^OEX vs. ^NDX
^OEX (S&P 100 Index) and ^NDX (NASDAQ 100 Index) are both indexes. Over the past 10 years, ^OEX returned 14.96%/yr vs 20.99%/yr for ^NDX. Their correlation of 0.83 suggests significant overlap in exposure.
Performance
^OEX vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, ^OEX achieves a 9.46% return, which is significantly lower than ^NDX's 20.43% return. Over the past 10 years, ^OEX has underperformed ^NDX with an annualized return of 14.96%, while ^NDX has yielded a comparatively higher 20.99% annualized return.
^OEX
- 1D
- 0.35%
- 1M
- 4.77%
- YTD
- 9.46%
- 6M
- 9.14%
- 1Y
- 28.71%
- 3Y*
- 23.43%
- 5Y*
- 14.42%
- 10Y*
- 14.96%
^NDX
- 1D
- -0.53%
- 1M
- 8.54%
- YTD
- 20.43%
- 6M
- 18.87%
- 1Y
- 39.99%
- 3Y*
- 27.83%
- 5Y*
- 17.17%
- 10Y*
- 20.99%
^OEX vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^OEX S&P 100 Index | 9.46% | 18.76% | 29.25% | 30.83% | -22.12% | 27.55% | 19.30% | 29.47% | -5.86% | 19.34% |
^NDX NASDAQ 100 Index | 20.43% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between ^OEX and ^NDX is 0.94, 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 | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Sep 26, 1985 | 0.83 |
The correlation between ^OEX and ^NDX shifts across timeframes, from 0.83 (all time) to 0.96 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
^OEX vs. ^NDX — Risk / Return Rank
^OEX
^NDX
^OEX vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) and NASDAQ 100 Index (^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.
| ^OEX | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.19 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.43 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.55 | 3.31 | -0.76 |
| Martin ratioReturn relative to average drawdown | 10.65 | 12.67 | -2.02 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^OEX | ^NDX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.27 | 2.50 | -0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.82 | 0.76 | +0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.81 | 0.93 | -0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.57 | -0.06 |
Drawdowns
^OEX vs. ^NDX - Drawdown Comparison
The maximum ^OEX drawdown since its inception was -61.31%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^OEX and ^NDX.
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Drawdown Indicators
| ^OEX | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.31% | -82.90% | +21.59% |
Max Drawdown (1Y)Largest decline over 1 year | -11.30% | -12.12% | +0.82% |
Max Drawdown (3Y)Largest decline over 3 years | -19.89% | -22.93% | +3.04% |
Max Drawdown (5Y)Largest decline over 5 years | -27.23% | -35.56% | +8.33% |
Max Drawdown (10Y)Largest decline over 10 years | -31.53% | -35.56% | +4.03% |
Current DrawdownCurrent decline from peak | -0.68% | -0.82% | +0.14% |
Average DrawdownAverage peak-to-trough decline | -12.82% | -24.62% | +11.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.70% | 3.17% | -0.47% |
Volatility
^OEX vs. ^NDX - Volatility Comparison
The current volatility for S&P 100 Index (^OEX) is 3.23%, while NASDAQ 100 Index (^NDX) has a volatility of 4.54%. This indicates that ^OEX experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^OEX | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.23% | 4.54% | -1.31% |
Volatility (6M)Calculated over the trailing 6-month period | 9.52% | 12.18% | -2.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.68% | 16.08% | -3.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.75% | 22.59% | -4.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.47% | 22.52% | -4.05% |
Frequently Asked Questions
With a correlation of 0.94, ^OEX and ^NDX 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 (4.54%) compared to ^OEX (3.23%). In terms of maximum drawdown, ^OEX dropped -61.31% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (2.50 vs 2.27), 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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