^W1DOW vs. SCHX
Compare and contrast key facts about Dow Jones Global Index (^W1DOW) and Schwab U.S. Large-Cap ETF (SCHX).
SCHX is a passively managed fund by Charles Schwab that tracks the performance of the Dow Jones U.S. Large-Cap Total Stock Market Index. It was launched on Nov 3, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^W1DOW or SCHX.
Key characteristics
^W1DOW | SCHX | |
---|---|---|
YTD Return | 16.63% | 24.48% |
1Y Return | 32.22% | 42.87% |
3Y Return (Ann) | 4.03% | 10.97% |
5Y Return (Ann) | 8.74% | 18.14% |
10Y Return (Ann) | 6.35% | 15.67% |
Sharpe Ratio | 2.95 | 3.29 |
Sortino Ratio | 3.91 | 4.33 |
Omega Ratio | 1.57 | 1.60 |
Calmar Ratio | 2.16 | 3.51 |
Martin Ratio | 17.32 | 21.68 |
Ulcer Index | 1.71% | 1.89% |
Daily Std Dev | 10.23% | 12.44% |
Max Drawdown | -59.33% | -34.33% |
Current Drawdown | -0.42% | -0.17% |
Correlation
The correlation between ^W1DOW and SCHX is 0.86, 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
^W1DOW vs. SCHX - Performance Comparison
In the year-to-date period, ^W1DOW achieves a 16.63% return, which is significantly lower than SCHX's 24.48% return. Over the past 10 years, ^W1DOW has underperformed SCHX with an annualized return of 6.35%, while SCHX has yielded a comparatively higher 15.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^W1DOW vs. SCHX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Global Index (^W1DOW) and Schwab U.S. Large-Cap ETF (SCHX). 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.
Drawdowns
^W1DOW vs. SCHX - Drawdown Comparison
The maximum ^W1DOW drawdown since its inception was -59.33%, which is greater than SCHX's maximum drawdown of -34.33%. Use the drawdown chart below to compare losses from any high point for ^W1DOW and SCHX. For additional features, visit the drawdowns tool.
Volatility
^W1DOW vs. SCHX - Volatility Comparison
The current volatility for Dow Jones Global Index (^W1DOW) is 2.00%, while Schwab U.S. Large-Cap ETF (SCHX) has a volatility of 2.51%. This indicates that ^W1DOW experiences smaller price fluctuations and is considered to be less risky than SCHX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.