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

Correlation

The correlation between HDB and VTI is 0.48, 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.


-0.50.00.51.00.5

Performance

HDB vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in HDFC Bank Limited (HDB) and Vanguard Total Stock Market ETF (VTI). 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%
694.24%
HDB
VTI

Key characteristics

Sharpe Ratio

HDB:

-0.05

VTI:

1.92

Sortino Ratio

HDB:

0.11

VTI:

2.56

Omega Ratio

HDB:

1.02

VTI:

1.35

Calmar Ratio

HDB:

-0.04

VTI:

2.88

Martin Ratio

HDB:

-0.13

VTI:

12.48

Ulcer Index

HDB:

11.74%

VTI:

1.98%

Daily Std Dev

HDB:

28.03%

VTI:

12.86%

Max Drawdown

HDB:

-67.92%

VTI:

-55.45%

Current Drawdown

HDB:

-18.23%

VTI:

-3.99%

Returns By Period

In the year-to-date period, HDB achieves a -2.94% return, which is significantly lower than VTI's 23.66% return. Over the past 10 years, HDB has underperformed VTI with an annualized return of 10.81%, while VTI has yielded a comparatively higher 12.48% annualized return.


HDB

YTD

-2.94%

1M

3.32%

6M

5.65%

1Y

-1.59%

5Y*

1.24%

10Y*

10.81%

VTI

YTD

23.66%

1M

-0.38%

6M

8.51%

1Y

23.75%

5Y*

13.89%

10Y*

12.48%

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Risk-Adjusted Performance

HDB vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for HDFC Bank Limited (HDB) and Vanguard Total Stock Market ETF (VTI). 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-4.00-2.000.002.00-0.051.92
The chart of Sortino ratio for HDB, currently valued at 0.11, compared to the broader market-4.00-2.000.002.004.000.112.56
The chart of Omega ratio for HDB, currently valued at 1.02, compared to the broader market0.501.001.502.001.021.35
The chart of Calmar ratio for HDB, currently valued at -0.04, compared to the broader market0.002.004.006.00-0.042.88
The chart of Martin ratio for HDB, currently valued at -0.13, compared to the broader market0.0010.0020.00-0.1312.48
HDB
VTI

The current HDB Sharpe Ratio is -0.05, which is lower than the VTI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of HDB and VTI, 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
-0.05
1.92
HDB
VTI

Dividends

HDB vs. VTI - Dividend Comparison

HDB's dividend yield for the trailing twelve months is around 1.08%, less than VTI's 1.29% 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%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

HDB vs. VTI - Drawdown Comparison

The maximum HDB drawdown since its inception was -67.92%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for HDB and VTI. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.23%
-3.99%
HDB
VTI

Volatility

HDB vs. VTI - Volatility Comparison

HDFC Bank Limited (HDB) has a higher volatility of 5.84% compared to Vanguard Total Stock Market ETF (VTI) at 3.85%. This indicates that HDB's price experiences larger fluctuations and is considered to be riskier than VTI 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%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.84%
3.85%
HDB
VTI
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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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