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^GSPC vs. ONEQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GSPC and ONEQ is 0.91, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

^GSPC vs. ONEQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and Fidelity NASDAQ Composite Index Tracking Stock (ONEQ). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%OctoberNovemberDecember2025FebruaryMarch
448.11%
1,047.45%
^GSPC
ONEQ

Key characteristics

Sharpe Ratio

^GSPC:

0.52

ONEQ:

0.34

Sortino Ratio

^GSPC:

0.78

ONEQ:

0.57

Omega Ratio

^GSPC:

1.10

ONEQ:

1.07

Calmar Ratio

^GSPC:

0.72

ONEQ:

0.48

Martin Ratio

^GSPC:

2.41

ONEQ:

1.36

Ulcer Index

^GSPC:

3.01%

ONEQ:

4.96%

Daily Std Dev

^GSPC:

13.98%

ONEQ:

19.98%

Max Drawdown

^GSPC:

-56.78%

ONEQ:

-55.09%

Current Drawdown

^GSPC:

-9.17%

ONEQ:

-14.07%

Returns By Period

In the year-to-date period, ^GSPC achieves a -5.11% return, which is significantly higher than ONEQ's -10.26% return. Over the past 10 years, ^GSPC has underperformed ONEQ with an annualized return of 10.46%, while ONEQ has yielded a comparatively higher 14.61% annualized return.


^GSPC

YTD

-5.11%

1M

-6.30%

6M

-2.74%

1Y

6.22%

5Y*

17.08%

10Y*

10.46%

ONEQ

YTD

-10.26%

1M

-9.07%

6M

-4.26%

1Y

6.55%

5Y*

19.39%

10Y*

14.61%

*Annualized

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Risk-Adjusted Performance

^GSPC vs. ONEQ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6767
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6161
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6161
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7474
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
Martin Ratio Rank

ONEQ
The Risk-Adjusted Performance Rank of ONEQ is 3636
Overall Rank
The Sharpe Ratio Rank of ONEQ is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of ONEQ is 3333
Sortino Ratio Rank
The Omega Ratio Rank of ONEQ is 3434
Omega Ratio Rank
The Calmar Ratio Rank of ONEQ is 4444
Calmar Ratio Rank
The Martin Ratio Rank of ONEQ is 3737
Martin 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.

^GSPC vs. ONEQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Fidelity NASDAQ Composite Index Tracking Stock (ONEQ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The chart of Sharpe ratio for ^GSPC, currently valued at 0.52, compared to the broader market-1.00-0.500.000.501.001.500.520.34
The chart of Sortino ratio for ^GSPC, currently valued at 0.78, compared to the broader market-1.000.001.002.000.780.57
The chart of Omega ratio for ^GSPC, currently valued at 1.10, compared to the broader market0.901.001.101.201.301.101.07
The chart of Calmar ratio for ^GSPC, currently valued at 0.72, compared to the broader market-0.500.000.501.001.502.000.720.48
The chart of Martin ratio for ^GSPC, currently valued at 2.41, compared to the broader market0.002.004.006.008.002.411.36
^GSPC
ONEQ

The current ^GSPC Sharpe Ratio is 0.52, which is higher than the ONEQ Sharpe Ratio of 0.34. The chart below compares the historical Sharpe Ratios of ^GSPC and ONEQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00OctoberNovemberDecember2025FebruaryMarch
0.52
0.34
^GSPC
ONEQ

Drawdowns

^GSPC vs. ONEQ - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum ONEQ drawdown of -55.09%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ONEQ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2025FebruaryMarch
-9.17%
-14.07%
^GSPC
ONEQ

Volatility

^GSPC vs. ONEQ - Volatility Comparison

The current volatility for S&P 500 (^GSPC) is 6.20%, while Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) has a volatility of 8.53%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than ONEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%OctoberNovemberDecember2025FebruaryMarch
6.20%
8.53%
^GSPC
ONEQ