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

Key characteristics


HQHXLV
YTD Return24.13%13.66%
1Y Return36.60%18.87%
3Y Return (Ann)-0.78%7.90%
5Y Return (Ann)10.08%12.76%
10Y Return (Ann)5.40%11.43%
Sharpe Ratio2.221.73
Sortino Ratio3.082.37
Omega Ratio1.391.32
Calmar Ratio0.961.60
Martin Ratio12.578.42
Ulcer Index2.86%2.22%
Daily Std Dev16.20%10.84%
Max Drawdown-56.17%-39.18%
Current Drawdown-8.02%-2.15%

Correlation

-0.50.00.51.00.6

The correlation between HQH and XLV is 0.59, 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. XLV - Performance Comparison

In the year-to-date period, HQH achieves a 24.13% return, which is significantly higher than XLV's 13.66% return. Over the past 10 years, HQH has underperformed XLV with an annualized return of 5.40%, while XLV has yielded a comparatively higher 11.43% 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%25.00%30.00%MayJuneJulyAugustSeptemberOctober
26.75%
11.58%
HQH
XLV

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Risk-Adjusted Performance

HQH vs. XLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tekla Healthcare Investors (HQH) and Health Care Select Sector SPDR Fund (XLV). 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 2.22, compared to the broader market-4.00-2.000.002.004.002.22
Sortino ratio
The chart of Sortino ratio for HQH, currently valued at 3.08, compared to the broader market-4.00-2.000.002.004.003.08
Omega ratio
The chart of Omega ratio for HQH, currently valued at 1.39, compared to the broader market0.501.001.502.001.39
Calmar ratio
The chart of Calmar ratio for HQH, currently valued at 0.96, compared to the broader market0.002.004.006.000.96
Martin ratio
The chart of Martin ratio for HQH, currently valued at 12.57, compared to the broader market-10.000.0010.0020.0030.0012.57
XLV
Sharpe ratio
The chart of Sharpe ratio for XLV, currently valued at 1.73, compared to the broader market-4.00-2.000.002.004.001.73
Sortino ratio
The chart of Sortino ratio for XLV, currently valued at 2.37, compared to the broader market-4.00-2.000.002.004.002.37
Omega ratio
The chart of Omega ratio for XLV, currently valued at 1.32, compared to the broader market0.501.001.502.001.32
Calmar ratio
The chart of Calmar ratio for XLV, currently valued at 1.60, compared to the broader market0.002.004.006.001.60
Martin ratio
The chart of Martin ratio for XLV, currently valued at 8.42, compared to the broader market-10.000.0010.0020.0030.008.42

HQH vs. XLV - Sharpe Ratio Comparison

The current HQH Sharpe Ratio is 2.22, which is comparable to the XLV Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of HQH and XLV, 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 Ratio0.000.501.001.502.00MayJuneJulyAugustSeptemberOctober
2.22
1.73
HQH
XLV

Dividends

HQH vs. XLV - Dividend Comparison

HQH's dividend yield for the trailing twelve months is around 10.89%, more than XLV's 1.48% yield.


TTM20232022202120202019201820172016201520142013
HQH
Tekla Healthcare Investors
10.89%9.66%9.50%8.59%7.96%8.22%10.73%8.76%9.78%11.96%7.05%6.41%
XLV
Health Care Select Sector SPDR Fund
1.48%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%

Drawdowns

HQH vs. XLV - Drawdown Comparison

The maximum HQH drawdown since its inception was -56.17%, which is greater than XLV's maximum drawdown of -39.18%. Use the drawdown chart below to compare losses from any high point for HQH and XLV. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-8.02%
-2.15%
HQH
XLV

Volatility

HQH vs. XLV - Volatility Comparison

Tekla Healthcare Investors (HQH) has a higher volatility of 3.78% compared to Health Care Select Sector SPDR Fund (XLV) at 2.73%. This indicates that HQH's price experiences larger fluctuations and is considered to be riskier than XLV 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%MayJuneJulyAugustSeptemberOctober
3.78%
2.73%
HQH
XLV