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VGK vs. SCHE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VGKSCHE
YTD Return1.32%0.85%
1Y Return6.75%5.61%
3Y Return (Ann)2.50%-5.20%
5Y Return (Ann)6.47%1.53%
10Y Return (Ann)4.22%2.86%
Sharpe Ratio0.500.36
Daily Std Dev13.26%14.11%
Max Drawdown-63.61%-36.16%
Current Drawdown-3.69%-20.64%

Correlation

-0.50.00.51.00.8

The correlation between VGK and SCHE is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VGK vs. SCHE - Performance Comparison

In the year-to-date period, VGK achieves a 1.32% return, which is significantly higher than SCHE's 0.85% return. Over the past 10 years, VGK has outperformed SCHE with an annualized return of 4.22%, while SCHE has yielded a comparatively lower 2.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%NovemberDecember2024FebruaryMarchApril
13.22%
7.74%
VGK
SCHE

Compare stocks, funds, or ETFs

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


Vanguard FTSE Europe ETF

Schwab Emerging Markets Equity ETF

VGK vs. SCHE - Expense Ratio Comparison

VGK has a 0.08% expense ratio, which is lower than SCHE's 0.11% expense ratio.

SCHE
Schwab Emerging Markets Equity ETF
0.50%1.00%1.50%2.00%0.11%
0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

VGK vs. SCHE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Europe ETF (VGK) and Schwab Emerging Markets Equity ETF (SCHE). 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.


VGK
Sharpe ratio
The chart of Sharpe ratio for VGK, currently valued at 0.50, compared to the broader market-1.000.001.002.003.004.005.000.50
Sortino ratio
The chart of Sortino ratio for VGK, currently valued at 0.81, compared to the broader market-2.000.002.004.006.008.0010.000.81
Omega ratio
The chart of Omega ratio for VGK, currently valued at 1.09, compared to the broader market1.001.502.002.501.09
Calmar ratio
The chart of Calmar ratio for VGK, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.000.42
Martin ratio
The chart of Martin ratio for VGK, currently valued at 1.48, compared to the broader market0.0020.0040.0060.0080.001.48
SCHE
Sharpe ratio
The chart of Sharpe ratio for SCHE, currently valued at 0.36, compared to the broader market-1.000.001.002.003.004.005.000.36
Sortino ratio
The chart of Sortino ratio for SCHE, currently valued at 0.61, compared to the broader market-2.000.002.004.006.008.0010.000.61
Omega ratio
The chart of Omega ratio for SCHE, currently valued at 1.07, compared to the broader market1.001.502.002.501.07
Calmar ratio
The chart of Calmar ratio for SCHE, currently valued at 0.17, compared to the broader market0.002.004.006.008.0010.0012.000.17
Martin ratio
The chart of Martin ratio for SCHE, currently valued at 1.01, compared to the broader market0.0020.0040.0060.0080.001.01

VGK vs. SCHE - Sharpe Ratio Comparison

The current VGK Sharpe Ratio is 0.50, which is higher than the SCHE Sharpe Ratio of 0.36. The chart below compares the 12-month rolling Sharpe Ratio of VGK and SCHE.


Rolling 12-month Sharpe Ratio0.000.501.001.50NovemberDecember2024FebruaryMarchApril
0.50
0.36
VGK
SCHE

Dividends

VGK vs. SCHE - Dividend Comparison

VGK's dividend yield for the trailing twelve months is around 3.37%, less than SCHE's 3.80% yield.


TTM20232022202120202019201820172016201520142013
VGK
Vanguard FTSE Europe ETF
3.37%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
SCHE
Schwab Emerging Markets Equity ETF
3.80%3.83%2.88%2.86%2.09%3.27%2.69%2.31%2.27%2.50%2.86%2.56%

Drawdowns

VGK vs. SCHE - Drawdown Comparison

The maximum VGK drawdown since its inception was -63.61%, which is greater than SCHE's maximum drawdown of -36.16%. Use the drawdown chart below to compare losses from any high point for VGK and SCHE. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.69%
-20.64%
VGK
SCHE

Volatility

VGK vs. SCHE - Volatility Comparison

Vanguard FTSE Europe ETF (VGK) and Schwab Emerging Markets Equity ETF (SCHE) have volatilities of 3.03% and 3.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.03%
3.05%
VGK
SCHE