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TME vs. MCHI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TME and MCHI is 0.62, 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.


-0.50.00.51.00.6

Performance

TME vs. MCHI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Tencent Music Entertainment Group (TME) and iShares MSCI China ETF (MCHI). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-15.16%
-6.45%
TME
MCHI

Key characteristics

Sharpe Ratio

TME:

0.72

MCHI:

0.59

Sortino Ratio

TME:

1.34

MCHI:

1.09

Omega Ratio

TME:

1.16

MCHI:

1.14

Calmar Ratio

TME:

0.49

MCHI:

0.32

Martin Ratio

TME:

2.15

MCHI:

1.80

Ulcer Index

TME:

16.59%

MCHI:

10.58%

Daily Std Dev

TME:

49.96%

MCHI:

32.28%

Max Drawdown

TME:

-90.19%

MCHI:

-62.84%

Current Drawdown

TME:

-62.64%

MCHI:

-47.94%

Returns By Period

In the year-to-date period, TME achieves a 31.82% return, which is significantly higher than MCHI's 16.55% return.


TME

YTD

31.82%

1M

2.44%

6M

-18.04%

1Y

35.43%

5Y*

0.35%

10Y*

N/A

MCHI

YTD

16.55%

1M

-1.59%

6M

8.61%

1Y

17.66%

5Y*

-4.25%

10Y*

1.34%

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Risk-Adjusted Performance

TME vs. MCHI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tencent Music Entertainment Group (TME) and iShares MSCI China ETF (MCHI). 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 TME, currently valued at 0.72, compared to the broader market-4.00-2.000.002.000.720.59
The chart of Sortino ratio for TME, currently valued at 1.34, compared to the broader market-4.00-2.000.002.004.001.341.09
The chart of Omega ratio for TME, currently valued at 1.16, compared to the broader market0.501.001.502.001.161.14
The chart of Calmar ratio for TME, currently valued at 0.49, compared to the broader market0.002.004.006.000.490.32
The chart of Martin ratio for TME, currently valued at 2.15, compared to the broader market0.0010.0020.002.151.80
TME
MCHI

The current TME Sharpe Ratio is 0.72, which is comparable to the MCHI Sharpe Ratio of 0.59. The chart below compares the historical Sharpe Ratios of TME and MCHI, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.72
0.59
TME
MCHI

Dividends

TME vs. MCHI - Dividend Comparison

TME's dividend yield for the trailing twelve months is around 1.16%, less than MCHI's 4.48% yield.


TTM20232022202120202019201820172016201520142013
TME
Tencent Music Entertainment Group
1.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MCHI
iShares MSCI China ETF
4.48%3.49%2.16%1.04%1.04%1.45%1.60%1.56%1.66%2.76%2.35%2.37%

Drawdowns

TME vs. MCHI - Drawdown Comparison

The maximum TME drawdown since its inception was -90.19%, which is greater than MCHI's maximum drawdown of -62.84%. Use the drawdown chart below to compare losses from any high point for TME and MCHI. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-62.64%
-47.94%
TME
MCHI

Volatility

TME vs. MCHI - Volatility Comparison

Tencent Music Entertainment Group (TME) has a higher volatility of 15.75% compared to iShares MSCI China ETF (MCHI) at 10.37%. This indicates that TME's price experiences larger fluctuations and is considered to be riskier than MCHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
15.75%
10.37%
TME
MCHI
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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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