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EWX vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWXSCHD
YTD Return8.39%17.07%
1Y Return16.44%29.98%
3Y Return (Ann)2.61%6.85%
5Y Return (Ann)9.34%12.79%
10Y Return (Ann)5.41%11.62%
Sharpe Ratio1.122.64
Sortino Ratio1.553.81
Omega Ratio1.211.47
Calmar Ratio1.822.92
Martin Ratio5.7614.57
Ulcer Index2.91%2.04%
Daily Std Dev14.87%11.26%
Max Drawdown-63.90%-33.37%
Current Drawdown-6.26%-0.86%

Correlation

-0.50.00.51.00.6

The correlation between EWX and SCHD is 0.62, 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

EWX vs. SCHD - Performance Comparison

In the year-to-date period, EWX achieves a 8.39% return, which is significantly lower than SCHD's 17.07% return. Over the past 10 years, EWX has underperformed SCHD with an annualized return of 5.41%, while SCHD has yielded a comparatively higher 11.62% annualized 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
5.97%
10.97%
EWX
SCHD

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EWX vs. SCHD - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is higher than SCHD's 0.06% expense ratio.


EWX
SPDR S&P Emerging Markets Small Cap ETF
Expense ratio chart for EWX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

EWX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Emerging Markets Small Cap ETF (EWX) and Schwab US Dividend Equity ETF (SCHD). 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.


EWX
Sharpe ratio
The chart of Sharpe ratio for EWX, currently valued at 1.12, compared to the broader market-2.000.002.004.006.001.12
Sortino ratio
The chart of Sortino ratio for EWX, currently valued at 1.55, compared to the broader market-2.000.002.004.006.008.0010.0012.001.55
Omega ratio
The chart of Omega ratio for EWX, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for EWX, currently valued at 1.82, compared to the broader market0.005.0010.0015.001.82
Martin ratio
The chart of Martin ratio for EWX, currently valued at 5.76, compared to the broader market0.0020.0040.0060.0080.00100.005.76
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.64, compared to the broader market-2.000.002.004.006.002.64
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.81, compared to the broader market-2.000.002.004.006.008.0010.0012.003.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.92
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.0014.57

EWX vs. SCHD - Sharpe Ratio Comparison

The current EWX Sharpe Ratio is 1.12, which is lower than the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of EWX and SCHD, 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
1.12
2.64
EWX
SCHD

Dividends

EWX vs. SCHD - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.10%, less than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
EWX
SPDR S&P Emerging Markets Small Cap ETF
2.10%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

EWX vs. SCHD - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for EWX and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.26%
-0.86%
EWX
SCHD

Volatility

EWX vs. SCHD - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) has a higher volatility of 5.14% compared to Schwab US Dividend Equity ETF (SCHD) at 3.51%. This indicates that EWX's price experiences larger fluctuations and is considered to be riskier than SCHD 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%7.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
3.51%
EWX
SCHD