PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NASDX vs. DOW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NASDX and DOW is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

NASDX vs. DOW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) and Dow Inc. (DOW). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
123.38%
8.90%
NASDX
DOW

Key characteristics

Sharpe Ratio

NASDX:

0.99

DOW:

-1.12

Sortino Ratio

NASDX:

1.35

DOW:

-1.55

Omega Ratio

NASDX:

1.19

DOW:

0.83

Calmar Ratio

NASDX:

1.41

DOW:

-0.63

Martin Ratio

NASDX:

4.69

DOW:

-1.98

Ulcer Index

NASDX:

4.08%

DOW:

11.50%

Daily Std Dev

NASDX:

19.35%

DOW:

20.32%

Max Drawdown

NASDX:

-81.69%

DOW:

-60.87%

Current Drawdown

NASDX:

-6.88%

DOW:

-34.67%

Returns By Period

In the year-to-date period, NASDX achieves a 17.21% return, which is significantly higher than DOW's -23.15% return.


NASDX

YTD

17.21%

1M

-4.86%

6M

-0.09%

1Y

17.68%

5Y*

15.27%

10Y*

14.40%

DOW

YTD

-23.15%

1M

-7.63%

6M

-23.86%

1Y

-23.34%

5Y*

-1.01%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

NASDX vs. DOW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) and Dow Inc. (DOW). 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 NASDX, currently valued at 0.99, compared to the broader market-1.000.001.002.003.004.000.99-1.12
The chart of Sortino ratio for NASDX, currently valued at 1.35, compared to the broader market-2.000.002.004.006.008.0010.001.35-1.55
The chart of Omega ratio for NASDX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.190.83
The chart of Calmar ratio for NASDX, currently valued at 1.41, compared to the broader market0.002.004.006.008.0010.0012.0014.001.41-0.63
The chart of Martin ratio for NASDX, currently valued at 4.69, compared to the broader market0.0020.0040.0060.004.69-1.98
NASDX
DOW

The current NASDX Sharpe Ratio is 0.99, which is higher than the DOW Sharpe Ratio of -1.12. The chart below compares the historical Sharpe Ratios of NASDX and DOW, 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-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.99
-1.12
NASDX
DOW

Dividends

NASDX vs. DOW - Dividend Comparison

NASDX's dividend yield for the trailing twelve months is around 0.40%, less than DOW's 7.01% yield.


TTM20232022202120202019201820172016201520142013
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
0.40%0.45%0.50%0.15%0.37%0.47%0.94%1.35%0.75%0.86%1.02%0.72%
DOW
Dow Inc.
7.01%5.11%5.56%4.94%5.05%3.84%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

NASDX vs. DOW - Drawdown Comparison

The maximum NASDX drawdown since its inception was -81.69%, which is greater than DOW's maximum drawdown of -60.87%. Use the drawdown chart below to compare losses from any high point for NASDX and DOW. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.88%
-34.67%
NASDX
DOW

Volatility

NASDX vs. DOW - Volatility Comparison

Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) has a higher volatility of 8.95% compared to Dow Inc. (DOW) at 7.14%. This indicates that NASDX's price experiences larger fluctuations and is considered to be riskier than DOW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
8.95%
7.14%
NASDX
DOW
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab