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3993.HK vs. ^HSI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


3993.HK^HSI
YTD Return72.50%4.28%
1Y Return60.82%-6.52%
3Y Return (Ann)11.78%-14.37%
5Y Return (Ann)27.85%-9.38%
10Y Return (Ann)19.53%-2.80%
Sharpe Ratio1.81-0.14
Daily Std Dev40.19%22.40%
Max Drawdown-92.43%-91.54%
Current Drawdown-11.68%-46.38%

Correlation

-0.50.00.51.00.6

The correlation between 3993.HK and ^HSI is 0.57, 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 72.50% return, which is significantly higher than ^HSI's 4.28% return. Over the past 10 years, 3993.HK has outperformed ^HSI with an annualized return of 19.53%, while ^HSI has yielded a comparatively lower -2.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-50.00%0.00%50.00%100.00%150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
230.91%
-13.85%
3993.HK
^HSI

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CMOC Group Ltd

Hang Seng Index

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.


3993.HK
Sharpe ratio
The chart of Sharpe ratio for 3993.HK, currently valued at 1.89, compared to the broader market-2.00-1.000.001.002.003.001.89
Sortino ratio
The chart of Sortino ratio for 3993.HK, currently valued at 2.57, compared to the broader market-4.00-2.000.002.004.002.57
Omega ratio
The chart of Omega ratio for 3993.HK, currently valued at 1.30, compared to the broader market0.501.001.502.001.30
Calmar ratio
The chart of Calmar ratio for 3993.HK, currently valued at 1.73, compared to the broader market0.002.004.006.001.73
Martin ratio
The chart of Martin ratio for 3993.HK, currently valued at 5.63, compared to the broader market-5.000.005.0010.0015.0020.0025.005.63
^HSI
Sharpe ratio
The chart of Sharpe ratio for ^HSI, currently valued at -0.13, compared to the broader market-2.00-1.000.001.002.003.00-0.13
Sortino ratio
The chart of Sortino ratio for ^HSI, currently valued at -0.03, compared to the broader market-4.00-2.000.002.004.00-0.03
Omega ratio
The chart of Omega ratio for ^HSI, currently valued at 1.00, compared to the broader market0.501.001.502.001.00
Calmar ratio
The chart of Calmar ratio for ^HSI, currently valued at -0.05, compared to the broader market0.002.004.006.00-0.05
Martin ratio
The chart of Martin ratio for ^HSI, currently valued at -0.21, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.21

3993.HK vs. ^HSI - Sharpe Ratio Comparison

The current 3993.HK Sharpe Ratio is 1.81, which is higher than the ^HSI Sharpe Ratio of -0.14. The chart below compares the 12-month rolling Sharpe Ratio of 3993.HK and ^HSI.


Rolling 12-month Sharpe Ratio-1.000.001.002.00FebruaryMarchAprilMayJuneJuly
1.89
-0.13
3993.HK
^HSI

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%FebruaryMarchAprilMayJuneJuly
-11.61%
-46.30%
3993.HK
^HSI

Volatility

3993.HK vs. ^HSI - Volatility Comparison

CMOC Group Ltd (3993.HK) has a higher volatility of 12.77% compared to Hang Seng Index (^HSI) at 6.27%. 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.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%FebruaryMarchAprilMayJuneJuly
12.77%
6.27%
3993.HK
^HSI