0941.HK vs. ^GSPC
Compare and contrast key facts about China Mobile Ltd (0941.HK) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: 0941.HK or ^GSPC.
Key characteristics
| 0941.HK | ^GSPC | |
|---|---|---|
| YTD Return | 21.28% | 22.49% |
| 1Y Return | 20.53% | 33.60% |
| 3Y Return (Ann) | 24.47% | 9.35% |
| 5Y Return (Ann) | 9.85% | 14.41% |
| 10Y Return (Ann) | 3.23% | 11.99% |
| Sharpe Ratio | 1.20 | 2.69 |
| Sortino Ratio | 1.82 | 3.59 |
| Omega Ratio | 1.23 | 1.49 |
| Calmar Ratio | 1.12 | 2.37 |
| Martin Ratio | 5.97 | 16.43 |
| Ulcer Index | 3.74% | 2.04% |
| Daily Std Dev | 18.91% | 12.50% |
| Max Drawdown | -80.80% | -56.78% |
| Current Drawdown | -4.98% | -0.30% |
Correlation
The correlation between 0941.HK and ^GSPC is 0.11, 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
0941.HK vs. ^GSPC - Performance Comparison
In the year-to-date period, 0941.HK achieves a 21.28% return, which is significantly lower than ^GSPC's 22.49% return. Over the past 10 years, 0941.HK has underperformed ^GSPC with an annualized return of 3.23%, while ^GSPC has yielded a comparatively higher 11.99% 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
0941.HK vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for China Mobile Ltd (0941.HK) and S&P 500 (^GSPC). 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
0941.HK vs. ^GSPC - Drawdown Comparison
The maximum 0941.HK drawdown since its inception was -80.80%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for 0941.HK and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
0941.HK vs. ^GSPC - Volatility Comparison
China Mobile Ltd (0941.HK) has a higher volatility of 9.92% compared to S&P 500 (^GSPC) at 3.03%. This indicates that 0941.HK's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.