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

Correlation

The correlation between WFRD and SCHG is 0.25, 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.


-0.50.00.51.00.2

Performance

WFRD vs. SCHG - Performance Comparison

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

-40.00%-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-40.92%
12.48%
WFRD
SCHG

Key characteristics

Sharpe Ratio

WFRD:

-0.67

SCHG:

2.19

Sortino Ratio

WFRD:

-0.76

SCHG:

2.83

Omega Ratio

WFRD:

0.91

SCHG:

1.40

Calmar Ratio

WFRD:

-0.58

SCHG:

3.10

Martin Ratio

WFRD:

-1.30

SCHG:

12.18

Ulcer Index

WFRD:

21.93%

SCHG:

3.14%

Daily Std Dev

WFRD:

42.95%

SCHG:

17.43%

Max Drawdown

WFRD:

-55.23%

SCHG:

-34.59%

Current Drawdown

WFRD:

-48.91%

SCHG:

-3.09%

Returns By Period

In the year-to-date period, WFRD achieves a -29.89% return, which is significantly lower than SCHG's 36.55% return.


WFRD

YTD

-29.89%

1M

-17.13%

6M

-40.98%

1Y

-28.56%

5Y*

N/A

10Y*

N/A

SCHG

YTD

36.55%

1M

3.15%

6M

12.28%

1Y

38.24%

5Y*

20.15%

10Y*

16.72%

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

WFRD vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Weatherford International plc (WFRD) 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 WFRD, currently valued at -0.67, compared to the broader market-4.00-2.000.002.00-0.672.19
The chart of Sortino ratio for WFRD, currently valued at -0.76, compared to the broader market-4.00-2.000.002.004.00-0.762.83
The chart of Omega ratio for WFRD, currently valued at 0.91, compared to the broader market0.501.001.502.000.911.40
The chart of Calmar ratio for WFRD, currently valued at -0.58, compared to the broader market0.002.004.006.00-0.583.10
The chart of Martin ratio for WFRD, currently valued at -1.30, compared to the broader market0.0010.0020.00-1.3012.18
WFRD
SCHG

The current WFRD Sharpe Ratio is -0.67, which is lower than the SCHG Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of WFRD 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.67
2.19
WFRD
SCHG

Dividends

WFRD vs. SCHG - Dividend Comparison

WFRD's dividend yield for the trailing twelve months is around 0.73%, more than SCHG's 0.41% yield.


TTM20232022202120202019201820172016201520142013
WFRD
Weatherford International plc
0.73%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

WFRD vs. SCHG - Drawdown Comparison

The maximum WFRD drawdown since its inception was -55.23%, which is greater than SCHG's maximum drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for WFRD and SCHG. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-48.91%
-3.09%
WFRD
SCHG

Volatility

WFRD vs. SCHG - Volatility Comparison

Weatherford International plc (WFRD) has a higher volatility of 11.59% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.01%. This indicates that WFRD's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
11.59%
5.01%
WFRD
SCHG
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