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

Correlation

The correlation between ^NDX and SWPPX is 0.86, 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

^NDX vs. SWPPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ 100 (^NDX) and Schwab S&P 500 Index Fund (SWPPX). The values are adjusted to include any dividend payments, if applicable.

800.00%1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%2,000.00%2,200.00%JulyAugustSeptemberOctoberNovemberDecember
2,051.79%
965.96%
^NDX
SWPPX

Key characteristics

Sharpe Ratio

^NDX:

1.58

SWPPX:

2.10

Sortino Ratio

^NDX:

2.12

SWPPX:

2.80

Omega Ratio

^NDX:

1.29

SWPPX:

1.39

Calmar Ratio

^NDX:

2.11

SWPPX:

3.12

Martin Ratio

^NDX:

7.52

SWPPX:

13.52

Ulcer Index

^NDX:

3.80%

SWPPX:

1.95%

Daily Std Dev

^NDX:

18.07%

SWPPX:

12.59%

Max Drawdown

^NDX:

-82.90%

SWPPX:

-55.06%

Current Drawdown

^NDX:

-3.65%

SWPPX:

-3.72%

Returns By Period

In the year-to-date period, ^NDX achieves a 26.53% return, which is significantly higher than SWPPX's 24.49% return. Over the past 10 years, ^NDX has outperformed SWPPX with an annualized return of 17.44%, while SWPPX has yielded a comparatively lower 12.92% annualized return.


^NDX

YTD

26.53%

1M

3.01%

6M

8.06%

1Y

27.04%

5Y*

19.69%

10Y*

17.44%

SWPPX

YTD

24.49%

1M

-1.37%

6M

7.94%

1Y

24.91%

5Y*

14.50%

10Y*

12.92%

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Risk-Adjusted Performance

^NDX vs. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) and Schwab S&P 500 Index Fund (SWPPX). 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.


Sharpe ratio
The chart of Sharpe ratio for ^NDX, currently valued at 1.58, compared to the broader market0.001.002.001.582.10
The chart of Sortino ratio for ^NDX, currently valued at 2.12, compared to the broader market-1.000.001.002.003.002.122.80
The chart of Omega ratio for ^NDX, currently valued at 1.29, compared to the broader market0.901.001.101.201.301.401.291.39
The chart of Calmar ratio for ^NDX, currently valued at 2.11, compared to the broader market0.001.002.003.002.113.12
The chart of Martin ratio for ^NDX, currently valued at 7.52, compared to the broader market0.005.0010.0015.0020.007.5213.52
^NDX
SWPPX

The current ^NDX Sharpe Ratio is 1.58, which is comparable to the SWPPX Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of ^NDX and SWPPX, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.58
2.10
^NDX
SWPPX

Drawdowns

^NDX vs. SWPPX - Drawdown Comparison

The maximum ^NDX drawdown since its inception was -82.90%, which is greater than SWPPX's maximum drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for ^NDX and SWPPX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.65%
-3.72%
^NDX
SWPPX

Volatility

^NDX vs. SWPPX - Volatility Comparison

NASDAQ 100 (^NDX) has a higher volatility of 5.35% compared to Schwab S&P 500 Index Fund (SWPPX) at 3.97%. This indicates that ^NDX's price experiences larger fluctuations and is considered to be riskier than SWPPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
3.97%
^NDX
SWPPX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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