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^XNDX vs. SCHG
Performance
Return for Risk
Drawdowns
Volatility

Performance

^XNDX vs. SCHG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ 100 Total Return Index (^XNDX) and Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period


^XNDX

1D
-0.37%
1M
YTD
6M
1Y
3Y*
5Y*
10Y*

SCHG

1D
-0.12%
1M
-4.04%
YTD
1.23%
6M
-0.27%
1Y
16.03%
3Y*
22.08%
5Y*
13.26%
10Y*
18.63%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^XNDX vs. SCHG - Yearly Performance Comparison


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Return for Risk

^XNDX vs. SCHG — Risk / Return Rank

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

^XNDX

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.


SCHG
SCHG Risk / Return Rank: 2727
Overall Rank
SCHG Sharpe Ratio Rank: 3030
Sharpe Ratio Rank
SCHG Sortino Ratio Rank: 2828
Sortino Ratio Rank
SCHG Omega Ratio Rank: 2828
Omega Ratio Rank
SCHG Calmar Ratio Rank: 2222
Calmar Ratio Rank
SCHG Martin Ratio Rank: 2626
Martin Ratio Rank
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.

^XNDX vs. SCHG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Total Return Index (^XNDX) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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.


^XNDXSCHGDifference
Sharpe ratioReturn per unit of total volatility

Sortino ratioReturn per unit of downside risk

Omega ratioGain probability vs. loss probability

1.18

Calmar ratioReturn relative to maximum drawdown

0.98

Martin ratioReturn relative to average drawdown

3.19

^XNDX vs. SCHG - Sharpe Ratio Comparison


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Drawdowns

^XNDX vs. SCHG - Drawdown Comparison

The maximum ^XNDX drawdown since its inception was -0.37%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for ^XNDX and SCHG.


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Drawdown Indicators


^XNDXSCHGDifference

Max Drawdown

Largest peak-to-trough decline

-0.37%

-34.59%

+34.22%

Max Drawdown (1Y)

Largest decline over 1 year

-16.41%

Max Drawdown (3Y)

Largest decline over 3 years

-23.39%

Max Drawdown (5Y)

Largest decline over 5 years

-34.59%

Max Drawdown (10Y)

Largest decline over 10 years

-34.59%

Current Drawdown

Current decline from peak

-0.37%

-6.57%

+6.20%

Average Drawdown

Average peak-to-trough decline

-0.37%

-5.20%

+4.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.03%

Volatility

^XNDX vs. SCHG - Volatility Comparison


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Volatility by Period


^XNDXSCHGDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.90%

Volatility (6M)

Calculated over the trailing 6-month period

12.46%

Volatility (1Y)

Calculated over the trailing 1-year period

16.21%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.38%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.58%

Portfolio Optimizer

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