HSCZ vs. ^GSPC
Compare and contrast key facts about iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) and S&P 500 (^GSPC).
HSCZ is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Small-Cap 100% Hedged to USD Index. It was launched on Jun 29, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HSCZ or ^GSPC.
Performance
HSCZ vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, HSCZ achieves a 10.52% return, which is significantly lower than ^GSPC's 23.08% return.
HSCZ
10.52%
-2.28%
0.20%
17.03%
8.22%
N/A
^GSPC
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Key characteristics
| HSCZ | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.38 | 2.48 |
| Sortino Ratio | 1.86 | 3.33 |
| Omega Ratio | 1.25 | 1.46 |
| Calmar Ratio | 1.63 | 3.58 |
| Martin Ratio | 7.99 | 15.96 |
| Ulcer Index | 2.00% | 1.90% |
| Daily Std Dev | 11.57% | 12.24% |
| Max Drawdown | -34.89% | -56.78% |
| Current Drawdown | -2.94% | -2.18% |
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Correlation
The correlation between HSCZ and ^GSPC is 0.71, 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.
Risk-Adjusted Performance
HSCZ vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) and S&P 500 (^GSPC). 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.
Drawdowns
HSCZ vs. ^GSPC - Drawdown Comparison
The maximum HSCZ drawdown since its inception was -34.89%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for HSCZ and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
HSCZ vs. ^GSPC - Volatility Comparison
The current volatility for iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) is 2.65%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that HSCZ experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.