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^SP600 vs. ^XLHK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and ^XLHK is 0.16, 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.


Performance

^SP600 vs. ^XLHK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^SP600:

-0.06

^XLHK:

0.01

Sortino Ratio

^SP600:

0.09

^XLHK:

0.23

Omega Ratio

^SP600:

1.01

^XLHK:

1.03

Calmar Ratio

^SP600:

-0.05

^XLHK:

0.03

Martin Ratio

^SP600:

-0.13

^XLHK:

0.10

Ulcer Index

^SP600:

10.03%

^XLHK:

12.82%

Daily Std Dev

^SP600:

24.09%

^XLHK:

21.19%

Max Drawdown

^SP600:

-59.17%

^XLHK:

-68.02%

Current Drawdown

^SP600:

-14.39%

^XLHK:

-39.42%

Returns By Period

In the year-to-date period, ^SP600 achieves a -6.09% return, which is significantly lower than ^XLHK's 8.02% return. Over the past 10 years, ^SP600 has outperformed ^XLHK with an annualized return of 6.26%, while ^XLHK has yielded a comparatively lower -3.05% annualized return.


^SP600

YTD

-6.09%

1M

13.75%

6M

-9.61%

1Y

-1.37%

5Y*

13.20%

10Y*

6.26%

^XLHK

YTD

8.02%

1M

12.46%

6M

7.80%

1Y

0.22%

5Y*

-4.48%

10Y*

-3.05%

*Annualized

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Risk-Adjusted Performance

^SP600 vs. ^XLHK — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SP600
The Risk-Adjusted Performance Rank of ^SP600 is 2222
Overall Rank
The Sharpe Ratio Rank of ^SP600 is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP600 is 2222
Sortino Ratio Rank
The Omega Ratio Rank of ^SP600 is 2222
Omega Ratio Rank
The Calmar Ratio Rank of ^SP600 is 2121
Calmar Ratio Rank
The Martin Ratio Rank of ^SP600 is 2222
Martin Ratio Rank

^XLHK
The Risk-Adjusted Performance Rank of ^XLHK is 2525
Overall Rank
The Sharpe Ratio Rank of ^XLHK is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XLHK is 2525
Sortino Ratio Rank
The Omega Ratio Rank of ^XLHK is 2525
Omega Ratio Rank
The Calmar Ratio Rank of ^XLHK is 2525
Calmar Ratio Rank
The Martin Ratio Rank of ^XLHK is 2525
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SP600 vs. ^XLHK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK). 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 current ^SP600 Sharpe Ratio is -0.06, which is lower than the ^XLHK Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of ^SP600 and ^XLHK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^SP600 vs. ^XLHK - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum ^XLHK drawdown of -68.02%. Use the drawdown chart below to compare losses from any high point for ^SP600 and ^XLHK. For additional features, visit the drawdowns tool.


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Volatility

^SP600 vs. ^XLHK - Volatility Comparison

S&P 600 (^SP600) has a higher volatility of 6.11% compared to Dow Jones Hong Kong Titans 30 Index (^XLHK) at 3.70%. This indicates that ^SP600's price experiences larger fluctuations and is considered to be riskier than ^XLHK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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