^XCMP vs. SPY

Last updated Jun 3, 2026

^XCMP (NASDAQ Composite Total Return Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^XCMP returned 19.59%/yr vs 15.57%/yr for SPY. Their correlation of 0.93 suggests significant overlap in exposure.

Performance

^XCMP vs. SPY - Performance Comparison

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

Returns By Period

In the year-to-date period, ^XCMP achieves a 16.83% return, which is significantly higher than SPY's 11.69% return. Over the past 10 years, ^XCMP has outperformed SPY with an annualized return of 19.59%, while SPY has yielded a comparatively lower 15.57% annualized return.

^XCMP

• 1D: 0.42%
• 1M: 7.93%
• YTD: 16.83%
• 6M: 16.04%
• 1Y: 41.62%
• 3Y*: 27.82%
• 5Y*: 15.35%
• 10Y*: 19.59%

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

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

^XCMP vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^XCMP NASDAQ Composite Total Return Index	16.83%	21.14%	29.57%	44.64%	-32.54%	22.18%	44.92%	36.69%	-2.84%	29.64%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between ^XCMP and SPY is 0.95, 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	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Mar 11, 2014	0.93

The correlation between ^XCMP and SPY has been stable across timeframes, ranging from 0.93 to 0.95 - a consistent structural relationship.

Return for Risk

^XCMP vs. SPY — Risk / Return Rank

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

^XCMP

^XCMP Risk / Return Rank: 82
^XCMP Sharpe Ratio Rank: 84
^XCMP Sortino Ratio Rank: 83
^XCMP Omega Ratio Rank: 83
^XCMP Calmar Ratio Rank: 80
^XCMP Martin Ratio Rank: 79

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio Return per unit of total volatility	2.62	2.52	+0.10
Sortino ratio Return per unit of downside risk	3.40	3.42	-0.01
Omega ratio Gain probability vs. loss probability	1.45	1.46	-0.01
Calmar ratio Return relative to maximum drawdown	3.21	3.42	-0.20
Martin ratio Return relative to average drawdown	12.67	15.93	-3.25
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. SPY - Sharpe Ratio Comparison

The current ^XCMP Sharpe Ratio is 2.62, which is comparable to the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of ^XCMP and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^XCMP	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.62	2.52	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.84	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.89	0.87	+0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.82	0.59	+0.23

Drawdowns

^XCMP vs. SPY - Drawdown Comparison

The maximum ^XCMP drawdown since its inception was -35.83%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^XCMP and SPY.

Drawdown Indicators

	^XCMP	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-35.83%	-55.19%	+19.36%
Max Drawdown (1Y) Largest decline over 1 year	-12.96%	-8.88%	-4.08%
Max Drawdown (3Y) Largest decline over 3 years	-24.16%	-18.76%	-5.40%
Max Drawdown (5Y) Largest decline over 5 years	-35.83%	-24.50%	-11.33%
Max Drawdown (10Y) Largest decline over 10 years	-35.83%	-33.72%	-2.11%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.23%	-9.05%	+2.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.28%	1.91%	+1.37%

Volatility

^XCMP vs. SPY - Volatility Comparison

NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 4.13% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^XCMP	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.13%	2.75%	+1.38%
Volatility (6M) Calculated over the trailing 6-month period	12.10%	8.89%	+3.21%
Volatility (1Y) Calculated over the trailing 1-year period	16.19%	11.81%	+4.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.40%	17.05%	+5.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.99%	17.94%	+4.05%

Frequently Asked Questions

Can I hold both ^XCMP and SPY in my portfolio?

With a correlation of 0.95, ^XCMP and SPY 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.

Which is riskier, ^XCMP or SPY?

^XCMP has higher volatility (4.13%) compared to SPY (2.75%). In terms of maximum drawdown, ^XCMP dropped -35.83% vs SPY's -55.19%.

Which has better risk-adjusted returns?

^XCMP currently has the higher Sharpe Ratio (2.62 vs 2.52), 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.