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^SP500TR vs. ^IXIC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP500TR^IXIC
YTD Return19.30%17.19%
1Y Return28.44%28.33%
3Y Return (Ann)9.72%5.05%
5Y Return (Ann)15.27%16.58%
10Y Return (Ann)12.93%14.41%
Sharpe Ratio2.111.47
Daily Std Dev12.72%17.84%
Max Drawdown-55.25%-77.93%
Current Drawdown-0.35%-5.66%

Correlation

-0.50.00.51.00.9

The correlation between ^SP500TR and ^IXIC is 0.87, 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

^SP500TR vs. ^IXIC - Performance Comparison

In the year-to-date period, ^SP500TR achieves a 19.30% return, which is significantly higher than ^IXIC's 17.19% return. Over the past 10 years, ^SP500TR has underperformed ^IXIC with an annualized return of 12.93%, while ^IXIC has yielded a comparatively higher 14.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
9.53%
8.82%
^SP500TR
^IXIC

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Risk-Adjusted Performance

^SP500TR vs. ^IXIC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and NASDAQ Composite (^IXIC). 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.


^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 2.11, compared to the broader market-1.000.001.002.002.11
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.38, compared to the broader market1.001.201.401.38
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 2.32, compared to the broader market0.001.002.003.004.005.002.32
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 11.40, compared to the broader market0.005.0010.0015.0020.0011.40
^IXIC
Sharpe ratio
The chart of Sharpe ratio for ^IXIC, currently valued at 1.47, compared to the broader market-1.000.001.002.001.47
Sortino ratio
The chart of Sortino ratio for ^IXIC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.001.99
Omega ratio
The chart of Omega ratio for ^IXIC, currently valued at 1.26, compared to the broader market1.001.201.401.26
Calmar ratio
The chart of Calmar ratio for ^IXIC, currently valued at 1.22, compared to the broader market0.001.002.003.004.005.001.22
Martin ratio
The chart of Martin ratio for ^IXIC, currently valued at 7.15, compared to the broader market0.005.0010.0015.0020.007.15

^SP500TR vs. ^IXIC - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.11, which is higher than the ^IXIC Sharpe Ratio of 1.47. The chart below compares the 12-month rolling Sharpe Ratio of ^SP500TR and ^IXIC.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.11
1.47
^SP500TR
^IXIC

Drawdowns

^SP500TR vs. ^IXIC - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, smaller than the maximum ^IXIC drawdown of -77.93%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and ^IXIC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.35%
-5.66%
^SP500TR
^IXIC

Volatility

^SP500TR vs. ^IXIC - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 4.09%, while NASDAQ Composite (^IXIC) has a volatility of 6.22%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than ^IXIC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
4.09%
6.22%
^SP500TR
^IXIC