^SPLRCS vs. ^NDX
^SPLRCS (S&P 500 Consumer Staples Index) and ^NDX (NASDAQ 100 Index) are both indexes. Over the past 10 years, ^SPLRCS returned 5.28%/yr vs 21.11%/yr for ^NDX. At a 0.47 correlation, their price movements are largely independent.
Performance
^SPLRCS vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, ^SPLRCS achieves a 5.88% return, which is significantly lower than ^NDX's 15.32% return. Over the past 10 years, ^SPLRCS has underperformed ^NDX with an annualized return of 5.28%, while ^NDX has yielded a comparatively higher 21.11% annualized return.
^SPLRCS
- 1D
- 0.77%
- 1M
- -3.09%
- YTD
- 5.88%
- 6M
- 5.19%
- 1Y
- 3.18%
- 3Y*
- 6.09%
- 5Y*
- 4.56%
- 10Y*
- 5.28%
^NDX
- 1D
- -1.09%
- 1M
- -2.85%
- YTD
- 15.32%
- 6M
- 13.55%
- 1Y
- 29.72%
- 3Y*
- 24.90%
- 5Y*
- 15.21%
- 10Y*
- 21.11%
^SPLRCS vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SPLRCS S&P 500 Consumer Staples Index | 5.88% | 1.32% | 11.98% | -2.16% | -3.17% | 15.55% | 7.63% | 23.97% | -11.15% | 10.46% |
^NDX NASDAQ 100 Index | 15.32% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between ^SPLRCS and ^NDX is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 1989 | 0.47 |
The correlation between ^SPLRCS and ^NDX shifts across timeframes, from -0.14 (1 year) to 0.47 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^SPLRCS vs. ^NDX — Risk / Return Rank
^SPLRCS
^NDX
^SPLRCS vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Consumer Staples Index (^SPLRCS) 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.
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.
| ^SPLRCS | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.67 | ||
| Sortino ratioReturn per unit of downside risk | -2.16 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.29 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | 2.46 | -2.48 |
| Martin ratioReturn relative to average drawdown | -0.04 | 8.99 | -9.03 |
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Drawdowns
^SPLRCS vs. ^NDX - Drawdown Comparison
The maximum ^SPLRCS drawdown since its inception was -40.76%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^SPLRCS and ^NDX.
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Drawdown Indicators
| ^SPLRCS | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.76% | -82.90% | +42.14% |
Max Drawdown (1Y)Largest decline over 1 year | -9.41% | -12.12% | +2.71% |
Max Drawdown (3Y)Largest decline over 3 years | -12.29% | -22.93% | +10.64% |
Max Drawdown (5Y)Largest decline over 5 years | -17.69% | -35.56% | +17.87% |
Max Drawdown (10Y)Largest decline over 10 years | -24.71% | -35.56% | +10.85% |
Current DrawdownCurrent decline from peak | -8.71% | -5.03% | -3.68% |
Average DrawdownAverage peak-to-trough decline | -6.63% | -24.59% | +17.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.84% | 3.31% | +1.53% |
Volatility
^SPLRCS vs. ^NDX - Volatility Comparison
The current volatility for S&P 500 Consumer Staples Index (^SPLRCS) is 4.51%, while NASDAQ 100 Index (^NDX) has a volatility of 8.98%. This indicates that ^SPLRCS 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
| ^SPLRCS | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.51% | 8.98% | -4.47% |
Volatility (6M)Calculated over the trailing 6-month period | 10.36% | 14.58% | -4.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.90% | 18.01% | -5.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.32% | 22.89% | -9.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.80% | 22.63% | -7.83% |
Frequently Asked Questions
^SPLRCS and ^NDX have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NDX has higher volatility (8.98%) compared to ^SPLRCS (4.51%). In terms of maximum drawdown, ^SPLRCS dropped -40.76% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (1.66 vs -0.02), 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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