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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Nations SkewDex, 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
Nations SkewDex (^SDEX) has returned 4.13% so far this year and 6.08% over the past 12 months.
Nations SkewDex
- 1D
- 1.15%
- 1M
- -8.01%
- YTD
- 4.13%
- 6M
- -0.96%
- 1Y
- 6.08%
- 3Y*
- 2.17%
- 5Y*
- —
- 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 29, 2022, ^SDEX's average daily return is +0.05%, while the average monthly return is +0.56%. At this rate, your investment would double in approximately 10.3 years.
Historically, 50% of months were positive and 50% were negative. The best month was Mar 2023 with a return of +9.6%, while the worst month was Jun 2023 at -11.4%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ^SDEX closed higher 47% of trading days. The best single day was Aug 5, 2024 with a return of +17.2%, while the worst single day was Aug 6, 2024 at -9.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 8.14% | 4.68% | -8.01% | 4.13% | |||||||||
| 2025 | 2.05% | 5.24% | -2.62% | 7.36% | -2.06% | -4.05% | 6.48% | -0.96% | 0.66% | -1.94% | -1.95% | -1.08% | 6.54% |
| 2024 | 4.95% | -7.19% | 2.92% | 3.21% | -0.24% | 0.11% | 5.10% | 6.33% | 5.24% | 1.61% | -7.14% | -1.95% | 12.41% |
| 2023 | 8.84% | -6.59% | 9.64% | 4.51% | -0.47% | -11.44% | -1.95% | -2.67% | 7.06% | 1.36% | -9.21% | -1.28% | -4.68% |
| 2022 | -0.34% | -0.34% |
Benchmark Metrics
Nations SkewDex has an annualized alpha of 36.39%, beta of -1.08, and R² of 0.19 versus S&P 500 Index. Calculated based on daily prices since December 30, 2022.
- This index captured 10.73% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -20.10%) — a profile typical of hedging or uncorrelated assets.
- Beta of -1.08 may look defensive, but with R² of 0.19 this index is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R² of 0.19 means this index moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 36.39%
- Beta
- -1.08
- R²
- 0.19
- Upside Capture
- 10.73%
- Downside Capture
- -20.10%
Return for Risk
Risk / Return Rank
^SDEX ranks 26 for risk / return — below 26% 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 Nations SkewDex (^SDEX) and compare them to a chosen benchmark (S&P 500 Index).
| ^SDEX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.20 | 0.90 | -0.69 |
Sortino ratioReturn per unit of downside risk | 0.53 | 1.39 | -0.85 |
Omega ratioGain probability vs. loss probability | 1.06 | 1.21 | -0.15 |
Calmar ratioReturn relative to maximum drawdown | 0.55 | 1.40 | -0.84 |
Martin ratioReturn relative to average drawdown | 0.86 | 6.61 | -5.75 |
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 ^SDEX 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 Nations SkewDex. 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 Nations SkewDex was 28.12%, occurring on Dec 13, 2023. Recovery took 160 trading sessions.
The current Nations SkewDex drawdown is 12.07%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.12% | May 16, 2023 | 147 | Dec 13, 2023 | 160 | Aug 5, 2024 | 307 |
| -21.17% | Aug 6, 2024 | 10 | Aug 19, 2024 | 85 | Dec 18, 2024 | 95 |
| -20.22% | Dec 19, 2024 | 21 | Jan 22, 2025 | 53 | Apr 8, 2025 | 74 |
| -18.53% | Apr 9, 2025 | 72 | Jul 23, 2025 | — | — | — |
| -11.19% | Feb 17, 2023 | 8 | Mar 1, 2023 | 10 | Mar 15, 2023 | 18 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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