USA Versus China from an Equity Perspective

Abstract

This study provides a quantitative evaluation of equity market performance with the goal of comparing firms located in the United States with those located in China. Using share prices adjusted daily for significantly large companies over a time period from 2010 to 2025, the research investigates volatility, return and riskadjusted efficiency.
Performance indicators used to deduct the results include the compound annual growth rate (CAGR), annualized volatility, Sharpe, Sortino and Calmar ratios.
Results show superior characteristics of U.S firms relative to their Chinese counterparts, the S&P 500 index vastly surpass China’s MCHI, so does the Nasdaq 100 index when compared to China’s largest 50 companies index FXI. When compared to US companies, such as Apple, Microsoft and Nvidia, Chinese giants such as Alibaba and Baidu generate lower return, much lower alpha (positive abnormal return) and greater downturns.
Finally, and through correlation analysis and a correlation heat map, the study provides evidence based practical implications for investors, to allow them to achieve a more efficient risk management and better diversify their portfolio.