^NDX vs. URTH
^NDX (NASDAQ 100 Index) is an index, while URTH (iShares MSCI World ETF) is Global Equities fund tracking the MSCI World Index (Net). Over the past 10 years, ^NDX returned 20.95%/yr vs 13.38%/yr for URTH. A 0.78 correlation means they provide meaningful diversification when combined.
Performance
^NDX vs. URTH - Performance Comparison
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Returns By Period
In the year-to-date period, ^NDX achieves a 17.37% return, which is significantly higher than URTH's 8.91% return. Over the past 10 years, ^NDX has outperformed URTH with an annualized return of 20.95%, while URTH has yielded a comparatively lower 13.38% annualized return.
^NDX
- 1D
- 0.64%
- 1M
- 0.19%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 37.01%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
URTH
- 1D
- 0.39%
- 1M
- -0.21%
- YTD
- 8.91%
- 6M
- 9.60%
- 1Y
- 24.56%
- 3Y*
- 19.60%
- 5Y*
- 11.45%
- 10Y*
- 13.38%
^NDX vs. URTH - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
URTH iShares MSCI World ETF | 8.91% | 21.36% | 18.66% | 23.95% | -17.97% | 22.27% | 15.78% | 28.15% | -8.56% | 22.95% |
Correlation
The correlation between ^NDX and URTH is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.90 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Jan 12, 2012 | 0.78 |
The correlation between ^NDX and URTH shifts across timeframes, from 0.78 (all time) to 0.90 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
^NDX vs. URTH — Risk / Return Rank
^NDX
URTH
^NDX vs. URTH - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Index (^NDX) and iShares MSCI World ETF (URTH). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^NDX | URTH | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.20 | ||
| Sortino ratioReturn per unit of downside risk | +0.13 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.33 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.92 | 2.56 | +0.36 |
| Martin ratioReturn relative to average drawdown | 10.85 | 11.37 | -0.52 |
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Drawdowns
^NDX vs. URTH - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for ^NDX and URTH.
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Drawdown Indicators
| ^NDX | URTH | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.90% | -34.01% | -48.89% |
Max Drawdown (1Y)Largest decline over 1 year | -12.12% | -9.06% | -3.06% |
Max Drawdown (3Y)Largest decline over 3 years | -22.93% | -16.94% | -5.99% |
Max Drawdown (5Y)Largest decline over 5 years | -35.56% | -26.05% | -9.51% |
Max Drawdown (10Y)Largest decline over 10 years | -35.56% | -34.01% | -1.55% |
Current DrawdownCurrent decline from peak | -3.34% | -1.87% | -1.47% |
Average DrawdownAverage peak-to-trough decline | -24.61% | -4.37% | -20.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 2.04% | +1.22% |
Volatility
^NDX vs. URTH - Volatility Comparison
NASDAQ 100 Index (^NDX) has a higher volatility of 7.51% compared to iShares MSCI World ETF (URTH) at 4.55%. This indicates that ^NDX's price experiences larger fluctuations and is considered to be riskier than URTH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^NDX | URTH | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.51% | 4.55% | +2.96% |
Volatility (6M)Calculated over the trailing 6-month period | 13.84% | 10.11% | +3.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.29% | 12.57% | +4.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.76% | 16.26% | +6.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.61% | 17.29% | +5.32% |
Frequently Asked Questions
With a correlation of 0.90, ^NDX and URTH move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^NDX has higher volatility (7.51%) compared to URTH (4.55%). In terms of maximum drawdown, ^NDX dropped -82.90% vs URTH's -34.01%.
^NDX currently has the higher Sharpe Ratio (2.05 vs 1.85), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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