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HDB vs. NASDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HDB and NASDX is 0.41, 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.


-0.50.00.51.00.4

Performance

HDB vs. NASDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in HDFC Bank Limited (HDB) and Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX). The values are adjusted to include any dividend payments, if applicable.

1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%JulyAugustSeptemberOctoberNovemberDecember
5,281.08%
920.80%
HDB
NASDX

Key characteristics

Sharpe Ratio

HDB:

-0.05

NASDX:

0.90

Sortino Ratio

HDB:

0.11

NASDX:

1.25

Omega Ratio

HDB:

1.02

NASDX:

1.18

Calmar Ratio

HDB:

-0.04

NASDX:

1.28

Martin Ratio

HDB:

-0.13

NASDX:

4.33

Ulcer Index

HDB:

11.74%

NASDX:

4.03%

Daily Std Dev

HDB:

28.03%

NASDX:

19.40%

Max Drawdown

HDB:

-67.92%

NASDX:

-81.69%

Current Drawdown

HDB:

-18.23%

NASDX:

-7.24%

Returns By Period

In the year-to-date period, HDB achieves a -2.94% return, which is significantly lower than NASDX's 16.77% return. Over the past 10 years, HDB has underperformed NASDX with an annualized return of 10.81%, while NASDX has yielded a comparatively higher 14.34% annualized return.


HDB

YTD

-2.94%

1M

3.32%

6M

5.65%

1Y

-1.59%

5Y*

1.24%

10Y*

10.81%

NASDX

YTD

16.77%

1M

-4.63%

6M

-1.52%

1Y

16.85%

5Y*

15.21%

10Y*

14.34%

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Risk-Adjusted Performance

HDB vs. NASDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for HDFC Bank Limited (HDB) and Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX). 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 HDB, currently valued at -0.05, compared to the broader market-4.00-2.000.002.00-0.050.90
The chart of Sortino ratio for HDB, currently valued at 0.11, compared to the broader market-4.00-2.000.002.004.000.111.25
The chart of Omega ratio for HDB, currently valued at 1.02, compared to the broader market0.501.001.502.001.021.18
The chart of Calmar ratio for HDB, currently valued at -0.04, compared to the broader market0.002.004.006.00-0.041.28
The chart of Martin ratio for HDB, currently valued at -0.13, compared to the broader market0.0010.0020.00-0.134.33
HDB
NASDX

The current HDB Sharpe Ratio is -0.05, which is lower than the NASDX Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of HDB and NASDX, 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-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.05
0.90
HDB
NASDX

Dividends

HDB vs. NASDX - Dividend Comparison

HDB's dividend yield for the trailing twelve months is around 1.08%, more than NASDX's 0.41% yield.


TTM20232022202120202019201820172016201520142013
HDB
HDFC Bank Limited
1.08%2.08%1.74%0.81%0.00%0.68%0.55%0.50%0.70%0.61%1.99%0.89%
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
0.41%0.45%0.50%0.15%0.37%0.47%0.94%1.35%0.75%0.86%1.02%0.72%

Drawdowns

HDB vs. NASDX - Drawdown Comparison

The maximum HDB drawdown since its inception was -67.92%, smaller than the maximum NASDX drawdown of -81.69%. Use the drawdown chart below to compare losses from any high point for HDB and NASDX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.23%
-7.24%
HDB
NASDX

Volatility

HDB vs. NASDX - Volatility Comparison

The current volatility for HDFC Bank Limited (HDB) is 5.84%, while Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) has a volatility of 8.93%. This indicates that HDB experiences smaller price fluctuations and is considered to be less risky than NASDX 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%JulyAugustSeptemberOctoberNovemberDecember
5.84%
8.93%
HDB
NASDX
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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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