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^HSI vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^HSI and SPY is 0.15, 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

^HSI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Hang Seng Index (^HSI) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^HSI:

0.74

SPY:

0.66

Sortino Ratio

^HSI:

1.37

SPY:

1.08

Omega Ratio

^HSI:

1.21

SPY:

1.16

Calmar Ratio

^HSI:

0.57

SPY:

0.72

Martin Ratio

^HSI:

2.68

SPY:

2.78

Ulcer Index

^HSI:

10.52%

SPY:

4.88%

Daily Std Dev

^HSI:

28.92%

SPY:

20.26%

Max Drawdown

^HSI:

-65.18%

SPY:

-55.19%

Current Drawdown

^HSI:

-28.57%

SPY:

-2.99%

Returns By Period

In the year-to-date period, ^HSI achieves a 18.05% return, which is significantly higher than SPY's 1.46% return. Over the past 10 years, ^HSI has underperformed SPY with an annualized return of -1.66%, while SPY has yielded a comparatively higher 12.71% annualized return.


^HSI

YTD

18.05%

1M

10.69%

6M

20.43%

1Y

20.60%

3Y*

4.56%

5Y*

-0.50%

10Y*

-1.66%

SPY

YTD

1.46%

1M

12.62%

6M

1.07%

1Y

13.27%

3Y*

16.71%

5Y*

16.68%

10Y*

12.71%

*Annualized

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Hang Seng Index

SPDR S&P 500 ETF

Risk-Adjusted Performance

^HSI vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^HSI
The Risk-Adjusted Performance Rank of ^HSI is 7878
Overall Rank
The Sharpe Ratio Rank of ^HSI is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of ^HSI is 8787
Sortino Ratio Rank
The Omega Ratio Rank of ^HSI is 9090
Omega Ratio Rank
The Calmar Ratio Rank of ^HSI is 5555
Calmar Ratio Rank
The Martin Ratio Rank of ^HSI is 7979
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6666
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7070
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^HSI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Hang Seng Index (^HSI) and SPDR S&P 500 ETF (SPY). 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.


The current ^HSI Sharpe Ratio is 0.74, which is comparable to the SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of ^HSI and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^HSI vs. SPY - Drawdown Comparison

The maximum ^HSI drawdown since its inception was -65.18%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^HSI and SPY. For additional features, visit the drawdowns tool.


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Volatility

^HSI vs. SPY - Volatility Comparison

Hang Seng Index (^HSI) has a higher volatility of 5.88% compared to SPDR S&P 500 ETF (SPY) at 4.66%. This indicates that ^HSI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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