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

Correlation

The correlation between HLAL and SPY is 0.95, 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.


-0.50.00.51.01.0

Performance

HLAL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wahed FTSE USA Shariah ETF (HLAL) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
125.47%
114.01%
HLAL
SPY

Key characteristics

Sharpe Ratio

HLAL:

1.48

SPY:

2.21

Sortino Ratio

HLAL:

1.96

SPY:

2.93

Omega Ratio

HLAL:

1.27

SPY:

1.41

Calmar Ratio

HLAL:

2.13

SPY:

3.26

Martin Ratio

HLAL:

7.88

SPY:

14.43

Ulcer Index

HLAL:

2.50%

SPY:

1.90%

Daily Std Dev

HLAL:

13.32%

SPY:

12.41%

Max Drawdown

HLAL:

-33.57%

SPY:

-55.19%

Current Drawdown

HLAL:

-2.75%

SPY:

-2.74%

Returns By Period

In the year-to-date period, HLAL achieves a 18.13% return, which is significantly lower than SPY's 25.54% return.


HLAL

YTD

18.13%

1M

2.24%

6M

6.27%

1Y

18.42%

5Y*

15.47%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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HLAL vs. SPY - Expense Ratio Comparison

HLAL has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.


HLAL
Wahed FTSE USA Shariah ETF
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

HLAL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wahed FTSE USA Shariah ETF (HLAL) and SPDR S&P 500 ETF (SPY). 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 market0.002.004.001.482.21
The chart of Sortino ratio for HLAL, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.001.962.93
The chart of Omega ratio for HLAL, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.41
The chart of Calmar ratio for HLAL, currently valued at 2.13, compared to the broader market0.005.0010.0015.002.133.26
The chart of Martin ratio for HLAL, currently valued at 7.88, compared to the broader market0.0020.0040.0060.0080.00100.007.8814.43
HLAL
SPY

The current HLAL Sharpe Ratio is 1.48, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of HLAL and SPY, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.48
2.21
HLAL
SPY

Dividends

HLAL vs. SPY - Dividend Comparison

HLAL's dividend yield for the trailing twelve months is around 0.68%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

HLAL vs. SPY - Drawdown Comparison

The maximum HLAL drawdown since its inception was -33.57%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for HLAL and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.75%
-2.74%
HLAL
SPY

Volatility

HLAL vs. SPY - Volatility Comparison

Wahed FTSE USA Shariah ETF (HLAL) has a higher volatility of 4.16% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that HLAL's price experiences larger fluctuations and is considered to be riskier than SPY 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%
3.72%
HLAL
SPY
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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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