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HLAL vs. KSA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HLAL and KSA is 0.39, 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

HLAL vs. KSA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wahed FTSE USA Shariah ETF (HLAL) and iShares MSCI Saudi Arabia ETF (KSA). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.27%
0.87%
HLAL
KSA

Key characteristics

Sharpe Ratio

HLAL:

1.48

KSA:

0.19

Sortino Ratio

HLAL:

1.96

KSA:

0.36

Omega Ratio

HLAL:

1.27

KSA:

1.05

Calmar Ratio

HLAL:

2.13

KSA:

0.14

Martin Ratio

HLAL:

7.88

KSA:

0.46

Ulcer Index

HLAL:

2.50%

KSA:

5.55%

Daily Std Dev

HLAL:

13.32%

KSA:

13.45%

Max Drawdown

HLAL:

-33.57%

KSA:

-40.56%

Current Drawdown

HLAL:

-2.75%

KSA:

-14.11%

Returns By Period

In the year-to-date period, HLAL achieves a 18.13% return, which is significantly higher than KSA's -0.84% return.


HLAL

YTD

18.13%

1M

2.24%

6M

6.27%

1Y

18.42%

5Y*

15.47%

10Y*

N/A

KSA

YTD

-0.84%

1M

-0.27%

6M

0.87%

1Y

2.16%

5Y*

7.95%

10Y*

N/A

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HLAL vs. KSA - Expense Ratio Comparison

HLAL has a 0.50% expense ratio, which is lower than KSA's 0.74% expense ratio.


KSA
iShares MSCI Saudi Arabia ETF
Expense ratio chart for KSA: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for HLAL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

HLAL vs. KSA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wahed FTSE USA Shariah ETF (HLAL) and iShares MSCI Saudi Arabia ETF (KSA). 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 HLAL, currently valued at 1.48, compared to the broader market0.002.004.001.480.19
The chart of Sortino ratio for HLAL, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.001.960.36
The chart of Omega ratio for HLAL, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.05
The chart of Calmar ratio for HLAL, currently valued at 2.13, compared to the broader market0.005.0010.0015.002.130.14
The chart of Martin ratio for HLAL, currently valued at 7.88, compared to the broader market0.0020.0040.0060.0080.00100.007.880.46
HLAL
KSA

The current HLAL Sharpe Ratio is 1.48, which is higher than the KSA Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of HLAL and KSA, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.48
0.19
HLAL
KSA

Dividends

HLAL vs. KSA - Dividend Comparison

HLAL's dividend yield for the trailing twelve months is around 0.68%, less than KSA's 2.66% yield.


TTM202320222021202020192018201720162015
HLAL
Wahed FTSE USA Shariah ETF
0.68%0.72%1.15%0.78%0.97%0.72%0.00%0.00%0.00%0.00%
KSA
iShares MSCI Saudi Arabia ETF
2.66%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.06%0.04%

Drawdowns

HLAL vs. KSA - Drawdown Comparison

The maximum HLAL drawdown since its inception was -33.57%, smaller than the maximum KSA drawdown of -40.56%. Use the drawdown chart below to compare losses from any high point for HLAL and KSA. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.75%
-14.11%
HLAL
KSA

Volatility

HLAL vs. KSA - Volatility Comparison

Wahed FTSE USA Shariah ETF (HLAL) has a higher volatility of 4.16% compared to iShares MSCI Saudi Arabia ETF (KSA) at 3.92%. This indicates that HLAL's price experiences larger fluctuations and is considered to be riskier than KSA 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%JulyAugustSeptemberOctoberNovemberDecember
4.16%
3.92%
HLAL
KSA
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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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