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MKTX vs. VGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MKTX and VGT is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

MKTX vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MarketAxess Holdings Inc. (MKTX) and Vanguard Information Technology ETF (VGT). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
18.96%
11.26%
MKTX
VGT

Key characteristics

Sharpe Ratio

MKTX:

-0.55

VGT:

1.53

Sortino Ratio

MKTX:

-0.57

VGT:

2.03

Omega Ratio

MKTX:

0.92

VGT:

1.27

Calmar Ratio

MKTX:

-0.28

VGT:

2.15

Martin Ratio

MKTX:

-0.84

VGT:

7.70

Ulcer Index

MKTX:

22.14%

VGT:

4.26%

Daily Std Dev

MKTX:

33.77%

VGT:

21.48%

Max Drawdown

MKTX:

-80.60%

VGT:

-54.63%

Current Drawdown

MKTX:

-59.59%

VGT:

-1.50%

Returns By Period

In the year-to-date period, MKTX achieves a -20.65% return, which is significantly lower than VGT's 32.56% return. Over the past 10 years, MKTX has underperformed VGT with an annualized return of 13.06%, while VGT has yielded a comparatively higher 20.84% annualized return.


MKTX

YTD

-20.65%

1M

-11.86%

6M

17.60%

1Y

-19.36%

5Y*

-8.53%

10Y*

13.06%

VGT

YTD

32.56%

1M

2.68%

6M

12.86%

1Y

32.67%

5Y*

22.23%

10Y*

20.84%

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Risk-Adjusted Performance

MKTX vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MarketAxess Holdings Inc. (MKTX) and Vanguard Information Technology ETF (VGT). 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.


Sharpe ratio
The chart of Sharpe ratio for MKTX, currently valued at -0.55, compared to the broader market-4.00-2.000.002.00-0.551.53
The chart of Sortino ratio for MKTX, currently valued at -0.57, compared to the broader market-4.00-2.000.002.004.00-0.572.03
The chart of Omega ratio for MKTX, currently valued at 0.92, compared to the broader market0.501.001.502.000.921.27
The chart of Calmar ratio for MKTX, currently valued at -0.28, compared to the broader market0.002.004.006.00-0.282.15
The chart of Martin ratio for MKTX, currently valued at -0.84, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.847.70
MKTX
VGT

The current MKTX Sharpe Ratio is -0.55, which is lower than the VGT Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of MKTX and VGT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.55
1.53
MKTX
VGT

Dividends

MKTX vs. VGT - Dividend Comparison

MKTX's dividend yield for the trailing twelve months is around 1.29%, more than VGT's 0.58% yield.


TTM20232022202120202019201820172016201520142013
MKTX
MarketAxess Holdings Inc.
1.29%0.98%1.00%0.64%0.42%0.54%0.80%0.65%0.71%0.72%0.89%0.78%
VGT
Vanguard Information Technology ETF
0.58%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

MKTX vs. VGT - Drawdown Comparison

The maximum MKTX drawdown since its inception was -80.60%, which is greater than VGT's maximum drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for MKTX and VGT. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-59.59%
-1.50%
MKTX
VGT

Volatility

MKTX vs. VGT - Volatility Comparison

MarketAxess Holdings Inc. (MKTX) has a higher volatility of 7.24% compared to Vanguard Information Technology ETF (VGT) at 5.60%. This indicates that MKTX's price experiences larger fluctuations and is considered to be riskier than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
7.24%
5.60%
MKTX
VGT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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