IUMF.L vs. SCHG
Compare and contrast key facts about IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) and Schwab U.S. Large-Cap Growth ETF (SCHG).
IUMF.L and SCHG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IUMF.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Oct 13, 2016. SCHG is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Large-Cap Growth Total Stock Market Total Return Index. It was launched on Dec 11, 2009. Both IUMF.L and SCHG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IUMF.L or SCHG.
Performance
IUMF.L vs. SCHG - Performance Comparison
Returns By Period
In the year-to-date period, IUMF.L achieves a 33.71% return, which is significantly higher than SCHG's 31.08% return.
IUMF.L
33.71%
2.40%
9.87%
37.43%
12.63%
N/A
SCHG
31.08%
2.03%
14.01%
38.24%
20.05%
16.38%
Key characteristics
| IUMF.L | SCHG | |
|---|---|---|
| Sharpe Ratio | 2.10 | 2.25 |
| Sortino Ratio | 2.82 | 2.94 |
| Omega Ratio | 1.39 | 1.41 |
| Calmar Ratio | 2.51 | 3.09 |
| Martin Ratio | 10.30 | 12.29 |
| Ulcer Index | 3.64% | 3.11% |
| Daily Std Dev | 17.82% | 17.04% |
| Max Drawdown | -25.23% | -34.59% |
| Current Drawdown | -1.28% | -2.59% |
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IUMF.L vs. SCHG - Expense Ratio Comparison
IUMF.L has a 0.20% expense ratio, which is higher than SCHG's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between IUMF.L and SCHG is 0.51, 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
IUMF.L vs. SCHG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) 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.
Dividends
IUMF.L vs. SCHG - Dividend Comparison
IUMF.L has not paid dividends to shareholders, while SCHG's dividend yield for the trailing twelve months is around 0.41%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IUMF.L IShares Edge MSCI USA Momentum Factor ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.41% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% | 1.09% | 1.07% |
Drawdowns
IUMF.L vs. SCHG - Drawdown Comparison
The maximum IUMF.L drawdown since its inception was -25.23%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for IUMF.L and SCHG. For additional features, visit the drawdowns tool.
Volatility
IUMF.L vs. SCHG - Volatility Comparison
The current volatility for IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) is 3.52%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.72%. This indicates that IUMF.L 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.