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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in NASDAQ Composite Total Return Index, 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 Composite Total Return Index (^XCMP) has returned -6.96% so far this year and 25.60% over the past 12 months. Looking at the last ten years, ^XCMP has achieved an annualized return of 16.99%, outperforming the S&P 500 Index benchmark, which averaged 12.16% per year.
NASDAQ Composite Total Return Index
- 1D
- 3.83%
- 1M
- -4.68%
- YTD
- -6.96%
- 6M
- -4.43%
- 1Y
- 25.60%
- 3Y*
- 21.75%
- 5Y*
- 10.69%
- 10Y*
- 16.99%
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 Mar 10, 2014, ^XCMP's average daily return is +0.07%, while the average monthly return is +1.32%. At this rate, your investment would double in approximately 4.4 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +15.5%, while the worst month was Apr 2022 at -13.2%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ^XCMP closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +12.2%, while the worst single day was Mar 16, 2020 at -12.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.97% | -3.33% | -4.68% | -6.96% | |||||||||
| 2025 | 1.66% | -3.91% | -8.14% | 0.88% | 9.65% | 6.64% | 3.72% | 1.65% | 5.68% | 4.72% | -1.45% | -0.47% | 21.14% |
| 2024 | 1.04% | 6.22% | 1.85% | -4.38% | 6.98% | 6.03% | -0.73% | 0.74% | 2.76% | -0.49% | 6.29% | 0.55% | 29.57% |
| 2023 | 10.72% | -1.01% | 6.78% | 0.07% | 5.93% | 6.65% | 4.08% | -2.05% | -5.77% | -2.76% | 10.83% | 5.58% | 44.64% |
| 2022 | -8.96% | -3.35% | 3.48% | -13.24% | -1.93% | -8.65% | 12.39% | -4.53% | -10.44% | 3.94% | 4.51% | -8.67% | -32.54% |
| 2021 | 1.44% | 1.01% | 0.48% | 5.43% | -1.44% | 5.55% | 1.19% | 4.08% | -5.27% | 7.29% | 0.33% | 0.74% | 22.18% |
Benchmark Metrics
NASDAQ Composite Total Return Index has an annualized alpha of 2.91%, beta of 1.15, and R² of 0.90 versus S&P 500 Index. Calculated based on daily prices since March 11, 2014.
- This index captured 123.88% of S&P 500 Index gains and 104.72% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- This index generated an annualized alpha of 2.91% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.15 and R² of 0.90, 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
- 2.91%
- Beta
- 1.15
- R²
- 0.90
- Upside Capture
- 123.88%
- Downside Capture
- 104.72%
Return for Risk
Risk / Return Rank
^XCMP ranks 77 for risk / return — better than 77% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) and compare them to a chosen benchmark (S&P 500 Index).
| ^XCMP | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.90 | +0.20 |
Sortino ratioReturn per unit of downside risk | 1.70 | 1.39 | +0.31 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.81 | 1.40 | +0.41 |
Martin ratioReturn relative to average drawdown | 7.22 | 6.61 | +0.61 |
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 ^XCMP 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 Composite Total Return Index. 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 Composite Total Return Index was 35.83%, occurring on Dec 28, 2022. Recovery took 279 trading sessions.
The current NASDAQ Composite Total Return Index drawdown is 9.62%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.83% | Nov 22, 2021 | 277 | Dec 28, 2022 | 279 | Feb 8, 2024 | 556 |
| -30.04% | Feb 20, 2020 | 23 | Mar 23, 2020 | 52 | Jun 5, 2020 | 75 |
| -24.16% | Dec 17, 2024 | 76 | Apr 8, 2025 | 55 | Jun 26, 2025 | 131 |
| -23.37% | Sep 4, 2018 | 78 | Dec 24, 2018 | 81 | Apr 23, 2019 | 159 |
| -17.65% | Jul 21, 2015 | 143 | Feb 11, 2016 | 116 | Jul 28, 2016 | 259 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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