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

Correlation

The correlation between TOKE and SCHG is 0.46, 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.


-0.50.00.51.00.5

Performance

TOKE vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Cannabis ETF (TOKE) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
-8.81%
11.36%
TOKE
SCHG

Key characteristics

Sharpe Ratio

TOKE:

-0.18

SCHG:

2.05

Sortino Ratio

TOKE:

-0.03

SCHG:

2.68

Omega Ratio

TOKE:

1.00

SCHG:

1.37

Calmar Ratio

TOKE:

-0.08

SCHG:

2.91

Martin Ratio

TOKE:

-0.58

SCHG:

11.49

Ulcer Index

TOKE:

10.70%

SCHG:

3.13%

Daily Std Dev

TOKE:

33.83%

SCHG:

17.49%

Max Drawdown

TOKE:

-79.46%

SCHG:

-34.59%

Current Drawdown

TOKE:

-78.65%

SCHG:

-3.88%

Returns By Period

In the year-to-date period, TOKE achieves a -9.70% return, which is significantly lower than SCHG's 35.44% return.


TOKE

YTD

-9.70%

1M

-9.11%

6M

-9.22%

1Y

-7.63%

5Y*

-16.43%

10Y*

N/A

SCHG

YTD

35.44%

1M

3.33%

6M

10.58%

1Y

35.25%

5Y*

19.99%

10Y*

16.66%

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TOKE vs. SCHG - Expense Ratio Comparison

TOKE has a 0.42% expense ratio, which is higher than SCHG's 0.04% expense ratio.


TOKE
Cambria Cannabis ETF
Expense ratio chart for TOKE: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
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

TOKE vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Cannabis ETF (TOKE) 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 TOKE, currently valued at -0.18, compared to the broader market0.002.004.00-0.182.05
The chart of Sortino ratio for TOKE, currently valued at -0.03, compared to the broader market-2.000.002.004.006.008.0010.00-0.032.68
The chart of Omega ratio for TOKE, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.37
The chart of Calmar ratio for TOKE, currently valued at -0.08, compared to the broader market0.005.0010.0015.00-0.082.91
The chart of Martin ratio for TOKE, currently valued at -0.58, compared to the broader market0.0020.0040.0060.0080.00100.00-0.5811.49
TOKE
SCHG

The current TOKE Sharpe Ratio is -0.18, which is lower than the SCHG Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of TOKE 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.18
2.05
TOKE
SCHG

Dividends

TOKE vs. SCHG - Dividend Comparison

TOKE's dividend yield for the trailing twelve months is around 3.87%, more than SCHG's 0.42% yield.


TTM20232022202120202019201820172016201520142013
TOKE
Cambria Cannabis ETF
3.87%4.21%2.12%3.54%4.33%2.26%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.42%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

TOKE vs. SCHG - Drawdown Comparison

The maximum TOKE drawdown since its inception was -79.46%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for TOKE and SCHG. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-78.65%
-3.88%
TOKE
SCHG

Volatility

TOKE vs. SCHG - Volatility Comparison

The current volatility for Cambria Cannabis ETF (TOKE) is 4.71%, while Schwab U.S. Large-Cap Growth ETF (SCHG) has a volatility of 5.05%. This indicates that TOKE 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.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
4.71%
5.05%
TOKE
SCHG
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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.

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