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

Correlation

The correlation between NASDX and ^DWRTFT is 0.49, 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.


-0.50.00.51.00.5

Performance

NASDX vs. ^DWRTFT - 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 Jones U.S. Select REIT Total Return Index (^DWRTFT). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
1.05%
8.31%
NASDX
^DWRTFT

Key characteristics

Sharpe Ratio

NASDX:

0.99

^DWRTFT:

0.58

Sortino Ratio

NASDX:

1.35

^DWRTFT:

0.88

Omega Ratio

NASDX:

1.19

^DWRTFT:

1.11

Calmar Ratio

NASDX:

1.41

^DWRTFT:

0.40

Martin Ratio

NASDX:

4.69

^DWRTFT:

2.40

Ulcer Index

NASDX:

4.08%

^DWRTFT:

3.84%

Daily Std Dev

NASDX:

19.35%

^DWRTFT:

15.92%

Max Drawdown

NASDX:

-81.69%

^DWRTFT:

-75.15%

Current Drawdown

NASDX:

-6.88%

^DWRTFT:

-9.53%

Returns By Period

In the year-to-date period, NASDX achieves a 17.21% return, which is significantly higher than ^DWRTFT's 7.22% return. Over the past 10 years, NASDX has outperformed ^DWRTFT with an annualized return of 14.40%, while ^DWRTFT has yielded a comparatively lower 4.67% annualized return.


NASDX

YTD

17.21%

1M

-4.86%

6M

-0.09%

1Y

17.68%

5Y*

15.27%

10Y*

14.40%

^DWRTFT

YTD

7.22%

1M

-5.22%

6M

9.22%

1Y

8.33%

5Y*

3.53%

10Y*

4.67%

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. ^DWRTFT - 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 Jones U.S. Select REIT Total Return Index (^DWRTFT). 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-1.000.001.002.003.004.000.990.58
The chart of Sortino ratio for NASDX, currently valued at 1.35, compared to the broader market-2.000.002.004.006.008.0010.001.350.88
The chart of Omega ratio for NASDX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.191.11
The chart of Calmar ratio for NASDX, currently valued at 1.41, compared to the broader market0.002.004.006.008.0010.0012.0014.001.410.40
The chart of Martin ratio for NASDX, currently valued at 4.69, compared to the broader market0.0020.0040.0060.004.692.40
NASDX
^DWRTFT

The current NASDX Sharpe Ratio is 0.99, which is higher than the ^DWRTFT Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of NASDX and ^DWRTFT, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.99
0.58
NASDX
^DWRTFT

Drawdowns

NASDX vs. ^DWRTFT - Drawdown Comparison

The maximum NASDX drawdown since its inception was -81.69%, which is greater than ^DWRTFT's maximum drawdown of -75.15%. Use the drawdown chart below to compare losses from any high point for NASDX and ^DWRTFT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.88%
-9.53%
NASDX
^DWRTFT

Volatility

NASDX vs. ^DWRTFT - Volatility Comparison

Shelton Capital Management Nasdaq-100 Index Fund Direct Shares (NASDX) has a higher volatility of 8.95% compared to Dow Jones U.S. Select REIT Total Return Index (^DWRTFT) at 5.30%. This indicates that NASDX's price experiences larger fluctuations and is considered to be riskier than ^DWRTFT 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%
5.30%
NASDX
^DWRTFT
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