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

Correlation

The correlation between ^XLHK and ^SP600 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

^XLHK vs. ^SP600 - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
1.96%
9.95%
^XLHK
^SP600

Key characteristics

Sharpe Ratio

^XLHK:

0.04

^SP600:

0.36

Sortino Ratio

^XLHK:

0.19

^SP600:

0.66

Omega Ratio

^XLHK:

1.02

^SP600:

1.08

Calmar Ratio

^XLHK:

0.02

^SP600:

0.47

Martin Ratio

^XLHK:

0.08

^SP600:

1.90

Ulcer Index

^XLHK:

9.72%

^SP600:

3.77%

Daily Std Dev

^XLHK:

20.07%

^SP600:

19.81%

Max Drawdown

^XLHK:

-68.02%

^SP600:

-59.17%

Current Drawdown

^XLHK:

-44.72%

^SP600:

-8.82%

Returns By Period

In the year-to-date period, ^XLHK achieves a -6.83% return, which is significantly lower than ^SP600's 6.84% return. Over the past 10 years, ^XLHK has underperformed ^SP600 with an annualized return of -2.36%, while ^SP600 has yielded a comparatively higher 7.40% annualized return.


^XLHK

YTD

-6.83%

1M

-1.83%

6M

1.48%

1Y

-4.02%

5Y*

-8.23%

10Y*

-2.36%

^SP600

YTD

6.84%

1M

-3.96%

6M

9.95%

1Y

9.06%

5Y*

6.62%

10Y*

7.40%

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Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Hong Kong Titans 30 Index (^XLHK) and S&P 600 (^SP600). 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 ^XLHK, currently valued at 0.07, compared to the broader market-1.000.001.002.000.070.53
The chart of Sortino ratio for ^XLHK, currently valued at 0.24, compared to the broader market-1.000.001.002.003.000.240.90
The chart of Omega ratio for ^XLHK, currently valued at 1.03, compared to the broader market0.800.901.001.101.201.301.401.031.11
The chart of Calmar ratio for ^XLHK, currently valued at 0.03, compared to the broader market0.001.002.003.004.000.030.66
The chart of Martin ratio for ^XLHK, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.142.95
^XLHK
^SP600

The current ^XLHK Sharpe Ratio is 0.04, which is lower than the ^SP600 Sharpe Ratio of 0.36. The chart below compares the historical Sharpe Ratios of ^XLHK and ^SP600, 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
0.07
0.53
^XLHK
^SP600

Drawdowns

^XLHK vs. ^SP600 - Drawdown Comparison

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


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-44.76%
-8.82%
^XLHK
^SP600

Volatility

^XLHK vs. ^SP600 - Volatility Comparison

Dow Jones Hong Kong Titans 30 Index (^XLHK) and S&P 600 (^SP600) have volatilities of 4.73% and 4.62%, 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
4.73%
4.62%
^XLHK
^SP600
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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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