^STOXX vs. ^NDX
Compare and contrast key facts about STOXX Europe 600 Index (^STOXX) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^STOXX or ^NDX.
Performance
^STOXX vs. ^NDX - Performance Comparison
Returns By Period
In the year-to-date period, ^STOXX achieves a 4.91% return, which is significantly lower than ^NDX's 23.27% return. Over the past 10 years, ^STOXX has underperformed ^NDX with an annualized return of 3.74%, while ^NDX has yielded a comparatively higher 17.12% annualized return.
^STOXX
4.91%
-3.43%
-3.65%
9.91%
4.37%
3.74%
^NDX
23.27%
1.72%
11.37%
29.62%
20.24%
17.12%
Key characteristics
| ^STOXX | ^NDX | |
|---|---|---|
| Sharpe Ratio | 0.98 | 1.71 |
| Sortino Ratio | 1.37 | 2.30 |
| Omega Ratio | 1.17 | 1.31 |
| Calmar Ratio | 1.39 | 2.22 |
| Martin Ratio | 5.02 | 8.00 |
| Ulcer Index | 1.98% | 3.77% |
| Daily Std Dev | 10.11% | 17.59% |
| Max Drawdown | -61.04% | -82.90% |
| Current Drawdown | -4.84% | -1.78% |
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Correlation
The correlation between ^STOXX and ^NDX is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
^STOXX vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and NASDAQ 100 (^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.
Drawdowns
^STOXX vs. ^NDX - Drawdown Comparison
The maximum ^STOXX drawdown since its inception was -61.04%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^STOXX and ^NDX. For additional features, visit the drawdowns tool.
Volatility
^STOXX vs. ^NDX - Volatility Comparison
The current volatility for STOXX Europe 600 Index (^STOXX) is 4.48%, while NASDAQ 100 (^NDX) has a volatility of 5.40%. This indicates that ^STOXX 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.