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FRHC vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FRHC and VYM is 0.35, 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.


-0.50.00.51.00.4

Performance

FRHC vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Freedom Holding Corp. (FRHC) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
57.19%
7.41%
FRHC
VYM

Key characteristics

Sharpe Ratio

FRHC:

2.08

VYM:

1.62

Sortino Ratio

FRHC:

2.85

VYM:

2.29

Omega Ratio

FRHC:

1.36

VYM:

1.29

Calmar Ratio

FRHC:

1.74

VYM:

3.13

Martin Ratio

FRHC:

6.32

VYM:

10.12

Ulcer Index

FRHC:

9.69%

VYM:

1.74%

Daily Std Dev

FRHC:

29.36%

VYM:

10.86%

Max Drawdown

FRHC:

-45.93%

VYM:

-56.98%

Current Drawdown

FRHC:

-4.75%

VYM:

-5.62%

Returns By Period

In the year-to-date period, FRHC achieves a 57.82% return, which is significantly higher than VYM's 16.32% return.


FRHC

YTD

57.82%

1M

8.72%

6M

57.19%

1Y

61.16%

5Y*

54.23%

10Y*

N/A

VYM

YTD

16.32%

1M

-3.19%

6M

7.77%

1Y

16.71%

5Y*

9.55%

10Y*

9.61%

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Risk-Adjusted Performance

FRHC vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Freedom Holding Corp. (FRHC) and Vanguard High Dividend Yield ETF (VYM). 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 FRHC, currently valued at 2.08, compared to the broader market-4.00-2.000.002.002.081.54
The chart of Sortino ratio for FRHC, currently valued at 2.85, compared to the broader market-4.00-2.000.002.004.002.852.19
The chart of Omega ratio for FRHC, currently valued at 1.36, compared to the broader market0.501.001.502.001.361.28
The chart of Calmar ratio for FRHC, currently valued at 1.74, compared to the broader market0.002.004.006.001.742.97
The chart of Martin ratio for FRHC, currently valued at 6.32, compared to the broader market0.0010.0020.006.329.45
FRHC
VYM

The current FRHC Sharpe Ratio is 2.08, which is comparable to the VYM Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of FRHC and VYM, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
2.08
1.54
FRHC
VYM

Dividends

FRHC vs. VYM - Dividend Comparison

FRHC has not paid dividends to shareholders, while VYM's dividend yield for the trailing twelve months is around 1.99%.


TTM20232022202120202019201820172016201520142013
FRHC
Freedom Holding 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%
VYM
Vanguard High Dividend Yield ETF
1.99%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

FRHC vs. VYM - Drawdown Comparison

The maximum FRHC drawdown since its inception was -45.93%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for FRHC and VYM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.75%
-5.62%
FRHC
VYM

Volatility

FRHC vs. VYM - Volatility Comparison

Freedom Holding Corp. (FRHC) has a higher volatility of 9.98% compared to Vanguard High Dividend Yield ETF (VYM) at 3.75%. This indicates that FRHC's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
9.98%
3.75%
FRHC
VYM
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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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