FSUGY vs. ^NDX
FSUGY (Fortescue Metals Group Ltd ADR) is a stock, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, FSUGY returned 31.36%/yr vs 21.21%/yr for ^NDX. At a 0.34 correlation, their price movements are largely independent.
Performance
FSUGY vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, FSUGY achieves a -5.21% return, which is significantly lower than ^NDX's 16.23% return. Over the past 10 years, FSUGY has outperformed ^NDX with an annualized return of 31.36%, while ^NDX has yielded a comparatively lower 21.21% annualized return.
FSUGY
- 1D
- -2.77%
- 1M
- -12.22%
- YTD
- -5.21%
- 6M
- -6.78%
- 1Y
- 50.12%
- 3Y*
- 5.82%
- 5Y*
- 4.90%
- 10Y*
- 31.36%
^NDX
- 1D
- -3.29%
- 1M
- -0.46%
- YTD
- 16.23%
- 6M
- 14.69%
- 1Y
- 34.27%
- 3Y*
- 25.37%
- 5Y*
- 15.36%
- 10Y*
- 21.21%
FSUGY vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FSUGY Fortescue Metals Group Ltd ADR | -5.21% | 37.39% | -36.78% | 53.11% | 11.98% | -7.52% | 175.17% | 190.11% | -18.44% | 0.71% |
^NDX NASDAQ 100 Index | 16.23% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between FSUGY and ^NDX is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Apr 1, 2009 | 0.34 |
The correlation between FSUGY and ^NDX shifts across timeframes, from 0.34 (all time) to 0.46 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
FSUGY vs. ^NDX — Risk / Return Rank
FSUGY
^NDX
FSUGY vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fortescue Metals Group Ltd ADR (FSUGY) 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.
| FSUGY | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.39 | ||
| Sortino ratioReturn per unit of downside risk | -0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.34 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | 2.84 | -0.27 |
| Martin ratioReturn relative to average drawdown | 8.63 | 10.49 | -1.86 |
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Drawdowns
FSUGY vs. ^NDX - Drawdown Comparison
The maximum FSUGY drawdown since its inception was -93.91%, which is greater than ^NDX's maximum drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for FSUGY and ^NDX.
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Drawdown Indicators
| FSUGY | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.91% | -82.90% | -11.01% |
Max Drawdown (1Y)Largest decline over 1 year | -19.60% | -12.12% | -7.48% |
Max Drawdown (3Y)Largest decline over 3 years | -51.32% | -22.93% | -28.39% |
Max Drawdown (5Y)Largest decline over 5 years | -51.32% | -35.56% | -15.76% |
Max Drawdown (10Y)Largest decline over 10 years | -51.32% | -35.56% | -15.76% |
Current DrawdownCurrent decline from peak | -19.60% | -4.28% | -15.32% |
Average DrawdownAverage peak-to-trough decline | -43.22% | -24.60% | -18.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.82% | 3.28% | +2.54% |
Volatility
FSUGY vs. ^NDX - Volatility Comparison
Fortescue Metals Group Ltd ADR (FSUGY) has a higher volatility of 11.35% compared to NASDAQ 100 Index (^NDX) at 9.08%. This indicates that FSUGY's price experiences larger fluctuations and is considered to be riskier 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
| FSUGY | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.35% | 9.08% | +2.27% |
Volatility (6M)Calculated over the trailing 6-month period | 26.52% | 14.56% | +11.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 33.04% | 18.03% | +15.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 38.40% | 22.89% | +15.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 42.13% | 22.65% | +19.48% |
Frequently Asked Questions
FSUGY and ^NDX have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FSUGY has higher volatility (11.35%) compared to ^NDX (9.08%). In terms of maximum drawdown, FSUGY dropped -93.91% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (1.91 vs 1.52), 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.
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