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

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.


-0.50.00.51.00.1

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.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.06%
2.27%
^SP600
^XLHK

Key characteristics

Sharpe Ratio

^SP600:

0.49

^XLHK:

0.23

Sortino Ratio

^SP600:

0.84

^XLHK:

0.46

Omega Ratio

^SP600:

1.10

^XLHK:

1.06

Calmar Ratio

^SP600:

0.64

^XLHK:

0.09

Martin Ratio

^SP600:

2.63

^XLHK:

0.47

Ulcer Index

^SP600:

3.73%

^XLHK:

9.66%

Daily Std Dev

^SP600:

19.90%

^XLHK:

20.04%

Max Drawdown

^SP600:

-59.17%

^XLHK:

-68.02%

Current Drawdown

^SP600:

-8.46%

^XLHK:

-44.02%

Returns By Period

In the year-to-date period, ^SP600 achieves a 7.26% return, which is significantly higher than ^XLHK's -5.64% return. Over the past 10 years, ^SP600 has outperformed ^XLHK with an annualized return of 7.52%, while ^XLHK has yielded a comparatively lower -2.25% annualized return.


^SP600

YTD

7.26%

1M

-3.31%

6M

10.06%

1Y

7.59%

5Y*

6.71%

10Y*

7.52%

^XLHK

YTD

-5.64%

1M

-0.22%

6M

1.79%

1Y

-2.19%

5Y*

-8.02%

10Y*

-2.25%

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 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.


Sharpe ratio
The chart of Sharpe ratio for ^SP600, currently valued at 0.52, compared to the broader market-1.000.001.002.000.520.26
The chart of Sortino ratio for ^SP600, currently valued at 0.87, compared to the broader market-1.000.001.002.003.000.870.51
The chart of Omega ratio for ^SP600, currently valued at 1.11, compared to the broader market0.800.901.001.101.201.301.401.111.06
The chart of Calmar ratio for ^SP600, currently valued at 0.64, compared to the broader market0.001.002.003.004.000.640.11
The chart of Martin ratio for ^SP600, currently valued at 2.90, compared to the broader market0.005.0010.0015.002.900.55
^SP600
^XLHK

The current ^SP600 Sharpe Ratio is 0.49, which is higher than the ^XLHK Sharpe Ratio of 0.23. 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-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.52
0.26
^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%JulyAugustSeptemberOctoberNovemberDecember
-8.46%
-44.06%
^SP600
^XLHK

Volatility

^SP600 vs. ^XLHK - Volatility Comparison

S&P 600 (^SP600) and Dow Jones Hong Kong Titans 30 Index (^XLHK) have volatilities of 4.65% and 4.55%, 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.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
4.65%
4.55%
^SP600
^XLHK
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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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