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

Key characteristics


QATVHT
YTD Return6.27%9.00%
1Y Return13.80%18.49%
3Y Return (Ann)-0.29%2.95%
5Y Return (Ann)4.62%10.61%
10Y Return (Ann)0.37%9.86%
Sharpe Ratio1.001.76
Sortino Ratio1.482.45
Omega Ratio1.181.32
Calmar Ratio0.461.49
Martin Ratio3.718.41
Ulcer Index3.77%2.30%
Daily Std Dev14.09%10.97%
Max Drawdown-45.21%-39.12%
Current Drawdown-18.71%-5.78%

Correlation

-0.50.00.51.00.2

The correlation between QAT and VHT is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

QAT vs. VHT - Performance Comparison

In the year-to-date period, QAT achieves a 6.27% return, which is significantly lower than VHT's 9.00% return. Over the past 10 years, QAT has underperformed VHT with an annualized return of 0.37%, while VHT has yielded a comparatively higher 9.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.57%
5.11%
QAT
VHT

Compare stocks, funds, or ETFs

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


QAT vs. VHT - Expense Ratio Comparison

QAT has a 0.59% expense ratio, which is higher than VHT's 0.10% expense ratio.


QAT
iShares MSCI Qatar ETF
Expense ratio chart for QAT: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for VHT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

QAT vs. VHT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Qatar ETF (QAT) and Vanguard Health Care ETF (VHT). 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.


QAT
Sharpe ratio
The chart of Sharpe ratio for QAT, currently valued at 1.00, compared to the broader market0.002.004.006.001.00
Sortino ratio
The chart of Sortino ratio for QAT, currently valued at 1.48, compared to the broader market0.005.0010.001.48
Omega ratio
The chart of Omega ratio for QAT, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for QAT, currently valued at 0.46, compared to the broader market0.005.0010.0015.0020.000.46
Martin ratio
The chart of Martin ratio for QAT, currently valued at 3.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.71
VHT
Sharpe ratio
The chart of Sharpe ratio for VHT, currently valued at 1.76, compared to the broader market0.002.004.006.001.76
Sortino ratio
The chart of Sortino ratio for VHT, currently valued at 2.45, compared to the broader market0.005.0010.002.45
Omega ratio
The chart of Omega ratio for VHT, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for VHT, currently valued at 1.49, compared to the broader market0.005.0010.0015.0020.001.49
Martin ratio
The chart of Martin ratio for VHT, currently valued at 8.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.41

QAT vs. VHT - Sharpe Ratio Comparison

The current QAT Sharpe Ratio is 1.00, which is lower than the VHT Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of QAT and VHT, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.00
1.76
QAT
VHT

Dividends

QAT vs. VHT - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.19%, more than VHT's 1.42% yield.


TTM20232022202120202019201820172016201520142013
QAT
iShares MSCI Qatar ETF
4.19%3.92%4.78%2.33%2.63%3.57%4.63%4.10%3.51%4.49%0.00%0.00%
VHT
Vanguard Health Care ETF
1.42%1.36%1.33%1.14%1.21%1.89%1.38%1.31%1.45%1.22%1.02%1.12%

Drawdowns

QAT vs. VHT - Drawdown Comparison

The maximum QAT drawdown since its inception was -45.21%, which is greater than VHT's maximum drawdown of -39.12%. Use the drawdown chart below to compare losses from any high point for QAT and VHT. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.71%
-5.78%
QAT
VHT

Volatility

QAT vs. VHT - Volatility Comparison

iShares MSCI Qatar ETF (QAT) has a higher volatility of 4.70% compared to Vanguard Health Care ETF (VHT) at 2.97%. This indicates that QAT's price experiences larger fluctuations and is considered to be riskier than VHT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.70%
2.97%
QAT
VHT