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

Correlation

The correlation between ^XLHK and VOO is 0.18, 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

^XLHK vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Hong Kong Titans 30 Index (^XLHK) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-13.64%
602.93%
^XLHK
VOO

Key characteristics

Sharpe Ratio

^XLHK:

0.02

VOO:

2.25

Sortino Ratio

^XLHK:

0.17

VOO:

2.98

Omega Ratio

^XLHK:

1.02

VOO:

1.42

Calmar Ratio

^XLHK:

0.01

VOO:

3.31

Martin Ratio

^XLHK:

0.04

VOO:

14.77

Ulcer Index

^XLHK:

9.72%

VOO:

1.90%

Daily Std Dev

^XLHK:

20.07%

VOO:

12.46%

Max Drawdown

^XLHK:

-68.02%

VOO:

-33.99%

Current Drawdown

^XLHK:

-44.91%

VOO:

-2.47%

Returns By Period

In the year-to-date period, ^XLHK achieves a -7.14% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, ^XLHK has underperformed VOO with an annualized return of -2.40%, while VOO has yielded a comparatively higher 13.08% annualized return.


^XLHK

YTD

-7.14%

1M

-2.53%

6M

2.95%

1Y

-4.63%

5Y*

-8.29%

10Y*

-2.40%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

^XLHK vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Hong Kong Titans 30 Index (^XLHK) and Vanguard S&P 500 ETF (VOO). 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 ^XLHK, currently valued at 0.05, compared to the broader market0.001.002.000.051.92
The chart of Sortino ratio for ^XLHK, currently valued at 0.21, compared to the broader market-1.000.001.002.003.000.212.58
The chart of Omega ratio for ^XLHK, currently valued at 1.03, compared to the broader market0.901.001.101.201.301.401.031.38
The chart of Calmar ratio for ^XLHK, currently valued at 0.02, compared to the broader market0.001.002.003.000.022.77
The chart of Martin ratio for ^XLHK, currently valued at 0.10, compared to the broader market0.005.0010.0015.0020.000.1012.35
^XLHK
VOO

The current ^XLHK Sharpe Ratio is 0.02, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ^XLHK and VOO, 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
0.05
1.92
^XLHK
VOO

Drawdowns

^XLHK vs. VOO - Drawdown Comparison

The maximum ^XLHK drawdown since its inception was -68.02%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^XLHK and VOO. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-44.99%
-2.47%
^XLHK
VOO

Volatility

^XLHK vs. VOO - Volatility Comparison

Dow Jones Hong Kong Titans 30 Index (^XLHK) has a higher volatility of 4.75% compared to Vanguard S&P 500 ETF (VOO) at 3.62%. This indicates that ^XLHK's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.75%
3.62%
^XLHK
VOO
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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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