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IAI vs. SCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IAI vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
29.30%
15.79%
IAI
SCHG

Returns By Period

In the year-to-date period, IAI achieves a 40.18% return, which is significantly higher than SCHG's 32.77% return. Both investments have delivered pretty close results over the past 10 years, with IAI having a 15.96% annualized return and SCHG not far ahead at 16.44%.


IAI

YTD

40.18%

1M

10.55%

6M

29.30%

1Y

57.52%

5Y (annualized)

19.50%

10Y (annualized)

15.96%

SCHG

YTD

32.77%

1M

2.85%

6M

15.79%

1Y

38.25%

5Y (annualized)

20.42%

10Y (annualized)

16.44%

Key characteristics


IAISCHG
Sharpe Ratio3.552.29
Sortino Ratio4.942.97
Omega Ratio1.651.42
Calmar Ratio4.543.14
Martin Ratio27.4912.46
Ulcer Index2.13%3.12%
Daily Std Dev16.48%16.99%
Max Drawdown-75.33%-34.59%
Current Drawdown0.00%-1.33%

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IAI vs. SCHG - Expense Ratio Comparison

IAI has a 0.41% expense ratio, which is higher than SCHG's 0.04% expense ratio.


IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
Expense ratio chart for IAI: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.00.7

The correlation between IAI and SCHG 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.

Risk-Adjusted Performance

IAI vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) 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.


Sharpe ratio
The chart of Sharpe ratio for IAI, currently valued at 3.55, compared to the broader market0.002.004.003.552.29
The chart of Sortino ratio for IAI, currently valued at 4.94, compared to the broader market-2.000.002.004.006.008.0010.0012.004.942.97
The chart of Omega ratio for IAI, currently valued at 1.65, compared to the broader market0.501.001.502.002.503.001.651.42
The chart of Calmar ratio for IAI, currently valued at 4.54, compared to the broader market0.005.0010.0015.004.543.14
The chart of Martin ratio for IAI, currently valued at 27.49, compared to the broader market0.0020.0040.0060.0080.00100.0027.4912.46
IAI
SCHG

The current IAI Sharpe Ratio is 3.55, which is higher than the SCHG Sharpe Ratio of 2.29. The chart below compares the historical Sharpe Ratios of IAI and SCHG, 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
3.55
2.29
IAI
SCHG

Dividends

IAI vs. SCHG - Dividend Comparison

IAI's dividend yield for the trailing twelve months is around 1.01%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
1.01%1.80%2.14%1.31%1.55%1.52%1.58%1.37%1.48%1.31%1.13%1.13%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

IAI vs. SCHG - Drawdown Comparison

The maximum IAI drawdown since its inception was -75.33%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for IAI and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.33%
IAI
SCHG

Volatility

IAI vs. SCHG - Volatility Comparison

iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) has a higher volatility of 8.73% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.50%. This indicates that IAI's price experiences larger fluctuations and is considered to be riskier than SCHG 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%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
8.73%
5.50%
IAI
SCHG