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Performance
^SDEX Performance Chart
Nations SkewDex (^SDEX) is up 3.2% since the beginning of the year. ^SDEX is currently trading at $61 per share. Investors who bought $1,000 worth of ^SDEX shares 5 years ago would now be looking at an investment worth $817.
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Returns By Period
Nations SkewDex (^SDEX) has returned 3.18% so far this year and -5.28% over the past 12 months. Over the last ten years, ^SDEX has returned -1.05% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
Nations SkewDex
- 1D
- 1.32%
- 1M
- 4.11%
- YTD
- 3.18%
- 6M
- 0.44%
- 1Y
- -5.28%
- 3Y*
- 3.20%
- 5Y*
- -3.96%
- 10Y*
- -1.05%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
^SDEX Monthly Returns History
Based on dividend-adjusted daily data since Jun 21, 2013, ^SDEX's average daily return is +0.02%, while the average monthly return is +0.11%. At this rate, an investment would double in approximately 52.5 years.
Historically, 49% of months were positive and 51% were negative. The best month was Dec 2017 with a return of +20.5%, while the worst month was Nov 2017 at -14.9%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^SDEX closed higher 49% of trading days. The best single day was Mar 20, 2020 with a return of +27.4%, while the worst single day was Mar 23, 2020 at -27.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 8.14% | 4.68% | -8.01% | -1.62% | -5.33% | 6.39% | 3.18% | ||||||
| 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 | 4.94% | -7.19% | 2.92% | 3.22% | -0.25% | 0.12% | 5.10% | 6.32% | 5.24% | 1.61% | -7.14% | -1.95% | 12.41% |
| 2023 | 8.85% | -6.59% | 9.63% | 4.52% | -0.46% | -11.45% | -1.95% | -2.67% | 7.07% | 1.36% | -9.21% | -1.28% | -4.67% |
| 2022 | -4.73% | -0.07% | -4.92% | 0.87% | -7.97% | -1.37% | -0.15% | -1.78% | 1.26% | -9.53% | 0.21% | -3.28% | -27.83% |
| 2021 | 1.69% | -1.95% | -0.93% | 0.55% | 0.00% | 5.48% | 1.19% | -1.11% | -8.17% | 6.66% | -1.74% | -0.11% | 0.78% |
Benchmark Metrics
Nations SkewDex has an annualized alpha of 8.68%, beta of -0.23, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since June 21, 2013.
- This index participated in 15.54% of S&P 500 Index downside but only 4.51% of its upside - more exposed to losses than it benefited from rallies.
- Beta of -0.23 may look defensive, but with R2 of 0.01 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 0.01 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
- 8.68%
- Beta
- -0.23
- R²
- 0.01
- Upside Capture
- 4.51%
- Downside Capture
- 15.54%
Return for Risk
Risk / Return Rank
^SDEX ranks 5 for risk / return — in the bottom 5% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Nations SkewDex (^SDEX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SDEX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.21 | ||
| Sortino ratioReturn per unit of downside risk | -2.81 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.37 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | 2.78 | -3.06 |
| Martin ratioReturn relative to average drawdown | -0.58 | 12.44 | -13.02 |
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 49.14%, occurring on Dec 13, 2023. The portfolio has not yet recovered.
The current Nations SkewDex drawdown is 32.55%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2023 bear market2023 | -49.14%Dec 2023 | 3y 8mo | — | 6y 3moMar 2020 - now |
2018 bear market2018 | -36.80%Jun 2018 | 3mo 29d | 1y 9mo | 2y 1moFeb 2018 - Mar 2020 |
2017 bear market2017 | -21.28%Mar 2017 | 1y 6mo | 6mo 12d | 2y 18dAug 2015 - Sep 2017 |
2017 bear market2017 | -20.76%Dec 2017 | 2mo 24d | 1mo 29d | 4mo 23dSep 2017 - Feb 2018 |
2015 correction2015 | -14.32%Mar 2015 | 2mo 10d | 5mo 14d | 7mo 24dJan 2015 - Aug 2015 |
Drawdown Indicators
| ^SDEX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.14% | -56.78% | +7.64% |
Max Drawdown (1Y)Largest decline over 1 year | -18.93% | -9.10% | -9.83% |
Max Drawdown (3Y)Largest decline over 3 years | -22.25% | -18.90% | -3.35% |
Max Drawdown (5Y)Largest decline over 5 years | -40.16% | -25.43% | -14.73% |
Max Drawdown (10Y)Largest decline over 10 years | -49.14% | -33.92% | -15.22% |
Current DrawdownCurrent decline from peak | -32.55% | -1.80% | -30.75% |
Average DrawdownAverage peak-to-trough decline | -21.69% | -10.71% | -10.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.10% | 2.03% | +7.07% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^SDEX
Add Nations SkewDex to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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