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^IXIC vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^IXIC and ^NDX is 0.84, 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.


Performance

^IXIC vs. ^NDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Composite (^IXIC) and NASDAQ 100 (^NDX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^IXIC:

0.54

^NDX:

0.57

Sortino Ratio

^IXIC:

0.96

^NDX:

1.00

Omega Ratio

^IXIC:

1.13

^NDX:

1.14

Calmar Ratio

^IXIC:

0.60

^NDX:

0.66

Martin Ratio

^IXIC:

1.97

^NDX:

2.15

Ulcer Index

^IXIC:

7.43%

^NDX:

7.05%

Daily Std Dev

^IXIC:

25.98%

^NDX:

25.56%

Max Drawdown

^IXIC:

-77.93%

^NDX:

-82.90%

Current Drawdown

^IXIC:

-5.11%

^NDX:

-3.64%

Returns By Period

In the year-to-date period, ^IXIC achieves a -0.87% return, which is significantly lower than ^NDX's 1.69% return. Over the past 10 years, ^IXIC has underperformed ^NDX with an annualized return of 14.17%, while ^NDX has yielded a comparatively higher 16.79% annualized return.


^IXIC

YTD

-0.87%

1M

17.54%

6M

0.82%

1Y

13.98%

3Y*

19.02%

5Y*

15.57%

10Y*

14.17%

^NDX

YTD

1.69%

1M

17.03%

6M

3.30%

1Y

14.42%

3Y*

21.76%

5Y*

17.90%

10Y*

16.79%

*Annualized

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NASDAQ Composite

NASDAQ 100

Risk-Adjusted Performance

^IXIC vs. ^NDX — Risk-Adjusted Performance Rank

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

^IXIC
The Risk-Adjusted Performance Rank of ^IXIC is 5757
Overall Rank
The Sharpe Ratio Rank of ^IXIC is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of ^IXIC is 5656
Sortino Ratio Rank
The Omega Ratio Rank of ^IXIC is 5555
Omega Ratio Rank
The Calmar Ratio Rank of ^IXIC is 5959
Calmar Ratio Rank
The Martin Ratio Rank of ^IXIC is 5959
Martin Ratio Rank

^NDX
The Risk-Adjusted Performance Rank of ^NDX is 6262
Overall Rank
The Sharpe Ratio Rank of ^NDX is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 6060
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 5959
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 6868
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 6464
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.

^IXIC vs. ^NDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) and NASDAQ 100 (^NDX). 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 current ^IXIC Sharpe Ratio is 0.54, which is comparable to the ^NDX Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of ^IXIC and ^NDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^IXIC vs. ^NDX - Drawdown Comparison

The maximum ^IXIC drawdown since its inception was -77.93%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^IXIC and ^NDX. For additional features, visit the drawdowns tool.


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Volatility

^IXIC vs. ^NDX - Volatility Comparison

NASDAQ Composite (^IXIC) has a higher volatility of 6.01% compared to NASDAQ 100 (^NDX) at 5.61%. This indicates that ^IXIC's price experiences larger fluctuations and is considered to be riskier than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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