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

Correlation

The correlation between VWO and SCHE is 0.99, 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.


-0.50.00.51.01.0

Performance

VWO vs. SCHE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard FTSE Emerging Markets ETF (VWO) and Schwab Emerging Markets Equity ETF (SCHE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.60%
4.58%
VWO
SCHE

Key characteristics

Sharpe Ratio

VWO:

0.94

SCHE:

0.95

Sortino Ratio

VWO:

1.39

SCHE:

1.42

Omega Ratio

VWO:

1.18

SCHE:

1.18

Calmar Ratio

VWO:

0.59

SCHE:

0.56

Martin Ratio

VWO:

3.79

SCHE:

3.76

Ulcer Index

VWO:

3.67%

SCHE:

3.80%

Daily Std Dev

VWO:

14.85%

SCHE:

15.07%

Max Drawdown

VWO:

-67.68%

SCHE:

-36.16%

Current Drawdown

VWO:

-9.86%

SCHE:

-11.67%

Returns By Period

The year-to-date returns for both investments are quite close, with VWO having a 11.97% return and SCHE slightly higher at 12.26%. Both investments have delivered pretty close results over the past 10 years, with VWO having a 4.11% annualized return and SCHE not far behind at 4.06%.


VWO

YTD

11.97%

1M

0.56%

6M

4.28%

1Y

14.31%

5Y*

3.34%

10Y*

4.11%

SCHE

YTD

12.26%

1M

0.70%

6M

4.27%

1Y

14.90%

5Y*

2.81%

10Y*

4.06%

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VWO vs. SCHE - Expense Ratio Comparison

VWO has a 0.08% expense ratio, which is lower than SCHE's 0.11% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for SCHE: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

VWO vs. SCHE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Emerging Markets ETF (VWO) 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.


The chart of Sharpe ratio for VWO, currently valued at 0.94, compared to the broader market0.002.004.000.940.95
The chart of Sortino ratio for VWO, currently valued at 1.39, compared to the broader market-2.000.002.004.006.008.0010.001.391.42
The chart of Omega ratio for VWO, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.18
The chart of Calmar ratio for VWO, currently valued at 0.59, compared to the broader market0.005.0010.0015.000.590.56
The chart of Martin ratio for VWO, currently valued at 3.79, compared to the broader market0.0020.0040.0060.0080.00100.003.793.76
VWO
SCHE

The current VWO Sharpe Ratio is 0.94, which is comparable to the SCHE Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of VWO and SCHE, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.94
0.95
VWO
SCHE

Dividends

VWO vs. SCHE - Dividend Comparison

VWO's dividend yield for the trailing twelve months is around 3.16%, more than SCHE's 2.99% yield.


TTM20232022202120202019201820172016201520142013
VWO
Vanguard FTSE Emerging Markets ETF
3.16%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%2.73%
SCHE
Schwab Emerging Markets Equity ETF
2.99%3.83%2.87%2.86%2.09%3.27%2.69%2.31%2.26%2.50%2.86%2.56%

Drawdowns

VWO vs. SCHE - Drawdown Comparison

The maximum VWO drawdown since its inception was -67.68%, which is greater than SCHE's maximum drawdown of -36.16%. Use the drawdown chart below to compare losses from any high point for VWO and SCHE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
-11.67%
VWO
SCHE

Volatility

VWO vs. SCHE - Volatility Comparison

Vanguard FTSE Emerging Markets ETF (VWO) and Schwab Emerging Markets Equity ETF (SCHE) have volatilities of 4.31% and 4.31%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.31%
4.31%
VWO
SCHE