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HQH vs. NOBL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HQHNOBL
YTD Return22.47%13.00%
1Y Return39.75%24.12%
3Y Return (Ann)-0.61%5.45%
5Y Return (Ann)8.33%9.81%
10Y Return (Ann)4.15%10.29%
Sharpe Ratio2.722.32
Sortino Ratio3.833.27
Omega Ratio1.481.41
Calmar Ratio1.132.49
Martin Ratio14.6510.65
Ulcer Index2.71%2.25%
Daily Std Dev14.59%10.37%
Max Drawdown-56.17%-35.43%
Current Drawdown-9.25%-1.79%

Correlation

-0.50.00.51.00.5

The correlation between HQH and NOBL is 0.52, 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.

Performance

HQH vs. NOBL - Performance Comparison

In the year-to-date period, HQH achieves a 22.47% return, which is significantly higher than NOBL's 13.00% return. Over the past 10 years, HQH has underperformed NOBL with an annualized return of 4.15%, while NOBL has yielded a comparatively higher 10.29% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.87%
7.62%
HQH
NOBL

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Risk-Adjusted Performance

HQH vs. NOBL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tekla Healthcare Investors (HQH) and ProShares S&P 500 Dividend Aristocrats ETF (NOBL). 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.


HQH
Sharpe ratio
The chart of Sharpe ratio for HQH, currently valued at 2.72, compared to the broader market-4.00-2.000.002.004.002.72
Sortino ratio
The chart of Sortino ratio for HQH, currently valued at 3.83, compared to the broader market-4.00-2.000.002.004.006.003.83
Omega ratio
The chart of Omega ratio for HQH, currently valued at 1.48, compared to the broader market0.501.001.502.001.48
Calmar ratio
The chart of Calmar ratio for HQH, currently valued at 1.13, compared to the broader market0.002.004.006.001.13
Martin ratio
The chart of Martin ratio for HQH, currently valued at 14.65, compared to the broader market0.0010.0020.0030.0014.65
NOBL
Sharpe ratio
The chart of Sharpe ratio for NOBL, currently valued at 2.32, compared to the broader market-4.00-2.000.002.004.002.32
Sortino ratio
The chart of Sortino ratio for NOBL, currently valued at 3.27, compared to the broader market-4.00-2.000.002.004.006.003.27
Omega ratio
The chart of Omega ratio for NOBL, currently valued at 1.41, compared to the broader market0.501.001.502.001.41
Calmar ratio
The chart of Calmar ratio for NOBL, currently valued at 2.49, compared to the broader market0.002.004.006.002.49
Martin ratio
The chart of Martin ratio for NOBL, currently valued at 10.65, compared to the broader market0.0010.0020.0030.0010.65

HQH vs. NOBL - Sharpe Ratio Comparison

The current HQH Sharpe Ratio is 2.72, which is comparable to the NOBL Sharpe Ratio of 2.32. The chart below compares the historical Sharpe Ratios of HQH and NOBL, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.72
2.32
HQH
NOBL

Dividends

HQH vs. NOBL - Dividend Comparison

HQH's dividend yield for the trailing twelve months is around 11.04%, more than NOBL's 1.99% yield.


TTM20232022202120202019201820172016201520142013
HQH
Tekla Healthcare Investors
11.04%9.66%9.50%8.59%7.96%8.22%10.73%8.76%9.78%11.96%7.05%6.41%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
1.99%2.09%1.94%1.89%2.14%1.89%2.37%1.74%2.13%2.02%1.60%0.30%

Drawdowns

HQH vs. NOBL - Drawdown Comparison

The maximum HQH drawdown since its inception was -56.17%, which is greater than NOBL's maximum drawdown of -35.43%. Use the drawdown chart below to compare losses from any high point for HQH and NOBL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.25%
-1.79%
HQH
NOBL

Volatility

HQH vs. NOBL - Volatility Comparison

Tekla Healthcare Investors (HQH) has a higher volatility of 3.27% compared to ProShares S&P 500 Dividend Aristocrats ETF (NOBL) at 2.94%. This indicates that HQH's price experiences larger fluctuations and is considered to be riskier than NOBL 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%7.00%JuneJulyAugustSeptemberOctoberNovember
3.27%
2.94%
HQH
NOBL