PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IXC vs. HSCZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IXC vs. HSCZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Global Energy ETF (IXC) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ). The values are adjusted to include any dividend payments, if applicable.

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.05%
0.54%
IXC
HSCZ

Returns By Period

In the year-to-date period, IXC achieves a 12.27% return, which is significantly higher than HSCZ's 10.62% return.


IXC

YTD

12.27%

1M

3.77%

6M

3.43%

1Y

12.78%

5Y (annualized)

11.87%

10Y (annualized)

4.38%

HSCZ

YTD

10.62%

1M

-0.94%

6M

1.39%

1Y

15.84%

5Y (annualized)

8.27%

10Y (annualized)

N/A

Key characteristics


IXCHSCZ
Sharpe Ratio0.761.46
Sortino Ratio1.111.95
Omega Ratio1.141.27
Calmar Ratio1.101.70
Martin Ratio2.588.22
Ulcer Index4.74%2.03%
Daily Std Dev16.02%11.48%
Max Drawdown-67.88%-34.89%
Current Drawdown-1.91%-2.85%

Compare stocks, funds, or ETFs

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


IXC vs. HSCZ - Expense Ratio Comparison

IXC has a 0.46% expense ratio, which is higher than HSCZ's 0.43% expense ratio.


IXC
iShares Global Energy ETF
Expense ratio chart for IXC: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for HSCZ: current value at 0.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.43%

Correlation

-0.50.00.51.00.5

The correlation between IXC and HSCZ is 0.48, 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.

Risk-Adjusted Performance

IXC vs. HSCZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Global Energy ETF (IXC) and iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ). 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 IXC, currently valued at 0.76, compared to the broader market0.002.004.000.761.46
The chart of Sortino ratio for IXC, currently valued at 1.11, compared to the broader market-2.000.002.004.006.008.0010.001.111.95
The chart of Omega ratio for IXC, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.27
The chart of Calmar ratio for IXC, currently valued at 1.10, compared to the broader market0.005.0010.0015.001.101.70
The chart of Martin ratio for IXC, currently valued at 2.58, compared to the broader market0.0020.0040.0060.0080.00100.002.588.22
IXC
HSCZ

The current IXC Sharpe Ratio is 0.76, which is lower than the HSCZ Sharpe Ratio of 1.46. The chart below compares the historical Sharpe Ratios of IXC and HSCZ, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.76
1.46
IXC
HSCZ

Dividends

IXC vs. HSCZ - Dividend Comparison

IXC's dividend yield for the trailing twelve months is around 3.57%, more than HSCZ's 2.56% yield.


TTM20232022202120202019201820172016201520142013
IXC
iShares Global Energy ETF
3.57%3.45%4.76%3.98%4.86%7.00%3.51%3.05%2.86%3.77%3.02%2.48%
HSCZ
iShares Currency Hedged MSCI EAFE Small Cap ETF
2.56%2.98%26.91%2.90%1.46%4.51%6.15%2.52%2.57%1.75%0.00%0.00%

Drawdowns

IXC vs. HSCZ - Drawdown Comparison

The maximum IXC drawdown since its inception was -67.88%, which is greater than HSCZ's maximum drawdown of -34.89%. Use the drawdown chart below to compare losses from any high point for IXC and HSCZ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.91%
-2.85%
IXC
HSCZ

Volatility

IXC vs. HSCZ - Volatility Comparison

iShares Global Energy ETF (IXC) has a higher volatility of 3.92% compared to iShares Currency Hedged MSCI EAFE Small Cap ETF (HSCZ) at 2.38%. This indicates that IXC's price experiences larger fluctuations and is considered to be riskier than HSCZ 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
3.92%
2.38%
IXC
HSCZ