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

Correlation

The correlation between THD and GREK is 0.36, 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.


-0.50.00.51.00.4

Performance

THD vs. GREK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Thailand ETF (THD) and Global X MSCI Greece ETF (GREK). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
35.99%
15.02%
THD
GREK

Key characteristics

Sharpe Ratio

THD:

-0.04

GREK:

0.58

Sortino Ratio

THD:

0.07

GREK:

0.88

Omega Ratio

THD:

1.01

GREK:

1.12

Calmar Ratio

THD:

-0.02

GREK:

0.26

Martin Ratio

THD:

-0.08

GREK:

2.07

Ulcer Index

THD:

8.37%

GREK:

5.16%

Daily Std Dev

THD:

17.29%

GREK:

18.36%

Max Drawdown

THD:

-64.22%

GREK:

-79.50%

Current Drawdown

THD:

-29.59%

GREK:

-34.26%

Returns By Period

In the year-to-date period, THD achieves a -4.02% return, which is significantly lower than GREK's 10.32% return. Over the past 10 years, THD has underperformed GREK with an annualized return of -0.20%, while GREK has yielded a comparatively higher 1.76% annualized return.


THD

YTD

-4.02%

1M

-4.94%

6M

10.31%

1Y

-2.87%

5Y*

-4.78%

10Y*

-0.20%

GREK

YTD

10.32%

1M

5.43%

6M

2.37%

1Y

8.63%

5Y*

9.14%

10Y*

1.76%

Compare stocks, funds, or ETFs

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


THD vs. GREK - Expense Ratio Comparison

THD has a 0.59% expense ratio, which is higher than GREK's 0.58% expense ratio.


THD
iShares MSCI Thailand ETF
Expense ratio chart for THD: 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 GREK: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

THD vs. GREK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Thailand ETF (THD) and Global X MSCI Greece ETF (GREK). 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 THD, currently valued at -0.04, compared to the broader market0.002.004.00-0.040.58
The chart of Sortino ratio for THD, currently valued at 0.07, compared to the broader market-2.000.002.004.006.008.0010.000.070.88
The chart of Omega ratio for THD, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.12
The chart of Calmar ratio for THD, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.020.26
The chart of Martin ratio for THD, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00100.00-0.082.07
THD
GREK

The current THD Sharpe Ratio is -0.04, which is lower than the GREK Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of THD and GREK, 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-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.04
0.58
THD
GREK

Dividends

THD vs. GREK - Dividend Comparison

THD's dividend yield for the trailing twelve months is around 3.21%, more than GREK's 2.14% yield.


TTM20232022202120202019201820172016201520142013
THD
iShares MSCI Thailand ETF
3.21%2.92%2.41%3.16%2.31%2.42%2.57%2.16%2.61%3.58%2.34%2.93%
GREK
Global X MSCI Greece ETF
2.14%2.61%2.82%2.16%2.62%2.25%2.41%2.13%1.95%1.52%0.97%0.12%

Drawdowns

THD vs. GREK - Drawdown Comparison

The maximum THD drawdown since its inception was -64.22%, smaller than the maximum GREK drawdown of -79.50%. Use the drawdown chart below to compare losses from any high point for THD and GREK. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-29.59%
-34.26%
THD
GREK

Volatility

THD vs. GREK - Volatility Comparison

iShares MSCI Thailand ETF (THD) and Global X MSCI Greece ETF (GREK) have volatilities of 4.61% and 4.68%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.61%
4.68%
THD
GREK
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