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

Key characteristics


IAISCHG
YTD Return35.69%34.22%
1Y Return60.45%47.39%
3Y Return (Ann)11.03%11.12%
5Y Return (Ann)19.43%21.10%
10Y Return (Ann)15.47%16.82%
Sharpe Ratio3.692.71
Sortino Ratio5.073.48
Omega Ratio1.681.49
Calmar Ratio3.493.74
Martin Ratio28.3314.90
Ulcer Index2.12%3.10%
Daily Std Dev16.27%17.06%
Max Drawdown-75.33%-34.59%
Current Drawdown0.00%0.00%

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.

Performance

IAI vs. SCHG - Performance Comparison

The year-to-date returns for both stocks are quite close, with IAI having a 35.69% return and SCHG slightly lower at 34.22%. Over the past 10 years, IAI has underperformed SCHG with an annualized return of 15.47%, while SCHG has yielded a comparatively higher 16.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%500.00%600.00%700.00%800.00%900.00%JuneJulyAugustSeptemberOctoberNovember
584.62%
902.82%
IAI
SCHG

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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%

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.


IAI
Sharpe ratio
The chart of Sharpe ratio for IAI, currently valued at 3.69, compared to the broader market-2.000.002.004.006.003.69
Sortino ratio
The chart of Sortino ratio for IAI, currently valued at 5.07, compared to the broader market0.005.0010.005.07
Omega ratio
The chart of Omega ratio for IAI, currently valued at 1.68, compared to the broader market1.001.502.002.503.001.68
Calmar ratio
The chart of Calmar ratio for IAI, currently valued at 3.49, compared to the broader market0.005.0010.0015.003.49
Martin ratio
The chart of Martin ratio for IAI, currently valued at 28.33, compared to the broader market0.0020.0040.0060.0080.00100.0028.33
SCHG
Sharpe ratio
The chart of Sharpe ratio for SCHG, currently valued at 2.71, compared to the broader market-2.000.002.004.006.002.71
Sortino ratio
The chart of Sortino ratio for SCHG, currently valued at 3.48, compared to the broader market0.005.0010.003.48
Omega ratio
The chart of Omega ratio for SCHG, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for SCHG, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.74
Martin ratio
The chart of Martin ratio for SCHG, currently valued at 14.90, compared to the broader market0.0020.0040.0060.0080.00100.0014.90

IAI vs. SCHG - Sharpe Ratio Comparison

The current IAI Sharpe Ratio is 3.69, which is higher than the SCHG Sharpe Ratio of 2.71. 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
3.69
2.71
IAI
SCHG

Dividends

IAI vs. SCHG - Dividend Comparison

IAI's dividend yield for the trailing twelve months is around 1.04%, more than SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
1.04%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%JuneJulyAugustSeptemberOctoberNovember00
IAI
SCHG

Volatility

IAI vs. SCHG - Volatility Comparison

iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) has a higher volatility of 8.62% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.35%. 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
8.62%
5.35%
IAI
SCHG