HESAY vs. ^NDX
HESAY (Hermes International SA) is a stock, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, HESAY returned 17.47%/yr vs 19.36%/yr for ^NDX. Their 0.35 correlation means their historical movements had little consistent relationship.
Performance
HESAY vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, HESAY achieves a -19.76% return, which is significantly lower than ^NDX's 9.95% return. Over the past 10 years, HESAY has underperformed ^NDX with an annualized return of 17.47%, while ^NDX has yielded a comparatively higher 19.36% annualized return.
HESAY
- 1D
- 5.95%
- 1M
- 7.07%
- 6M
- -21.44%
- YTD
- -19.76%
- 1Y
- -28.03%
- 3Y*
- -2.85%
- 5Y*
- 6.14%
- 10Y*
- 17.47%
- ALL TIME*
- 17.40%
^NDX
- 1D
- -0.98%
- 1M
- -4.65%
- 6M
- 7.03%
- YTD
- 9.95%
- 1Y
- 18.87%
- 3Y*
- 20.80%
- 5Y*
- 13.03%
- 10Y*
- 19.36%
- ALL TIME*
- 14.49%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^NDX NASDAQ 100 Index | $201.98T | $226.05T | $281.26T |
| $14.79M | $14.74M | $17.29M |
HESAY vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HESAY Hermes International SA | -19.76% | 4.83% | 13.70% | 38.27% | -11.23% | 63.06% | 44.39% | 37.55% | 4.07% | 32.55% |
^NDX NASDAQ 100 Index | 9.95% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between HESAY and ^NDX is 0.36, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.36 |
Correlation (3Y) Balances recent behavior with more history. | 0.40 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.46 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.43 |
Correlation (All Time) Calculated using the full available price history since Aug 28, 2009 | 0.35 |
The correlation between HESAY and ^NDX shifts across timeframes, from 0.35 (all time) to 0.46 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
HESAY vs. ^NDX — Risk / Return Rank
HESAY
^NDX
HESAY vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Hermes International SA (HESAY) 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.
| HESAY | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.87 | ||
| Sortino ratioReturn per unit of downside risk | -2.57 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.18 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.85 | 1.57 | -2.42 |
| Martin ratioReturn relative to average drawdown | -1.40 | 5.23 | -6.63 |
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Drawdowns
HESAY vs. ^NDX - Drawdown Comparison
The maximum HESAY drawdown since its inception was -45.60%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for HESAY and ^NDX.
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Drawdown Indicators
| HESAY | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.60% | -82.90% | +37.30% |
Max Drawdown (1Y)Largest decline over 1 year | -33.25% | -12.12% | -21.13% |
Max Drawdown (3Y)Largest decline over 3 years | -38.23% | -22.93% | -15.30% |
Max Drawdown (5Y)Largest decline over 5 years | -45.60% | -35.56% | -10.04% |
Max Drawdown (10Y)Largest decline over 10 years | -45.60% | -35.56% | -10.04% |
Current DrawdownCurrent decline from peak | -32.92% | -9.45% | -23.47% |
Average DrawdownAverage peak-to-trough decline | -11.03% | -24.55% | +13.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.54% | 3.62% | +16.92% |
Volatility
HESAY vs. ^NDX - Volatility Comparison
Hermes International SA (HESAY) has a higher volatility of 9.25% compared to NASDAQ 100 Index (^NDX) at 6.51%. This indicates that HESAY'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
| HESAY | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.25% | 6.51% | +2.74% |
Volatility (6M)Calculated over the trailing 6-month period | 25.82% | 15.56% | +10.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.39% | 19.03% | +13.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.00% | 23.04% | +8.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.08% | 22.71% | +5.37% |
Frequently Asked Questions
HESAY and ^NDX have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HESAY has higher volatility (9.25%) compared to ^NDX (6.51%). In terms of maximum drawdown, HESAY dropped -45.60% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (1.00 vs -0.87), 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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