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SHSAX vs. PHRAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SHSAX and PHRAX is 0.54, 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.


-0.50.00.51.00.5

Performance

SHSAX vs. PHRAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Health Sciences Opportunities Portfolio (SHSAX) and Virtus Duff & Phelps Real Estate Securities Fund (PHRAX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%AugustSeptemberOctoberNovemberDecember
-12.35%
3.04%
SHSAX
PHRAX

Key characteristics

Sharpe Ratio

SHSAX:

-0.34

PHRAX:

0.05

Sortino Ratio

SHSAX:

-0.33

PHRAX:

0.17

Omega Ratio

SHSAX:

0.95

PHRAX:

1.02

Calmar Ratio

SHSAX:

-0.20

PHRAX:

0.03

Martin Ratio

SHSAX:

-0.97

PHRAX:

0.19

Ulcer Index

SHSAX:

4.63%

PHRAX:

4.51%

Daily Std Dev

SHSAX:

13.42%

PHRAX:

17.64%

Max Drawdown

SHSAX:

-39.26%

PHRAX:

-73.50%

Current Drawdown

SHSAX:

-22.08%

PHRAX:

-16.56%

Returns By Period

In the year-to-date period, SHSAX achieves a -4.57% return, which is significantly lower than PHRAX's 2.06% return. Over the past 10 years, SHSAX has underperformed PHRAX with an annualized return of 2.57%, while PHRAX has yielded a comparatively higher 4.83% annualized return.


SHSAX

YTD

-4.57%

1M

-10.78%

6M

-12.35%

1Y

-4.57%

5Y*

-0.56%

10Y*

2.57%

PHRAX

YTD

2.06%

1M

-15.10%

6M

3.04%

1Y

2.06%

5Y*

3.73%

10Y*

4.83%

*Annualized

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


SHSAX vs. PHRAX - Expense Ratio Comparison

SHSAX has a 1.09% expense ratio, which is lower than PHRAX's 1.36% expense ratio.


PHRAX
Virtus Duff & Phelps Real Estate Securities Fund
Expense ratio chart for PHRAX: current value at 1.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.36%
Expense ratio chart for SHSAX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%

Risk-Adjusted Performance

SHSAX vs. PHRAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Health Sciences Opportunities Portfolio (SHSAX) and Virtus Duff & Phelps Real Estate Securities Fund (PHRAX). 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 SHSAX, currently valued at -0.34, compared to the broader market-1.000.001.002.003.00-0.340.05
The chart of Sortino ratio for SHSAX, currently valued at -0.33, compared to the broader market-2.000.002.004.006.008.00-0.330.17
The chart of Omega ratio for SHSAX, currently valued at 0.95, compared to the broader market0.501.001.502.002.503.000.951.02
The chart of Calmar ratio for SHSAX, currently valued at -0.20, compared to the broader market0.002.004.006.008.0010.0012.00-0.200.03
The chart of Martin ratio for SHSAX, currently valued at -0.97, compared to the broader market0.0010.0020.0030.0040.0050.00-0.970.19
SHSAX
PHRAX

The current SHSAX Sharpe Ratio is -0.34, which is lower than the PHRAX Sharpe Ratio of 0.05. The chart below compares the historical Sharpe Ratios of SHSAX and PHRAX, 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 Ratio0.000.501.001.502.002.50AugustSeptemberOctoberNovemberDecember
-0.34
0.05
SHSAX
PHRAX

Dividends

SHSAX vs. PHRAX - Dividend Comparison

SHSAX has not paid dividends to shareholders, while PHRAX's dividend yield for the trailing twelve months is around 1.21%.


TTM20232022202120202019201820172016201520142013
SHSAX
BlackRock Health Sciences Opportunities Portfolio
0.00%0.26%0.34%0.00%0.00%0.30%0.11%0.00%0.00%1.38%0.04%0.08%
PHRAX
Virtus Duff & Phelps Real Estate Securities Fund
1.21%2.23%1.41%1.30%1.93%2.07%1.58%1.96%1.90%1.58%1.13%1.26%

Drawdowns

SHSAX vs. PHRAX - Drawdown Comparison

The maximum SHSAX drawdown since its inception was -39.26%, smaller than the maximum PHRAX drawdown of -73.50%. Use the drawdown chart below to compare losses from any high point for SHSAX and PHRAX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember
-22.08%
-16.56%
SHSAX
PHRAX

Volatility

SHSAX vs. PHRAX - Volatility Comparison

The current volatility for BlackRock Health Sciences Opportunities Portfolio (SHSAX) is 6.34%, while Virtus Duff & Phelps Real Estate Securities Fund (PHRAX) has a volatility of 9.48%. This indicates that SHSAX experiences smaller price fluctuations and is considered to be less risky than PHRAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember
6.34%
9.48%
SHSAX
PHRAX
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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.

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