SGAJ.DE vs. ^NDX
SGAJ.DE (iShares MSCI Japan ESG Screened UCITS ETF USD (Acc)) is Japan Equities fund tracking the MSCI Japan ESG Screened, while ^NDX (NASDAQ 100 Index) is an index. Over the past 5 years, SGAJ.DE returned 9.71%/yr vs 18.26%/yr for ^NDX. At a 0.38 correlation, their price movements are largely independent.
Performance
SGAJ.DE vs. ^NDX - Performance Comparison
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Different Trading Currencies
SGAJ.DE is traded in EUR, while ^NDX is traded in USD. To make them comparable, the ^NDX values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, SGAJ.DE achieves a 17.45% return, which is significantly lower than ^NDX's 21.80% return.
SGAJ.DE
- 1D
- -0.33%
- 1M
- 6.57%
- YTD
- 17.45%
- 6M
- 17.20%
- 1Y
- 30.86%
- 3Y*
- 15.05%
- 5Y*
- 9.71%
- 10Y*
- —
^NDX
- 1D
- -0.67%
- 1M
- 9.26%
- YTD
- 21.80%
- 6M
- 19.18%
- 1Y
- 37.64%
- 3Y*
- 24.43%
- 5Y*
- 18.26%
- 10Y*
- 20.72%
SGAJ.DE vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
SGAJ.DE iShares MSCI Japan ESG Screened UCITS ETF USD (Acc) | 17.45% | 11.73% | 13.07% | 16.02% | -12.85% | 9.72% | 5.86% | 23.60% | -6.85% |
^NDX NASDAQ 100 Index | 21.80% | 5.91% | 33.12% | 49.19% | -28.81% | 36.10% | 35.42% | 41.08% | -7.33% |
Correlation
The correlation between SGAJ.DE and ^NDX is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.36 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2018 | 0.38 |
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Return for Risk
SGAJ.DE vs. ^NDX — Risk / Return Rank
SGAJ.DE
^NDX
SGAJ.DE vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ESG Screened UCITS ETF USD (Acc) (SGAJ.DE) 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.
| SGAJ.DE | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.70 | ||
| Sortino ratioReturn per unit of downside risk | -0.49 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.40 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 3.38 | -0.42 |
| Martin ratioReturn relative to average drawdown | 9.77 | 10.55 | -0.78 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SGAJ.DE | ^NDX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.62 | 2.32 | -0.70 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.57 | 0.82 | -0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.91 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.73 | -0.19 |
Drawdowns
SGAJ.DE vs. ^NDX - Drawdown Comparison
The maximum SGAJ.DE drawdown since its inception was -28.20%, smaller than the maximum ^NDX drawdown of -46.44%. Use the drawdown chart below to compare losses from any high point for SGAJ.DE and ^NDX.
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Drawdown Indicators
| SGAJ.DE | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.20% | -46.44% | +18.24% |
Max Drawdown (1Y)Largest decline over 1 year | -10.37% | -11.19% | +0.82% |
Max Drawdown (3Y)Largest decline over 3 years | -17.14% | -27.30% | +10.16% |
Max Drawdown (5Y)Largest decline over 5 years | -19.32% | -31.53% | +12.21% |
Max Drawdown (10Y)Largest decline over 10 years | — | -31.53% | — |
Current DrawdownCurrent decline from peak | -0.33% | -0.69% | +0.36% |
Average DrawdownAverage peak-to-trough decline | -5.79% | -8.00% | +2.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.15% | 3.58% | -0.43% |
Volatility
SGAJ.DE vs. ^NDX - Volatility Comparison
The current volatility for iShares MSCI Japan ESG Screened UCITS ETF USD (Acc) (SGAJ.DE) is 3.44%, while NASDAQ 100 Index (^NDX) has a volatility of 3.80%. This indicates that SGAJ.DE experiences smaller price fluctuations and is considered to be less risky 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
| SGAJ.DE | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.44% | 3.80% | -0.36% |
Volatility (6M)Calculated over the trailing 6-month period | 15.00% | 11.58% | +3.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.93% | 16.31% | +2.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.69% | 22.24% | -5.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.41% | 22.83% | -5.42% |
Frequently Asked Questions
SGAJ.DE and ^NDX have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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