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MCHI vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MCHI and VOO is 0.57, 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

MCHI vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI China ETF (MCHI) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

MCHI:

0.53

VOO:

0.72

Sortino Ratio

MCHI:

1.10

VOO:

1.20

Omega Ratio

MCHI:

1.15

VOO:

1.18

Calmar Ratio

MCHI:

0.39

VOO:

0.81

Martin Ratio

MCHI:

1.58

VOO:

3.09

Ulcer Index

MCHI:

13.55%

VOO:

4.88%

Daily Std Dev

MCHI:

34.65%

VOO:

19.37%

Max Drawdown

MCHI:

-62.84%

VOO:

-33.99%

Current Drawdown

MCHI:

-38.92%

VOO:

-2.75%

Returns By Period

In the year-to-date period, MCHI achieves a 16.13% return, which is significantly higher than VOO's 1.73% return. Over the past 10 years, MCHI has underperformed VOO with an annualized return of 0.60%, while VOO has yielded a comparatively higher 12.85% annualized return.


MCHI

YTD

16.13%

1M

10.70%

6M

17.05%

1Y

18.19%

5Y*

-0.09%

10Y*

0.60%

VOO

YTD

1.73%

1M

13.04%

6M

2.12%

1Y

13.91%

5Y*

17.57%

10Y*

12.85%

*Annualized

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MCHI vs. VOO - Expense Ratio Comparison

MCHI has a 0.59% expense ratio, which is higher than VOO's 0.03% expense ratio.


Risk-Adjusted Performance

MCHI vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MCHI
The Risk-Adjusted Performance Rank of MCHI is 5555
Overall Rank
The Sharpe Ratio Rank of MCHI is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of MCHI is 6565
Sortino Ratio Rank
The Omega Ratio Rank of MCHI is 6464
Omega Ratio Rank
The Calmar Ratio Rank of MCHI is 4545
Calmar Ratio Rank
The Martin Ratio Rank of MCHI is 4848
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7272
Overall Rank
The Sharpe Ratio Rank of VOO is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 7171
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7474
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7373
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MCHI vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI China ETF (MCHI) and Vanguard S&P 500 ETF (VOO). 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.


The current MCHI Sharpe Ratio is 0.53, which is comparable to the VOO Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of MCHI and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

MCHI vs. VOO - Dividend Comparison

MCHI's dividend yield for the trailing twelve months is around 1.99%, more than VOO's 1.28% yield.


TTM20242023202220212020201920182017201620152014
MCHI
iShares MSCI China ETF
1.99%2.31%3.49%2.15%1.04%1.04%1.45%1.60%1.56%1.66%2.76%2.35%
VOO
Vanguard S&P 500 ETF
1.28%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

MCHI vs. VOO - Drawdown Comparison

The maximum MCHI drawdown since its inception was -62.84%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MCHI and VOO. For additional features, visit the drawdowns tool.


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Volatility

MCHI vs. VOO - Volatility Comparison

iShares MSCI China ETF (MCHI) has a higher volatility of 6.93% compared to Vanguard S&P 500 ETF (VOO) at 5.49%. This indicates that MCHI's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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