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 9.98%/yr vs 15.64%/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
The year-to-date returns for both stocks are quite close, with SGAJ.DE having a 19.86% return and ^NDX slightly lower at 19.64%.
SGAJ.DE
- 1D
- -1.05%
- 1M
- 0.83%
- 6M
- 13.77%
- YTD
- 19.86%
- 1Y
- 39.05%
- 3Y*
- 17.02%
- 5Y*
- 9.98%
- 10Y*
- —
^NDX
- 1D
- -0.75%
- 1M
- -2.41%
- 6M
- 17.61%
- YTD
- 19.64%
- 1Y
- 30.36%
- 3Y*
- 22.87%
- 5Y*
- 15.64%
- 10Y*
- 19.98%
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) | 19.86% | 11.81% | 12.99% | 16.12% | -12.79% | 9.68% | 5.86% | 23.51% | -21.34% |
^NDX NASDAQ 100 Index | 19.64% | 5.91% | 33.12% | 49.19% | -28.81% | 36.10% | 35.42% | 41.08% | -11.11% |
Correlation
The correlation between SGAJ.DE and ^NDX is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Oct 19, 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SGAJ.DE | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.30 | ||
| Sortino ratioReturn per unit of downside risk | +0.63 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.29 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.77 | 2.73 | +1.04 |
| Martin ratioReturn relative to average drawdown | 12.39 | 8.24 | +4.15 |
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Drawdowns
SGAJ.DE vs. ^NDX - Drawdown Comparison
The maximum SGAJ.DE drawdown since its inception was -28.34%, 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 | -28.34% | -46.44% | +18.10% |
Max Drawdown (1Y)Largest decline over 1 year | -10.31% | -11.19% | +0.88% |
Max Drawdown (3Y)Largest decline over 3 years | -17.07% | -27.30% | +10.23% |
Max Drawdown (5Y)Largest decline over 5 years | -19.31% | -31.53% | +12.22% |
Max Drawdown (10Y)Largest decline over 10 years | — | -31.53% | — |
Current DrawdownCurrent decline from peak | -3.41% | -3.17% | -0.24% |
Average DrawdownAverage peak-to-trough decline | -7.23% | -8.01% | +0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.14% | 3.69% | -0.55% |
Volatility
SGAJ.DE vs. ^NDX - Volatility Comparison
The current volatility for iShares MSCI Japan ESG Screened UCITS ETF USD (Acc) (SGAJ.DE) is 6.50%, while NASDAQ 100 Index (^NDX) has a volatility of 7.44%. 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 | 6.50% | 7.44% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 16.05% | 14.22% | +1.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.81% | 18.36% | +1.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.94% | 22.57% | -5.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.18% | 22.98% | -4.80% |
Frequently Asked Questions
SGAJ.DE and ^NDX have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Find the right allocation for SGAJ.DE and ^NDX
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