PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GICIX vs. HSCZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GICIX and HSCZ is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

GICIX vs. HSCZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs International Small Cap Insights Fund (GICIX) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
42.86%
111.08%
GICIX
HSCZ

Key characteristics

Sharpe Ratio

GICIX:

0.17

HSCZ:

1.11

Sortino Ratio

GICIX:

0.32

HSCZ:

1.52

Omega Ratio

GICIX:

1.04

HSCZ:

1.21

Calmar Ratio

GICIX:

0.18

HSCZ:

1.30

Martin Ratio

GICIX:

0.69

HSCZ:

6.14

Ulcer Index

GICIX:

3.70%

HSCZ:

2.08%

Daily Std Dev

GICIX:

14.61%

HSCZ:

11.55%

Max Drawdown

GICIX:

-61.70%

HSCZ:

-34.89%

Current Drawdown

GICIX:

-14.02%

HSCZ:

-2.79%

Returns By Period

In the year-to-date period, GICIX achieves a -0.25% return, which is significantly lower than HSCZ's 10.90% return.


GICIX

YTD

-0.25%

1M

-5.67%

6M

-4.63%

1Y

1.00%

5Y*

2.79%

10Y*

4.68%

HSCZ

YTD

10.90%

1M

0.22%

6M

2.31%

1Y

11.98%

5Y*

7.60%

10Y*

N/A

Compare stocks, funds, or ETFs

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


GICIX vs. HSCZ - Expense Ratio Comparison

GICIX has a 0.87% expense ratio, which is higher than HSCZ's 0.43% expense ratio.


GICIX
Goldman Sachs International Small Cap Insights Fund
Expense ratio chart for GICIX: current value at 0.87% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.87%
Expense ratio chart for HSCZ: current value at 0.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.43%

Risk-Adjusted Performance

GICIX vs. HSCZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs International Small Cap Insights Fund (GICIX) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ). 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 GICIX, currently valued at 0.17, compared to the broader market-1.000.001.002.003.004.000.171.11
The chart of Sortino ratio for GICIX, currently valued at 0.32, compared to the broader market-2.000.002.004.006.008.0010.000.321.52
The chart of Omega ratio for GICIX, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.003.501.041.21
The chart of Calmar ratio for GICIX, currently valued at 0.18, compared to the broader market0.002.004.006.008.0010.0012.0014.000.181.30
The chart of Martin ratio for GICIX, currently valued at 0.69, compared to the broader market0.0020.0040.0060.000.696.14
GICIX
HSCZ

The current GICIX Sharpe Ratio is 0.17, which is lower than the HSCZ Sharpe Ratio of 1.11. The chart below compares the historical Sharpe Ratios of GICIX and HSCZ, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.17
1.11
GICIX
HSCZ

Dividends

GICIX vs. HSCZ - Dividend Comparison

GICIX has not paid dividends to shareholders, while HSCZ's dividend yield for the trailing twelve months is around 4.59%.


TTM20232022202120202019201820172016201520142013
GICIX
Goldman Sachs International Small Cap Insights Fund
0.00%3.04%3.10%3.39%1.87%3.47%1.69%1.77%2.79%1.68%2.10%3.25%
HSCZ
iShares Currency Hedged MSCI EAFE Small Cap ETF
3.32%2.98%26.91%2.90%1.46%4.51%6.15%2.52%2.57%1.75%0.00%0.00%

Drawdowns

GICIX vs. HSCZ - Drawdown Comparison

The maximum GICIX drawdown since its inception was -61.70%, which is greater than HSCZ's maximum drawdown of -34.89%. Use the drawdown chart below to compare losses from any high point for GICIX and HSCZ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.02%
-2.79%
GICIX
HSCZ

Volatility

GICIX vs. HSCZ - Volatility Comparison

Goldman Sachs International Small Cap Insights Fund (GICIX) has a higher volatility of 6.35% compared to iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) at 2.73%. This indicates that GICIX's price experiences larger fluctuations and is considered to be riskier than HSCZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
6.35%
2.73%
GICIX
HSCZ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab