MRCY vs. ^NDX
Compare and contrast key facts about Mercury Systems, Inc. (MRCY) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MRCY or ^NDX.
Key characteristics
| MRCY | ^NDX | |
|---|---|---|
| YTD Return | 11.68% | 24.19% |
| 1Y Return | 17.42% | 32.11% |
| 3Y Return (Ann) | -7.77% | 8.91% |
| 5Y Return (Ann) | -10.81% | 20.29% |
| 10Y Return (Ann) | 12.03% | 17.40% |
| Sharpe Ratio | 0.37 | 1.84 |
| Sortino Ratio | 1.02 | 2.47 |
| Omega Ratio | 1.12 | 1.33 |
| Calmar Ratio | 0.25 | 2.37 |
| Martin Ratio | 0.99 | 8.56 |
| Ulcer Index | 17.89% | 3.76% |
| Daily Std Dev | 47.34% | 17.44% |
| Max Drawdown | -96.20% | -82.90% |
| Current Drawdown | -55.99% | -1.04% |
Correlation
The correlation between MRCY and ^NDX is 0.43, 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.
Performance
MRCY vs. ^NDX - Performance Comparison
In the year-to-date period, MRCY achieves a 11.68% return, which is significantly lower than ^NDX's 24.19% return. Over the past 10 years, MRCY has underperformed ^NDX with an annualized return of 12.03%, while ^NDX has yielded a comparatively higher 17.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
MRCY vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Mercury Systems, Inc. (MRCY) and NASDAQ 100 (^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.
Drawdowns
MRCY vs. ^NDX - Drawdown Comparison
The maximum MRCY drawdown since its inception was -96.20%, which is greater than ^NDX's maximum drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for MRCY and ^NDX. For additional features, visit the drawdowns tool.
Volatility
MRCY vs. ^NDX - Volatility Comparison
Mercury Systems, Inc. (MRCY) has a higher volatility of 23.48% compared to NASDAQ 100 (^NDX) at 4.99%. This indicates that MRCY'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.