^XLHK vs. ^SP600
Compare and contrast key facts about Dow Jones Hong Kong Titans 30 Index (^XLHK) and S&P 600 (^SP600).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XLHK or ^SP600.
Key characteristics
| ^XLHK | ^SP600 | |
|---|---|---|
| YTD Return | -0.11% | 7.91% |
| 1Y Return | 4.60% | 25.60% |
| 3Y Return (Ann) | -9.66% | 1.42% |
| 5Y Return (Ann) | -6.68% | 8.31% |
| 10Y Return (Ann) | -2.03% | 8.60% |
| Sharpe Ratio | 0.18 | 1.38 |
| Sortino Ratio | 0.40 | 2.06 |
| Omega Ratio | 1.05 | 1.24 |
| Calmar Ratio | 0.08 | 1.03 |
| Martin Ratio | 0.43 | 7.48 |
| Ulcer Index | 8.56% | 3.72% |
| Daily Std Dev | 20.93% | 20.20% |
| Max Drawdown | -68.02% | -59.17% |
| Current Drawdown | -40.74% | -2.97% |
Correlation
The correlation between ^XLHK and ^SP600 is 0.15, 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
^XLHK vs. ^SP600 - Performance Comparison
In the year-to-date period, ^XLHK achieves a -0.11% return, which is significantly lower than ^SP600's 7.91% return. Over the past 10 years, ^XLHK has underperformed ^SP600 with an annualized return of -2.03%, while ^SP600 has yielded a comparatively higher 8.60% 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
^XLHK vs. ^SP600 - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Hong Kong Titans 30 Index (^XLHK) and S&P 600 (^SP600). 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
^XLHK vs. ^SP600 - Drawdown Comparison
The maximum ^XLHK drawdown since its inception was -68.02%, which is greater than ^SP600's maximum drawdown of -59.17%. Use the drawdown chart below to compare losses from any high point for ^XLHK and ^SP600. For additional features, visit the drawdowns tool.
Volatility
^XLHK vs. ^SP600 - Volatility Comparison
Dow Jones Hong Kong Titans 30 Index (^XLHK) has a higher volatility of 11.78% compared to S&P 600 (^SP600) at 4.36%. This indicates that ^XLHK's price experiences larger fluctuations and is considered to be riskier than ^SP600 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.