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0981.HK vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


0981.HKQQQ
YTD Return48.54%26.02%
1Y Return35.32%36.73%
3Y Return (Ann)9.55%9.97%
5Y Return (Ann)23.98%21.44%
10Y Return (Ann)13.48%18.42%
Sharpe Ratio0.372.28
Sortino Ratio1.122.98
Omega Ratio1.141.41
Calmar Ratio0.342.94
Martin Ratio0.7710.71
Ulcer Index29.64%3.72%
Daily Std Dev62.66%17.35%
Max Drawdown-95.27%-82.98%
Current Drawdown-29.68%-0.06%

Correlation

-0.50.00.51.00.1

The correlation between 0981.HK and QQQ is 0.08, 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

0981.HK vs. QQQ - Performance Comparison

In the year-to-date period, 0981.HK achieves a 48.54% return, which is significantly higher than QQQ's 26.02% return. Over the past 10 years, 0981.HK has underperformed QQQ with an annualized return of 13.48%, while QQQ has yielded a comparatively higher 18.42% 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%20.00%40.00%60.00%80.00%100.00%JuneJulyAugustSeptemberOctoberNovember
80.71%
16.32%
0981.HK
QQQ

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Risk-Adjusted Performance

0981.HK vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Semiconductor Manufacturing International Corp (0981.HK) and Invesco QQQ (QQQ). 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.


0981.HK
Sharpe ratio
The chart of Sharpe ratio for 0981.HK, currently valued at 0.52, compared to the broader market-4.00-2.000.002.004.000.52
Sortino ratio
The chart of Sortino ratio for 0981.HK, currently valued at 1.34, compared to the broader market-4.00-2.000.002.004.006.001.34
Omega ratio
The chart of Omega ratio for 0981.HK, currently valued at 1.17, compared to the broader market0.501.001.502.001.17
Calmar ratio
The chart of Calmar ratio for 0981.HK, currently valued at 0.48, compared to the broader market0.002.004.006.000.48
Martin ratio
The chart of Martin ratio for 0981.HK, currently valued at 1.23, compared to the broader market0.0010.0020.0030.001.23
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 1.89, compared to the broader market-4.00-2.000.002.004.001.89
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.52, compared to the broader market-4.00-2.000.002.004.006.002.52
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.35, compared to the broader market0.501.001.502.001.35
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 8.68, compared to the broader market0.0010.0020.0030.008.68

0981.HK vs. QQQ - Sharpe Ratio Comparison

The current 0981.HK Sharpe Ratio is 0.37, which is lower than the QQQ Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of 0981.HK and QQQ, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.52
1.89
0981.HK
QQQ

Dividends

0981.HK vs. QQQ - Dividend Comparison

0981.HK has not paid dividends to shareholders, while QQQ's dividend yield for the trailing twelve months is around 0.59%.


TTM20232022202120202019201820172016201520142013
0981.HK
Semiconductor Manufacturing International Corp
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

0981.HK vs. QQQ - Drawdown Comparison

The maximum 0981.HK drawdown since its inception was -95.27%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for 0981.HK and QQQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-29.90%
-0.06%
0981.HK
QQQ

Volatility

0981.HK vs. QQQ - Volatility Comparison

Semiconductor Manufacturing International Corp (0981.HK) has a higher volatility of 21.18% compared to Invesco QQQ (QQQ) at 5.18%. This indicates that 0981.HK's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
21.18%
5.18%
0981.HK
QQQ