PortfoliosLab logo
^SP600 vs. ^XLHK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and ^XLHK is 0.16, 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.


-0.50.00.51.0
Correlation: 0.2

Performance

^SP600 vs. ^XLHK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%NovemberDecember2025FebruaryMarchApril
350.05%
80.62%
^SP600
^XLHK

Key characteristics

Sharpe Ratio

^SP600:

-0.23

^XLHK:

-0.05

Sortino Ratio

^SP600:

-0.17

^XLHK:

0.07

Omega Ratio

^SP600:

0.98

^XLHK:

1.01

Calmar Ratio

^SP600:

-0.19

^XLHK:

-0.02

Martin Ratio

^SP600:

-0.60

^XLHK:

-0.09

Ulcer Index

^SP600:

9.00%

^XLHK:

11.74%

Daily Std Dev

^SP600:

23.79%

^XLHK:

20.55%

Max Drawdown

^SP600:

-59.17%

^XLHK:

-68.02%

Current Drawdown

^SP600:

-21.08%

^XLHK:

-44.04%

Returns By Period

In the year-to-date period, ^SP600 achieves a -13.43% return, which is significantly lower than ^XLHK's -0.22% return. Over the past 10 years, ^SP600 has outperformed ^XLHK with an annualized return of 5.36%, while ^XLHK has yielded a comparatively lower -3.69% annualized return.


^SP600

YTD

-13.43%

1M

-6.61%

6M

-12.34%

1Y

-4.33%

5Y*

11.28%

10Y*

5.36%

^XLHK

YTD

-0.22%

1M

-3.23%

6M

-5.76%

1Y

2.16%

5Y*

-5.47%

10Y*

-3.69%

*Annualized

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

^SP600 vs. ^XLHK — Risk-Adjusted Performance Rank

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

^SP600
The Risk-Adjusted Performance Rank of ^SP600 is 1818
Overall Rank
The Sharpe Ratio Rank of ^SP600 is 1919
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP600 is 1818
Sortino Ratio Rank
The Omega Ratio Rank of ^SP600 is 1818
Omega Ratio Rank
The Calmar Ratio Rank of ^SP600 is 1515
Calmar Ratio Rank
The Martin Ratio Rank of ^SP600 is 1818
Martin Ratio Rank

^XLHK
The Risk-Adjusted Performance Rank of ^XLHK is 2727
Overall Rank
The Sharpe Ratio Rank of ^XLHK is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XLHK is 2525
Sortino Ratio Rank
The Omega Ratio Rank of ^XLHK is 2525
Omega Ratio Rank
The Calmar Ratio Rank of ^XLHK is 2828
Calmar Ratio Rank
The Martin Ratio Rank of ^XLHK is 2828
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.

^SP600 vs. ^XLHK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK). 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 chart of Sharpe ratio for ^SP600, currently valued at -0.33, compared to the broader market-0.500.000.501.001.50
^SP600: -0.33
^XLHK: -0.01
The chart of Sortino ratio for ^SP600, currently valued at -0.32, compared to the broader market-1.00-0.500.000.501.001.502.00
^SP600: -0.32
^XLHK: 0.13
The chart of Omega ratio for ^SP600, currently valued at 0.96, compared to the broader market0.901.001.101.201.30
^SP600: 0.96
^XLHK: 1.02
The chart of Calmar ratio for ^SP600, currently valued at -0.27, compared to the broader market-0.500.000.501.00
^SP600: -0.27
^XLHK: -0.01
The chart of Martin ratio for ^SP600, currently valued at -0.82, compared to the broader market0.002.004.006.00
^SP600: -0.82
^XLHK: -0.02

The current ^SP600 Sharpe Ratio is -0.23, which is lower than the ^XLHK Sharpe Ratio of -0.05. The chart below compares the historical Sharpe Ratios of ^SP600 and ^XLHK, 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-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.33
-0.01
^SP600
^XLHK

Drawdowns

^SP600 vs. ^XLHK - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum ^XLHK drawdown of -68.02%. Use the drawdown chart below to compare losses from any high point for ^SP600 and ^XLHK. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-21.08%
-44.00%
^SP600
^XLHK

Volatility

^SP600 vs. ^XLHK - Volatility Comparison

S&P 600 (^SP600) has a higher volatility of 14.63% compared to Dow Jones Hong Kong Titans 30 Index (^XLHK) at 10.03%. This indicates that ^SP600's price experiences larger fluctuations and is considered to be riskier than ^XLHK 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%14.00%NovemberDecember2025FebruaryMarchApril
14.63%
10.03%
^SP600
^XLHK