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0363.HK vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


0363.HKSPY
YTD Return35.70%23.55%
1Y Return35.70%41.88%
3Y Return (Ann)10.76%9.84%
5Y Return (Ann)4.82%15.74%
10Y Return (Ann)0.41%13.19%
Sharpe Ratio1.113.62
Sortino Ratio1.774.77
Omega Ratio1.221.68
Calmar Ratio0.624.11
Martin Ratio5.9123.79
Ulcer Index5.58%1.83%
Daily Std Dev29.81%12.04%
Max Drawdown-82.18%-55.19%
Current Drawdown-32.45%-0.48%

Correlation

-0.50.00.51.00.1

The correlation between 0363.HK and SPY is 0.10, 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

0363.HK vs. SPY - Performance Comparison

In the year-to-date period, 0363.HK achieves a 35.70% return, which is significantly higher than SPY's 23.55% return. Over the past 10 years, 0363.HK has underperformed SPY with an annualized return of 0.41%, while SPY has yielded a comparatively higher 13.19% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%MayJuneJulyAugustSeptemberOctober
20.60%
16.62%
0363.HK
SPY

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Risk-Adjusted Performance

0363.HK vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Shanghai Industrial Holdings Ltd (0363.HK) and SPDR S&P 500 ETF (SPY). 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.


0363.HK
Sharpe ratio
The chart of Sharpe ratio for 0363.HK, currently valued at 1.20, compared to the broader market-4.00-2.000.002.004.001.20
Sortino ratio
The chart of Sortino ratio for 0363.HK, currently valued at 1.89, compared to the broader market-4.00-2.000.002.004.006.001.89
Omega ratio
The chart of Omega ratio for 0363.HK, currently valued at 1.24, compared to the broader market0.501.001.502.001.24
Calmar ratio
The chart of Calmar ratio for 0363.HK, currently valued at 0.65, compared to the broader market0.002.004.006.000.65
Martin ratio
The chart of Martin ratio for 0363.HK, currently valued at 6.19, compared to the broader market-10.000.0010.0020.0030.006.19
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.96, compared to the broader market-4.00-2.000.002.004.002.96
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.97, compared to the broader market-4.00-2.000.002.004.006.003.97
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.57, compared to the broader market0.501.001.502.001.57
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.16, compared to the broader market0.002.004.006.004.16
Martin ratio
The chart of Martin ratio for SPY, currently valued at 19.08, compared to the broader market-10.000.0010.0020.0030.0019.08

0363.HK vs. SPY - Sharpe Ratio Comparison

The current 0363.HK Sharpe Ratio is 1.11, which is lower than the SPY Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of 0363.HK and SPY, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.20
2.96
0363.HK
SPY

Dividends

0363.HK vs. SPY - Dividend Comparison

0363.HK's dividend yield for the trailing twelve months is around 7.77%, more than SPY's 1.20% yield.


TTM20232022202120202019201820172016201520142013
0363.HK
Shanghai Industrial Holdings Ltd
7.77%9.49%9.95%8.80%6.91%6.75%6.06%4.11%3.86%3.98%3.87%3.53%
SPY
SPDR S&P 500 ETF
1.20%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

0363.HK vs. SPY - Drawdown Comparison

The maximum 0363.HK drawdown since its inception was -82.18%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for 0363.HK and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-32.60%
-0.48%
0363.HK
SPY

Volatility

0363.HK vs. SPY - Volatility Comparison

Shanghai Industrial Holdings Ltd (0363.HK) has a higher volatility of 15.63% compared to SPDR S&P 500 ETF (SPY) at 2.67%. This indicates that 0363.HK's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
15.63%
2.67%
0363.HK
SPY