^SP600 vs. ^XLHK
Compare and contrast key facts about S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SP600 or ^XLHK.
Key characteristics
| ^SP600 | ^XLHK | |
|---|---|---|
| YTD Return | 6.97% | 0.27% |
| 1Y Return | 28.96% | 7.21% |
| 3Y Return (Ann) | 0.70% | -9.96% |
| 5Y Return (Ann) | 7.93% | -6.49% |
| 10Y Return (Ann) | 8.15% | -2.12% |
| Sharpe Ratio | 1.37 | 0.13 |
| Sortino Ratio | 2.05 | 0.33 |
| Omega Ratio | 1.24 | 1.04 |
| Calmar Ratio | 1.01 | 0.05 |
| Martin Ratio | 7.69 | 0.31 |
| Ulcer Index | 3.57% | 8.65% |
| Daily Std Dev | 20.07% | 20.99% |
| Max Drawdown | -59.17% | -68.02% |
| Current Drawdown | -3.81% | -40.51% |
Correlation
The correlation between ^SP600 and ^XLHK 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
^SP600 vs. ^XLHK - Performance Comparison
In the year-to-date period, ^SP600 achieves a 6.97% return, which is significantly higher than ^XLHK's 0.27% return. Over the past 10 years, ^SP600 has outperformed ^XLHK with an annualized return of 8.15%, while ^XLHK has yielded a comparatively lower -2.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^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.
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.
Volatility
^SP600 vs. ^XLHK - Volatility Comparison
The current volatility for S&P 600 (^SP600) is 4.37%, while Dow Jones Hong Kong Titans 30 Index (^XLHK) has a volatility of 11.99%. This indicates that ^SP600 experiences smaller price fluctuations and is considered to be less risky than ^XLHK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.