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36BZ.DE vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between 36BZ.DE and ^GSPC is 0.31, 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.


-0.50.00.51.00.3

Performance

36BZ.DE vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI China A UCITS ETF (36BZ.DE) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
13.32%
8.53%
36BZ.DE
^GSPC

Key characteristics

Sharpe Ratio

36BZ.DE:

0.69

^GSPC:

2.10

Sortino Ratio

36BZ.DE:

1.23

^GSPC:

2.80

Omega Ratio

36BZ.DE:

1.17

^GSPC:

1.39

Calmar Ratio

36BZ.DE:

0.45

^GSPC:

3.09

Martin Ratio

36BZ.DE:

2.17

^GSPC:

13.49

Ulcer Index

36BZ.DE:

9.04%

^GSPC:

1.94%

Daily Std Dev

36BZ.DE:

28.59%

^GSPC:

12.52%

Max Drawdown

36BZ.DE:

-53.30%

^GSPC:

-56.78%

Current Drawdown

36BZ.DE:

-26.22%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, 36BZ.DE achieves a 19.19% return, which is significantly lower than ^GSPC's 24.34% return.


36BZ.DE

YTD

19.19%

1M

-0.23%

6M

16.17%

1Y

21.59%

5Y*

2.58%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

36BZ.DE vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI China A UCITS ETF (36BZ.DE) 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.


Sharpe ratio
The chart of Sharpe ratio for 36BZ.DE, currently valued at 0.48, compared to the broader market0.002.004.000.482.01
The chart of Sortino ratio for 36BZ.DE, currently valued at 0.94, compared to the broader market-2.000.002.004.006.008.0010.000.942.69
The chart of Omega ratio for 36BZ.DE, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.38
The chart of Calmar ratio for 36BZ.DE, currently valued at 0.29, compared to the broader market0.005.0010.0015.000.292.95
The chart of Martin ratio for 36BZ.DE, currently valued at 1.48, compared to the broader market0.0020.0040.0060.0080.00100.001.4812.95
36BZ.DE
^GSPC

The current 36BZ.DE Sharpe Ratio is 0.69, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of 36BZ.DE and ^GSPC, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.48
2.01
36BZ.DE
^GSPC

Drawdowns

36BZ.DE vs. ^GSPC - Drawdown Comparison

The maximum 36BZ.DE drawdown since its inception was -53.30%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for 36BZ.DE and ^GSPC. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-36.11%
-2.62%
36BZ.DE
^GSPC

Volatility

36BZ.DE vs. ^GSPC - Volatility Comparison

iShares MSCI China A UCITS ETF (36BZ.DE) has a higher volatility of 10.86% compared to S&P 500 (^GSPC) at 3.75%. This indicates that 36BZ.DE'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.86%
3.75%
36BZ.DE
^GSPC
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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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