PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SCHY vs. DHT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SCHY and DHT is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

SCHY vs. DHT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab International Dividend Equity ETF (SCHY) and DHT Holdings, Inc. (DHT). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
5.62%
89.71%
SCHY
DHT

Key characteristics

Sharpe Ratio

SCHY:

0.10

DHT:

-0.13

Sortino Ratio

SCHY:

0.21

DHT:

0.04

Omega Ratio

SCHY:

1.03

DHT:

1.00

Calmar Ratio

SCHY:

0.09

DHT:

-0.04

Martin Ratio

SCHY:

0.28

DHT:

-0.40

Ulcer Index

SCHY:

3.83%

DHT:

9.48%

Daily Std Dev

SCHY:

10.91%

DHT:

30.70%

Max Drawdown

SCHY:

-24.03%

DHT:

-98.26%

Current Drawdown

SCHY:

-11.51%

DHT:

-90.41%

Returns By Period

In the year-to-date period, SCHY achieves a -1.95% return, which is significantly lower than DHT's -0.21% return.


SCHY

YTD

-1.95%

1M

-2.86%

6M

-0.04%

1Y

-0.50%

5Y*

N/A

10Y*

N/A

DHT

YTD

-0.21%

1M

-13.24%

6M

-19.71%

1Y

-5.14%

5Y*

13.63%

10Y*

10.55%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

SCHY vs. DHT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab International Dividend Equity ETF (SCHY) and DHT Holdings, Inc. (DHT). 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 SCHY, currently valued at 0.10, compared to the broader market0.002.004.000.10-0.13
The chart of Sortino ratio for SCHY, currently valued at 0.21, compared to the broader market-2.000.002.004.006.008.0010.000.210.04
The chart of Omega ratio for SCHY, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.031.00
The chart of Calmar ratio for SCHY, currently valued at 0.09, compared to the broader market0.005.0010.0015.000.09-0.15
The chart of Martin ratio for SCHY, currently valued at 0.28, compared to the broader market0.0020.0040.0060.0080.00100.000.28-0.40
SCHY
DHT

The current SCHY Sharpe Ratio is 0.10, which is higher than the DHT Sharpe Ratio of -0.13. The chart below compares the historical Sharpe Ratios of SCHY and DHT, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.10
-0.13
SCHY
DHT

Dividends

SCHY vs. DHT - Dividend Comparison

SCHY's dividend yield for the trailing twelve months is around 4.65%, less than DHT's 11.17% yield.


TTM20232022202120202019201820172016201520142013
SCHY
Schwab International Dividend Equity ETF
4.65%3.97%3.68%1.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DHT
DHT Holdings, Inc.
11.17%11.72%1.35%2.50%25.81%2.42%2.04%5.57%17.15%6.55%1.09%1.17%

Drawdowns

SCHY vs. DHT - Drawdown Comparison

The maximum SCHY drawdown since its inception was -24.03%, smaller than the maximum DHT drawdown of -98.26%. Use the drawdown chart below to compare losses from any high point for SCHY and DHT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.51%
-24.45%
SCHY
DHT

Volatility

SCHY vs. DHT - Volatility Comparison

The current volatility for Schwab International Dividend Equity ETF (SCHY) is 3.04%, while DHT Holdings, Inc. (DHT) has a volatility of 8.90%. This indicates that SCHY experiences smaller price fluctuations and is considered to be less risky than DHT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
3.04%
8.90%
SCHY
DHT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab