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HSJP.L vs. XDEQ.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


HSJP.LXDEQ.L
YTD Return8.19%14.49%
1Y Return11.31%26.31%
3Y Return (Ann)6.21%12.04%
Sharpe Ratio0.842.45
Daily Std Dev14.25%10.63%
Max Drawdown-16.22%-23.79%
Current Drawdown-5.57%0.00%

Correlation

-0.50.00.51.00.7

The correlation between HSJP.L and XDEQ.L is 0.67, 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

HSJP.L vs. XDEQ.L - Performance Comparison

In the year-to-date period, HSJP.L achieves a 8.19% return, which is significantly lower than XDEQ.L's 14.49% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%2024FebruaryMarchAprilMayJune
39.71%
68.48%
HSJP.L
XDEQ.L

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


HSBC Japan Sustainable Equity UCITS ETF USD

Xtrackers MSCI World Quality Factor UCITS ETF 1C

HSJP.L vs. XDEQ.L - Expense Ratio Comparison

HSJP.L has a 0.18% expense ratio, which is lower than XDEQ.L's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XDEQ.L
Xtrackers MSCI World Quality Factor UCITS ETF 1C
Expense ratio chart for XDEQ.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for HSJP.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

HSJP.L vs. XDEQ.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for HSBC Japan Sustainable Equity UCITS ETF USD (HSJP.L) and Xtrackers MSCI World Quality Factor UCITS ETF 1C (XDEQ.L). 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.


HSJP.L
Sharpe ratio
The chart of Sharpe ratio for HSJP.L, currently valued at 0.73, compared to the broader market0.002.004.006.000.73
Sortino ratio
The chart of Sortino ratio for HSJP.L, currently valued at 1.11, compared to the broader market0.005.0010.001.11
Omega ratio
The chart of Omega ratio for HSJP.L, currently valued at 1.13, compared to the broader market1.002.003.001.13
Calmar ratio
The chart of Calmar ratio for HSJP.L, currently valued at 0.72, compared to the broader market0.005.0010.0015.0020.000.72
Martin ratio
The chart of Martin ratio for HSJP.L, currently valued at 3.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.04
XDEQ.L
Sharpe ratio
The chart of Sharpe ratio for XDEQ.L, currently valued at 2.10, compared to the broader market0.002.004.006.002.10
Sortino ratio
The chart of Sortino ratio for XDEQ.L, currently valued at 3.12, compared to the broader market0.005.0010.003.12
Omega ratio
The chart of Omega ratio for XDEQ.L, currently valued at 1.38, compared to the broader market1.002.003.001.38
Calmar ratio
The chart of Calmar ratio for XDEQ.L, currently valued at 2.04, compared to the broader market0.005.0010.0015.0020.002.04
Martin ratio
The chart of Martin ratio for XDEQ.L, currently valued at 8.87, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.87

HSJP.L vs. XDEQ.L - Sharpe Ratio Comparison

The current HSJP.L Sharpe Ratio is 0.84, which is lower than the XDEQ.L Sharpe Ratio of 2.45. The chart below compares the 12-month rolling Sharpe Ratio of HSJP.L and XDEQ.L.


Rolling 12-month Sharpe Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
0.73
2.10
HSJP.L
XDEQ.L

Dividends

HSJP.L vs. XDEQ.L - Dividend Comparison

Neither HSJP.L nor XDEQ.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

HSJP.L vs. XDEQ.L - Drawdown Comparison

The maximum HSJP.L drawdown since its inception was -16.22%, smaller than the maximum XDEQ.L drawdown of -23.79%. Use the drawdown chart below to compare losses from any high point for HSJP.L and XDEQ.L. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-5.14%
0
HSJP.L
XDEQ.L

Volatility

HSJP.L vs. XDEQ.L - Volatility Comparison

HSBC Japan Sustainable Equity UCITS ETF USD (HSJP.L) has a higher volatility of 3.98% compared to Xtrackers MSCI World Quality Factor UCITS ETF 1C (XDEQ.L) at 2.91%. This indicates that HSJP.L's price experiences larger fluctuations and is considered to be riskier than XDEQ.L 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%2024FebruaryMarchAprilMayJune
3.98%
2.91%
HSJP.L
XDEQ.L