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^SPXHC vs. VHT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SPXHC and VHT is 0.98, 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

^SPXHC vs. VHT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Health Care Index (^SPXHC) and Vanguard Health Care ETF (VHT). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-4.42%
-2.79%
^SPXHC
VHT

Key characteristics

Sharpe Ratio

^SPXHC:

0.30

VHT:

0.45

Sortino Ratio

^SPXHC:

0.48

VHT:

0.68

Omega Ratio

^SPXHC:

1.06

VHT:

1.08

Calmar Ratio

^SPXHC:

0.24

VHT:

0.41

Martin Ratio

^SPXHC:

0.80

VHT:

1.35

Ulcer Index

^SPXHC:

4.04%

VHT:

3.68%

Daily Std Dev

^SPXHC:

10.85%

VHT:

11.16%

Max Drawdown

^SPXHC:

-40.78%

VHT:

-39.12%

Current Drawdown

^SPXHC:

-11.11%

VHT:

-10.09%

Returns By Period

In the year-to-date period, ^SPXHC achieves a 2.26% return, which is significantly lower than VHT's 4.01% return. Over the past 10 years, ^SPXHC has underperformed VHT with an annualized return of 7.36%, while VHT has yielded a comparatively higher 8.88% annualized return.


^SPXHC

YTD

2.26%

1M

-3.11%

6M

-4.93%

1Y

3.24%

5Y*

6.43%

10Y*

7.36%

VHT

YTD

4.01%

1M

-2.96%

6M

-3.23%

1Y

4.98%

5Y*

7.42%

10Y*

8.88%

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

^SPXHC vs. VHT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Health Care Index (^SPXHC) and Vanguard Health Care ETF (VHT). 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 ^SPXHC, currently valued at 0.30, compared to the broader market-0.500.000.501.001.502.002.500.300.45
The chart of Sortino ratio for ^SPXHC, currently valued at 0.48, compared to the broader market-1.000.001.002.003.000.480.68
The chart of Omega ratio for ^SPXHC, currently valued at 1.06, compared to the broader market0.901.001.101.201.301.401.061.08
The chart of Calmar ratio for ^SPXHC, currently valued at 0.24, compared to the broader market0.001.002.003.000.240.41
The chart of Martin ratio for ^SPXHC, currently valued at 0.80, compared to the broader market0.005.0010.0015.000.801.35
^SPXHC
VHT

The current ^SPXHC Sharpe Ratio is 0.30, which is lower than the VHT Sharpe Ratio of 0.45. The chart below compares the historical Sharpe Ratios of ^SPXHC and VHT, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.30
0.45
^SPXHC
VHT

Drawdowns

^SPXHC vs. VHT - Drawdown Comparison

The maximum ^SPXHC drawdown since its inception was -40.78%, roughly equal to the maximum VHT drawdown of -39.12%. Use the drawdown chart below to compare losses from any high point for ^SPXHC and VHT. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.11%
-10.09%
^SPXHC
VHT

Volatility

^SPXHC vs. VHT - Volatility Comparison

S&P 500 Health Care Index (^SPXHC) and Vanguard Health Care ETF (VHT) have volatilities of 3.53% and 3.56%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.53%
3.56%
^SPXHC
VHT
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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.

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