^XCMP vs. ^SP500TR

Last updated Apr 2, 2026

Compare and contrast key facts about NASDAQ Composite Total Return Index (^XCMP) and S&P 500 Total Return (^SP500TR).

Performance

^XCMP vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Composite Total Return Index (^XCMP) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

^XCMP vs. ^SP500TR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^XCMP NASDAQ Composite Total Return Index	-5.88%	21.14%	29.57%	44.64%	-32.54%	22.18%	44.92%	36.69%	-2.84%	29.64%
^SP500TR S&P 500 Total Return	-3.64%	17.88%	25.02%	26.29%	-18.11%	28.71%	18.40%	31.49%	-4.38%	21.83%

Returns By Period

In the year-to-date period, ^XCMP achieves a -5.88% return, which is significantly lower than ^SP500TR's -3.64% return. Over the past 10 years, ^XCMP has outperformed ^SP500TR with an annualized return of 17.13%, while ^SP500TR has yielded a comparatively lower 14.17% annualized return.

^XCMP

• 1D: 1.16%
• 1M: -3.91%
• YTD: -5.88%
• 6M: -3.73%
• 1Y: 25.96%
• 3Y*: 22.22%
• 5Y*: 10.95%
• 10Y*: 17.13%

^SP500TR

• 1D: 0.72%
• 1M: -4.34%
• YTD: -3.64%
• 6M: -1.43%
• 1Y: 18.20%
• 3Y*: 18.60%
• 5Y*: 11.96%
• 10Y*: 14.17%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^XCMP vs. ^SP500TR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^XCMP

^XCMP Risk / Return Rank: 81
^XCMP Sharpe Ratio Rank: 75
^XCMP Sortino Ratio Rank: 80
^XCMP Omega Ratio Rank: 79
^XCMP Calmar Ratio Rank: 87
^XCMP Martin Ratio Rank: 86

^SP500TR

^SP500TR Risk / Return Rank: 72
^SP500TR Sharpe Ratio Rank: 66
^SP500TR Sortino Ratio Rank: 69
^SP500TR Omega Ratio Rank: 74
^SP500TR Calmar Ratio Rank: 67
^SP500TR Martin Ratio Rank: 83

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^XCMP vs. ^SP500TR - Risk-Adjusted Trends Comparison

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

	^XCMP	^SP500TR	Difference
Sharpe ratio Return per unit of total volatility	1.11	1.00	+0.11
Sortino ratio Return per unit of downside risk	1.71	1.52	+0.19
Omega ratio Gain probability vs. loss probability	1.25	1.23	+0.01
Calmar ratio Return relative to maximum drawdown	2.53	1.54	+0.99
Martin ratio Return relative to average drawdown	10.19	7.32	+2.87
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^XCMP vs. ^SP500TR - Sharpe Ratio Comparison

The current ^XCMP Sharpe Ratio is 1.11, which is comparable to the ^SP500TR Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of ^XCMP and ^SP500TR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^XCMP	^SP500TR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.11	1.00	+0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.71	-0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	0.79	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.73	0.62	+0.11

Correlation

The correlation between ^XCMP and ^SP500TR is 0.93, 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.

Drawdowns

^XCMP vs. ^SP500TR - Drawdown Comparison

The maximum ^XCMP drawdown since its inception was -35.83%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^XCMP and ^SP500TR.

Drawdown Indicators

	^XCMP	^SP500TR	Difference
Max Drawdown Largest peak-to-trough decline	-35.83%	-55.25%	+19.42%
Max Drawdown (1Y) Largest decline over 1 year	-13.25%	-12.12%	-1.13%
Max Drawdown (5Y) Largest decline over 5 years	-35.83%	-24.49%	-11.34%
Max Drawdown (10Y) Largest decline over 10 years	-35.83%	-33.79%	-2.04%
Current Drawdown Current decline from peak	-8.57%	-5.55%	-3.02%
Average Drawdown Average peak-to-trough decline	-6.29%	-8.20%	+1.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.22%	2.55%	+0.67%

Volatility

^XCMP vs. ^SP500TR - Volatility Comparison

NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 7.07% compared to S&P 500 Total Return (^SP500TR) at 5.38%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^XCMP	^SP500TR	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.07%	5.38%	+1.69%
Volatility (6M) Calculated over the trailing 6-month period	13.09%	9.55%	+3.54%
Volatility (1Y) Calculated over the trailing 1-year period	23.20%	18.32%	+4.88%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.41%	16.90%	+5.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.95%	18.05%	+3.90%