3993.HK vs. ^HSI
Compare and contrast key facts about CMOC Group Ltd (3993.HK) and Hang Seng Index (^HSI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: 3993.HK or ^HSI.
Key characteristics
| 3993.HK | ^HSI | |
|---|---|---|
| YTD Return | 69.62% | 22.04% |
| 1Y Return | 57.11% | 20.28% |
| 3Y Return (Ann) | 12.12% | -7.08% |
| 5Y Return (Ann) | 25.92% | -5.00% |
| 10Y Return (Ann) | 19.91% | -1.06% |
| Sharpe Ratio | 1.00 | 0.73 |
| Sortino Ratio | 1.54 | 1.18 |
| Omega Ratio | 1.19 | 1.15 |
| Calmar Ratio | 1.04 | 0.34 |
| Martin Ratio | 3.05 | 2.07 |
| Ulcer Index | 14.81% | 9.08% |
| Daily Std Dev | 45.63% | 25.89% |
| Max Drawdown | -92.43% | -91.54% |
| Current Drawdown | -14.61% | -37.25% |
Correlation
The correlation between 3993.HK and ^HSI is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
3993.HK vs. ^HSI - Performance Comparison
In the year-to-date period, 3993.HK achieves a 69.62% return, which is significantly higher than ^HSI's 22.04% return. Over the past 10 years, 3993.HK has outperformed ^HSI with an annualized return of 19.91%, while ^HSI has yielded a comparatively lower -1.06% 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
3993.HK vs. ^HSI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CMOC Group Ltd (3993.HK) and Hang Seng Index (^HSI). 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
3993.HK vs. ^HSI - Drawdown Comparison
The maximum 3993.HK drawdown since its inception was -92.43%, roughly equal to the maximum ^HSI drawdown of -91.54%. Use the drawdown chart below to compare losses from any high point for 3993.HK and ^HSI. For additional features, visit the drawdowns tool.
Volatility
3993.HK vs. ^HSI - Volatility Comparison
CMOC Group Ltd (3993.HK) has a higher volatility of 20.45% compared to Hang Seng Index (^HSI) at 15.72%. This indicates that 3993.HK's price experiences larger fluctuations and is considered to be riskier than ^HSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.