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

Correlation

The correlation between ROIV and HACAX is 0.32, 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.


-0.50.00.51.00.3

Performance

ROIV vs. HACAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Roivant Sciences Ltd. (ROIV) and Harbor Capital Appreciation Fund Class I (HACAX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.72%
0.83%
ROIV
HACAX

Key characteristics

Sharpe Ratio

ROIV:

0.44

HACAX:

0.98

Sortino Ratio

ROIV:

0.90

HACAX:

1.32

Omega Ratio

ROIV:

1.10

HACAX:

1.20

Calmar Ratio

ROIV:

0.50

HACAX:

0.74

Martin Ratio

ROIV:

1.82

HACAX:

5.12

Ulcer Index

ROIV:

7.45%

HACAX:

4.03%

Daily Std Dev

ROIV:

30.73%

HACAX:

21.18%

Max Drawdown

ROIV:

-79.22%

HACAX:

-68.72%

Current Drawdown

ROIV:

-11.46%

HACAX:

-11.79%

Returns By Period

In the year-to-date period, ROIV achieves a 6.59% return, which is significantly lower than HACAX's 20.62% return.


ROIV

YTD

6.59%

1M

-4.47%

6M

9.72%

1Y

9.92%

5Y*

N/A

10Y*

N/A

HACAX

YTD

20.62%

1M

-6.31%

6M

0.84%

1Y

20.96%

5Y*

9.00%

10Y*

7.04%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

ROIV vs. HACAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Roivant Sciences Ltd. (ROIV) and Harbor Capital Appreciation Fund Class I (HACAX). 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 ROIV, currently valued at 0.44, compared to the broader market-4.00-2.000.002.000.440.98
The chart of Sortino ratio for ROIV, currently valued at 0.90, compared to the broader market-4.00-2.000.002.004.000.901.32
The chart of Omega ratio for ROIV, currently valued at 1.10, compared to the broader market0.501.001.502.001.101.20
The chart of Calmar ratio for ROIV, currently valued at 0.50, compared to the broader market0.002.004.006.000.500.74
The chart of Martin ratio for ROIV, currently valued at 1.82, compared to the broader market-5.000.005.0010.0015.0020.0025.001.825.12
ROIV
HACAX

The current ROIV Sharpe Ratio is 0.44, which is lower than the HACAX Sharpe Ratio of 0.98. The chart below compares the historical Sharpe Ratios of ROIV and HACAX, 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-0.500.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.44
0.98
ROIV
HACAX

Dividends

ROIV vs. HACAX - Dividend Comparison

Neither ROIV nor HACAX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
ROIV
Roivant Sciences Ltd.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HACAX
Harbor Capital Appreciation Fund Class I
0.00%0.00%0.00%0.00%0.00%0.07%0.24%0.16%0.11%0.08%0.08%0.08%

Drawdowns

ROIV vs. HACAX - Drawdown Comparison

The maximum ROIV drawdown since its inception was -79.22%, which is greater than HACAX's maximum drawdown of -68.72%. Use the drawdown chart below to compare losses from any high point for ROIV and HACAX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.46%
-11.79%
ROIV
HACAX

Volatility

ROIV vs. HACAX - Volatility Comparison

The current volatility for Roivant Sciences Ltd. (ROIV) is 10.03%, while Harbor Capital Appreciation Fund Class I (HACAX) has a volatility of 11.15%. This indicates that ROIV experiences smaller price fluctuations and is considered to be less risky than HACAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
10.03%
11.15%
ROIV
HACAX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab