PNGAY vs. CAF

Last updated Jun 23, 2026

PNGAY (Ping An Insurance Company of China) is a stock, while CAF (Morgan Stanley China A Share Fund) is China Equities fund actively managed by Morgan Stanley. Over the past 10 years, PNGAY returned 9.47%/yr vs 6.45%/yr for CAF. At a 0.49 correlation, their price movements are largely independent.

Performance

PNGAY vs. CAF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ping An Insurance Company of China (PNGAY) and Morgan Stanley China A Share Fund (CAF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PNGAY achieves a -13.39% return, which is significantly lower than CAF's 17.11% return. Over the past 10 years, PNGAY has outperformed CAF with an annualized return of 9.47%, while CAF has yielded a comparatively lower 6.45% annualized return.

PNGAY

• 1D: 1.44%
• 1M: -6.30%
• YTD: -13.39%
• 6M: -13.91%
• 1Y: 22.79%
• 3Y*: 10.55%
• 5Y*: -1.14%
• 10Y*: 9.47%

CAF

• 1D: 2.47%
• 1M: 2.94%
• YTD: 17.11%
• 6M: 17.24%
• 1Y: 55.60%
• 3Y*: 19.43%
• 5Y*: 0.23%
• 10Y*: 6.45%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PNGAY vs. CAF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PNGAY Ping An Insurance Company of China	-13.39%	52.29%	38.53%	-27.60%	-2.17%	-39.34%	5.51%	39.67%	-15.03%	113.23%
CAF Morgan Stanley China A Share Fund	17.11%	41.51%	0.34%	-9.39%	-30.41%	-1.77%	12.74%	23.50%	-14.26%	44.94%

Correlation

The correlation between PNGAY and CAF is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (10Y) Calculated over the trailing 10-year period	0.56
Correlation (All Time) Calculated using the full available price history since Jul 18, 2007	0.49

The correlation between PNGAY and CAF shifts across timeframes, from 0.44 (1 year) to 0.58 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

PNGAY vs. CAF — Risk / Return Rank

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

PNGAY

PNGAY Risk / Return Rank: 64
PNGAY Sharpe Ratio Rank: 69
PNGAY Sortino Ratio Rank: 64
PNGAY Omega Ratio Rank: 62
PNGAY Calmar Ratio Rank: 62
PNGAY Martin Ratio Rank: 63

CAF

CAF Risk / Return Rank: 89
CAF Sharpe Ratio Rank: 93
CAF Sortino Ratio Rank: 88
CAF Omega Ratio Rank: 84
CAF Calmar Ratio Rank: 94
CAF Martin Ratio Rank: 87

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PNGAY vs. CAF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Ping An Insurance Company of China (PNGAY) and Morgan Stanley China A Share Fund (CAF). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PNGAY	CAF	Difference
Sharpe ratio: Return per unit of total volatility	0.87	2.94	-2.07
Sortino ratio: Return per unit of downside risk	1.40	3.92	-2.52
Omega ratio: Gain probability vs. loss probability	1.17	1.51	-0.35
Calmar ratio: Return relative to maximum drawdown	0.95	5.09	-4.14
Martin ratio: Return relative to average drawdown	2.28	15.47	-13.19

PNGAY vs. CAF - Sharpe Ratio Comparison

The current PNGAY Sharpe Ratio is 0.87, which is lower than the CAF Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of PNGAY and CAF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PNGAY vs. CAF - Drawdown Comparison

The maximum PNGAY drawdown since its inception was -78.52%, which is greater than CAF's maximum drawdown of -65.88%. Use the drawdown chart below to compare losses from any high point for PNGAY and CAF.

Drawdown Indicators

	PNGAY	CAF	Difference
Max Drawdown Largest peak-to-trough decline	-78.52%	-65.88%	-12.64%
Max Drawdown (1Y) Largest decline over 1 year	-24.12%	-10.98%	-13.14%
Max Drawdown (3Y) Largest decline over 3 years	-46.53%	-26.27%	-20.26%
Max Drawdown (5Y) Largest decline over 5 years	-57.17%	-46.98%	-10.19%
Max Drawdown (10Y) Largest decline over 10 years	-66.83%	-49.01%	-17.82%
Current Drawdown Current decline from peak	-30.86%	-4.07%	-26.79%
Average Drawdown Average peak-to-trough decline	-42.78%	-25.87%	-16.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.01%	3.61%	+6.40%

Volatility

PNGAY vs. CAF - Volatility Comparison

Ping An Insurance Company of China (PNGAY) and Morgan Stanley China A Share Fund (CAF) have volatilities of 5.93% and 5.76%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PNGAY	CAF	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.93%	5.76%	+0.17%
Volatility (6M) Calculated over the trailing 6-month period	19.37%	13.73%	+5.64%
Volatility (1Y) Calculated over the trailing 1-year period	26.41%	19.02%	+7.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	40.90%	21.56%	+19.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.73%	21.91%	+12.82%

Dividends

PNGAY vs. CAF - Dividend Comparison

PNGAY's dividend yield for the trailing twelve months is around 5.55%, more than CAF's 1.29% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAF Morgan Stanley China A Share Fund	1.29%	1.51%	2.63%	0.96%	0.02%	6.57%	10.40%	3.78%	9.48%	5.20%	4.69%	67.03%
PNGAY Ping An Insurance Company of China	5.55%	4.23%	5.81%	7.66%	5.81%	4.47%	2.05%	1.88%	2.35%	1.17%	3.03%	1.99%

Frequently Asked Questions

Can I hold both PNGAY and CAF in my portfolio?

PNGAY and CAF have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PNGAY or CAF?

PNGAY has higher volatility (5.93%) compared to CAF (5.76%). In terms of maximum drawdown, PNGAY dropped -78.52% vs CAF's -65.88%.

Which has better risk-adjusted returns?

CAF currently has the higher Sharpe Ratio (2.94 vs 0.87), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.