 0.91, which is higher than the EUDG Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of SCHF and EUDG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

SCHF vs. EUDG - Dividend Comparison

SCHF's dividend yield for the trailing twelve months is around 2.76%, more than EUDG's 2.04% yield.


TTM20242023202220212020201920182017201620152014
SCHF
Schwab International Equity ETF
2.76%3.26%2.97%2.80%3.19%2.08%2.95%3.06%2.35%2.58%2.26%2.90%
EUDG
WisdomTree Europe Quality Dividend Growth Fund
2.04%2.41%2.14%3.08%2.98%1.87%2.30%3.00%1.55%2.49%2.11%0.97%

Drawdowns

SCHF vs. EUDG - Drawdown Comparison

The maximum SCHF drawdown since its inception was -34.64%, roughly equal to the maximum EUDG drawdown of -33.76%. Use the drawdown chart below to compare losses from any high point for SCHF and EUDG.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

SCHF vs. EUDG - Volatility Comparison

Schwab International Equity ETF (SCHF) and WisdomTree Europe Quality Dividend Growth Fund (EUDG) have volatilities of 3.17% and 3.27%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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