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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.
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Returns By Period
Nasdaq CTA Artificial Intelligence & Robotics (^NQROBO) has returned -11.71% so far this year and 12.95% over the past 12 months.
Nasdaq CTA Artificial Intelligence & Robotics
- 1D
- 2.95%
- 1M
- -10.29%
- YTD
- -11.71%
- 6M
- -13.33%
- 1Y
- 12.95%
- 3Y*
- 2.61%
- 5Y*
- -2.77%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Dec 19, 2017, ^NQROBO's average daily return is +0.03%, while the average monthly return is +0.68%. At this rate, your investment would double in approximately 8.5 years.
Historically, 56% of months were positive and 44% were negative. The best month was Nov 2020 with a return of +19.9%, while the worst month was Mar 2020 at -15.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ^NQROBO closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +9.5%, while the worst single day was Mar 12, 2020 at -10.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.23% | -1.81% | -10.29% | -11.71% | |||||||||
| 2025 | 4.84% | -6.76% | -7.97% | 2.65% | 7.08% | 8.09% | 3.91% | 1.36% | 4.15% | 5.90% | -7.11% | -0.20% | 15.10% |
| 2024 | -3.95% | 4.35% | -1.13% | -6.93% | 0.78% | 0.09% | 1.29% | 0.67% | 1.57% | -1.48% | 8.92% | -4.06% | -0.80% |
| 2023 | 14.04% | 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% |
| 2021 | 6.94% | 0.70% | -3.75% | 1.49% | -0.88% | 4.08% | -1.05% | 3.97% | -4.42% | 3.89% | -2.49% | 1.69% | 9.94% |
Benchmark Metrics
Nasdaq CTA Artificial Intelligence & Robotics has an annualized alpha of -4.23%, beta of 0.96, and R² of 0.70 versus S&P 500 Index. Calculated based on daily prices since December 20, 2017.
- This index participated in 121.74% of S&P 500 Index downside but only 100.43% of its upside — more exposed to losses than it benefited from rallies.
- This index had an annualized alpha of -4.23% versus S&P 500 Index — delivering less than market exposure alone would predict.
- With beta of 0.96 and R² of 0.70, this index moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -4.23%
- Beta
- 0.96
- R²
- 0.70
- Upside Capture
- 100.43%
- Downside Capture
- 121.74%
Return for Risk
Risk / Return Rank
^NQROBO ranks 35 for risk / return — below 35% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Nasdaq CTA Artificial Intelligence & Robotics (^NQROBO) and compare them to a chosen benchmark (S&P 500 Index).
| ^NQROBO | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.54 | 0.90 | -0.36 |
Sortino ratioReturn per unit of downside risk | 0.92 | 1.39 | -0.47 |
Omega ratioGain probability vs. loss probability | 1.11 | 1.21 | -0.10 |
Calmar ratioReturn relative to maximum drawdown | 0.87 | 1.40 | -0.53 |
Martin ratioReturn relative to average drawdown | 2.89 | 6.61 | -3.71 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^NQROBO risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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.
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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 22.27%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -44.12% | Feb 16, 2021 | 434 | Oct 14, 2022 | — | — | — |
| -36.37% | Feb 14, 2020 | 26 | Mar 23, 2020 | 74 | Jul 6, 2020 | 100 |
| -24.69% | Sep 17, 2018 | 69 | Dec 24, 2018 | 73 | Apr 10, 2019 | 142 |
| -10.9% | Jan 29, 2018 | 48 | Apr 6, 2018 | 99 | Aug 27, 2018 | 147 |
| -9.37% | Jul 25, 2019 | 16 | Aug 15, 2019 | 84 | Dec 13, 2019 | 100 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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