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^N225 vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^N225 and ^GSPC is 0.05, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

^N225 vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nikkei 225 (^N225) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
-2.90%
7.77%
^N225
^GSPC

Key characteristics

Sharpe Ratio

^N225:

0.54

^GSPC:

2.06

Sortino Ratio

^N225:

0.86

^GSPC:

2.74

Omega Ratio

^N225:

1.14

^GSPC:

1.38

Calmar Ratio

^N225:

0.54

^GSPC:

3.13

Martin Ratio

^N225:

1.89

^GSPC:

12.84

Ulcer Index

^N225:

7.35%

^GSPC:

2.07%

Daily Std Dev

^N225:

26.02%

^GSPC:

12.87%

Max Drawdown

^N225:

-81.87%

^GSPC:

-56.78%

Current Drawdown

^N225:

-8.93%

^GSPC:

-1.54%

Returns By Period

In the year-to-date period, ^N225 achieves a -3.62% return, which is significantly lower than ^GSPC's 1.96% return. Over the past 10 years, ^N225 has underperformed ^GSPC with an annualized return of 8.41%, while ^GSPC has yielded a comparatively higher 11.51% annualized return.


^N225

YTD

-3.62%

1M

-1.61%

6M

-4.02%

1Y

8.42%

5Y*

10.09%

10Y*

8.41%

^GSPC

YTD

1.96%

1M

2.12%

6M

8.93%

1Y

25.43%

5Y*

12.52%

10Y*

11.51%

*Annualized

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Risk-Adjusted Performance

^N225 vs. ^GSPC — Risk-Adjusted Performance Rank

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

^N225
The Risk-Adjusted Performance Rank of ^N225 is 3434
Overall Rank
The Sharpe Ratio Rank of ^N225 is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of ^N225 is 2929
Sortino Ratio Rank
The Omega Ratio Rank of ^N225 is 3434
Omega Ratio Rank
The Calmar Ratio Rank of ^N225 is 4141
Calmar Ratio Rank
The Martin Ratio Rank of ^N225 is 3333
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 9292
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 8989
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 9292
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 9393
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 9595
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.

^N225 vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nikkei 225 (^N225) and S&P 500 (^GSPC). 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 ^N225, currently valued at 0.01, compared to the broader market-0.500.000.501.001.502.002.500.011.70
The chart of Sortino ratio for ^N225, currently valued at 0.21, compared to the broader market-1.000.001.002.003.000.212.31
The chart of Omega ratio for ^N225, currently valued at 1.03, compared to the broader market1.001.201.401.031.32
The chart of Calmar ratio for ^N225, currently valued at 0.01, compared to the broader market0.001.002.003.000.012.56
The chart of Martin ratio for ^N225, currently valued at 0.05, compared to the broader market0.005.0010.0015.0020.000.0510.50
^N225
^GSPC

The current ^N225 Sharpe Ratio is 0.54, which is lower than the ^GSPC Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of ^N225 and ^GSPC, 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 Ratio0.001.002.003.00AugustSeptemberOctoberNovemberDecember2025
0.01
1.70
^N225
^GSPC

Drawdowns

^N225 vs. ^GSPC - Drawdown Comparison

The maximum ^N225 drawdown since its inception was -81.87%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^N225 and ^GSPC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-14.49%
-1.54%
^N225
^GSPC

Volatility

^N225 vs. ^GSPC - Volatility Comparison

Nikkei 225 (^N225) has a higher volatility of 6.30% compared to S&P 500 (^GSPC) at 4.00%. This indicates that ^N225's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember2025
6.30%
4.00%
^N225
^GSPC