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EH vs. ^DJI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EH and ^DJI is 0.29, 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

EH vs. ^DJI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ehang Holdings Ltd (EH) and Dow Jones Industrial Average (^DJI). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
20.18%
52.28%
EH
^DJI

Key characteristics

Sharpe Ratio

EH:

-0.06

^DJI:

1.37

Sortino Ratio

EH:

0.54

^DJI:

1.99

Omega Ratio

EH:

1.06

^DJI:

1.26

Calmar Ratio

EH:

-0.05

^DJI:

2.56

Martin Ratio

EH:

-0.17

^DJI:

7.31

Ulcer Index

EH:

28.30%

^DJI:

2.12%

Daily Std Dev

EH:

82.59%

^DJI:

11.30%

Max Drawdown

EH:

-97.07%

^DJI:

-53.78%

Current Drawdown

EH:

-87.90%

^DJI:

-4.83%

Returns By Period

In the year-to-date period, EH achieves a -10.65% return, which is significantly lower than ^DJI's 13.67% return.


EH

YTD

-10.65%

1M

-1.77%

6M

4.60%

1Y

-7.35%

5Y*

8.48%

10Y*

N/A

^DJI

YTD

13.67%

1M

-1.31%

6M

9.43%

1Y

14.53%

5Y*

8.54%

10Y*

9.07%

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Risk-Adjusted Performance

EH vs. ^DJI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ehang Holdings Ltd (EH) and Dow Jones Industrial Average (^DJI). 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 EH, currently valued at -0.06, compared to the broader market-4.00-2.000.002.00-0.061.37
The chart of Sortino ratio for EH, currently valued at 0.54, compared to the broader market-4.00-2.000.002.004.000.541.99
The chart of Omega ratio for EH, currently valued at 1.06, compared to the broader market0.501.001.502.001.061.26
The chart of Calmar ratio for EH, currently valued at -0.05, compared to the broader market0.002.004.006.00-0.052.56
The chart of Martin ratio for EH, currently valued at -0.17, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.177.31
EH
^DJI

The current EH Sharpe Ratio is -0.06, which is lower than the ^DJI Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of EH and ^DJI, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.06
1.37
EH
^DJI

Drawdowns

EH vs. ^DJI - Drawdown Comparison

The maximum EH drawdown since its inception was -97.07%, which is greater than ^DJI's maximum drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for EH and ^DJI. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-87.90%
-4.83%
EH
^DJI

Volatility

EH vs. ^DJI - Volatility Comparison

Ehang Holdings Ltd (EH) has a higher volatility of 23.72% compared to Dow Jones Industrial Average (^DJI) at 3.80%. This indicates that EH's price experiences larger fluctuations and is considered to be riskier than ^DJI 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%JulyAugustSeptemberOctoberNovemberDecember
23.72%
3.80%
EH
^DJI
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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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