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HFXI vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HFXIVOO
YTD Return7.86%26.88%
1Y Return16.08%37.59%
3Y Return (Ann)4.48%10.23%
5Y Return (Ann)7.68%15.93%
Sharpe Ratio1.433.06
Sortino Ratio2.014.08
Omega Ratio1.261.58
Calmar Ratio1.834.43
Martin Ratio7.7620.25
Ulcer Index2.12%1.85%
Daily Std Dev11.51%12.23%
Max Drawdown-32.42%-33.99%
Current Drawdown-5.48%-0.30%

Correlation

-0.50.00.51.00.8

The correlation between HFXI and VOO 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.

Performance

HFXI vs. VOO - Performance Comparison

In the year-to-date period, HFXI achieves a 7.86% return, which is significantly lower than VOO's 26.88% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.65%
13.46%
HFXI
VOO

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


HFXI vs. VOO - Expense Ratio Comparison

HFXI has a 0.20% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


HFXI
IQ 50 Percent Hedged FTSE International ETF
Expense ratio chart for HFXI: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

HFXI vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for IQ 50 Percent Hedged FTSE International ETF (HFXI) and Vanguard S&P 500 ETF (VOO). 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.


HFXI
Sharpe ratio
The chart of Sharpe ratio for HFXI, currently valued at 1.43, compared to the broader market-2.000.002.004.006.001.43
Sortino ratio
The chart of Sortino ratio for HFXI, currently valued at 2.01, compared to the broader market-2.000.002.004.006.008.0010.0012.002.01
Omega ratio
The chart of Omega ratio for HFXI, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for HFXI, currently valued at 1.83, compared to the broader market0.005.0010.0015.001.83
Martin ratio
The chart of Martin ratio for HFXI, currently valued at 7.76, compared to the broader market0.0020.0040.0060.0080.00100.007.76
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.43, compared to the broader market0.005.0010.0015.004.43
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.25, compared to the broader market0.0020.0040.0060.0080.00100.0020.25

HFXI vs. VOO - Sharpe Ratio Comparison

The current HFXI Sharpe Ratio is 1.43, which is lower than the VOO Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of HFXI and VOO, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.43
3.06
HFXI
VOO

Dividends

HFXI vs. VOO - Dividend Comparison

HFXI's dividend yield for the trailing twelve months is around 2.39%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
HFXI
IQ 50 Percent Hedged FTSE International ETF
2.39%2.49%4.65%3.10%2.00%3.19%4.33%2.55%3.47%0.78%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

HFXI vs. VOO - Drawdown Comparison

The maximum HFXI drawdown since its inception was -32.42%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for HFXI and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.48%
-0.30%
HFXI
VOO

Volatility

HFXI vs. VOO - Volatility Comparison

The current volatility for IQ 50 Percent Hedged FTSE International ETF (HFXI) is 3.42%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.89%. This indicates that HFXI experiences smaller price fluctuations and is considered to be less risky than VOO 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%JuneJulyAugustSeptemberOctoberNovember
3.42%
3.89%
HFXI
VOO