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Nasdaq CTA Artificial Intelligence & Robotics (^NQ...
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


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Popular comparisons: ^NQROBO vs. ^GSPC, ^NQROBO vs. XAIX.DE, ^NQROBO vs. SCHD, ^NQROBO vs. SMH

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Nasdaq CTA Artificial Intelligence & Robotics, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


40.00%60.00%80.00%100.00%120.00%MayJuneJulyAugustSeptemberOctober
51.26%
114.47%
^NQROBO (Nasdaq CTA Artificial Intelligence & Robotics)
Benchmark (^GSPC)

Returns By Period

Nasdaq CTA Artificial Intelligence & Robotics had a return of -4.05% year-to-date (YTD) and 11.59% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date-4.05%20.57%
1 month5.38%4.18%
6 months-0.30%10.51%
1 year11.59%35.06%
5 years (annualized)6.88%14.29%
10 years (annualized)N/A11.53%

Monthly Returns

The table below presents the monthly returns of ^NQROBO, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.95%4.35%-1.13%-6.93%0.78%0.09%1.29%0.67%1.57%-4.05%
202314.04%0.09%3.96%-4.63%8.00%3.98%2.34%-7.60%-6.09%-8.82%14.29%8.13%27.16%
2022-11.21%-2.09%-0.89%-12.81%0.33%-10.87%9.65%-5.33%-12.31%6.67%5.39%-5.34%-34.94%
20216.94%0.70%-3.75%1.49%-0.88%4.08%-1.05%3.97%-4.42%3.89%-2.49%1.69%9.94%
20201.67%-8.20%-15.12%15.24%10.86%3.37%3.61%7.79%-3.01%-0.15%19.89%7.51%45.85%
201913.10%7.76%0.98%5.72%-7.95%7.23%-0.32%-4.11%-0.11%1.59%4.66%2.71%33.93%
20187.80%-4.59%-2.13%-1.61%3.26%-1.35%2.82%7.73%-0.66%-12.26%1.29%-10.06%-11.27%
20170.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^NQROBO is 15, indicating that it is in the bottom 15% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^NQROBO is 1515
^NQROBO (Nasdaq CTA Artificial Intelligence & Robotics)
The Sharpe Ratio Rank of ^NQROBO is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of ^NQROBO is 1414Sortino Ratio Rank
The Omega Ratio Rank of ^NQROBO is 1414Omega Ratio Rank
The Calmar Ratio Rank of ^NQROBO is 1212Calmar Ratio Rank
The Martin Ratio Rank of ^NQROBO is 1818Martin 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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Nasdaq CTA Artificial Intelligence & Robotics (^NQROBO) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^NQROBO
Sharpe ratio
The chart of Sharpe ratio for ^NQROBO, currently valued at 0.47, compared to the broader market0.001.002.003.000.47
Sortino ratio
The chart of Sortino ratio for ^NQROBO, currently valued at 0.76, compared to the broader market-1.000.001.002.003.000.76
Omega ratio
The chart of Omega ratio for ^NQROBO, currently valued at 1.09, compared to the broader market0.901.001.101.201.301.401.501.09
Calmar ratio
The chart of Calmar ratio for ^NQROBO, currently valued at 0.23, compared to the broader market0.001.002.003.004.005.000.23
Martin ratio
The chart of Martin ratio for ^NQROBO, currently valued at 1.35, compared to the broader market0.005.0010.0015.0020.001.35
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.001.002.003.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-1.000.001.002.003.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.901.001.101.201.301.401.501.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.001.002.003.004.005.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.005.0010.0015.0020.0017.01

Sharpe Ratio

The current Nasdaq CTA Artificial Intelligence & Robotics Sharpe ratio is 0.47. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Nasdaq CTA Artificial Intelligence & Robotics with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
0.47
2.80
^NQROBO (Nasdaq CTA Artificial Intelligence & Robotics)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-26.02%
-0.20%
^NQROBO (Nasdaq CTA Artificial Intelligence & Robotics)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Nasdaq CTA Artificial Intelligence & Robotics. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Nasdaq CTA Artificial Intelligence & Robotics was 44.12%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current Nasdaq CTA Artificial Intelligence & Robotics drawdown is 26.02%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.12%Feb 16, 2021434Oct 14, 2022
-36.37%Feb 14, 202026Mar 23, 202074Jul 6, 2020100
-24.69%Sep 17, 201869Dec 24, 201873Apr 10, 2019142
-10.9%Jan 29, 201848Apr 6, 201899Aug 27, 2018147
-9.37%Jul 25, 201916Aug 15, 201984Dec 13, 2019100

Volatility

Volatility Chart

The current Nasdaq CTA Artificial Intelligence & Robotics volatility is 5.46%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
5.46%
3.37%
^NQROBO (Nasdaq CTA Artificial Intelligence & Robotics)
Benchmark (^GSPC)