SGAJ.DE vs. NQSE.DE
SGAJ.DE (iShares MSCI Japan ESG Screened UCITS ETF USD (Acc)) and NQSE.DE (iShares NASDAQ 100 UCITS ETF) are both exchange-traded funds - SGAJ.DE is a Japan Equities fund tracking the MSCI Japan ESG Screened, while NQSE.DE is a Nasdaq-100 fund tracking the NASDAQ-100 Index. Both are passively managed. Over the past 5 years, SGAJ.DE returned 9.71%/yr vs 14.91%/yr for NQSE.DE. A 0.51 correlation means they provide meaningful diversification when combined. SGAJ.DE charges 0.15%/yr vs 0.33%/yr for NQSE.DE.
Performance
SGAJ.DE vs. NQSE.DE - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with SGAJ.DE having a 17.45% return and NQSE.DE slightly higher at 17.82%.
SGAJ.DE
- 1D
- -0.33%
- 1M
- 4.03%
- YTD
- 17.45%
- 6M
- 17.53%
- 1Y
- 31.96%
- 3Y*
- 15.05%
- 5Y*
- 9.71%
- 10Y*
- —
NQSE.DE
- 1D
- -0.77%
- 1M
- 6.66%
- YTD
- 17.82%
- 6M
- 17.09%
- 1Y
- 35.67%
- 3Y*
- 25.27%
- 5Y*
- 14.91%
- 10Y*
- —
SGAJ.DE vs. NQSE.DE - 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% |
NQSE.DE iShares NASDAQ 100 UCITS ETF | 17.82% | 18.16% | 24.07% | 52.10% | -36.29% | 27.37% | 45.23% | 35.67% | -10.34% |
Correlation
The correlation between SGAJ.DE and NQSE.DE is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2018 | 0.51 |
The correlation between SGAJ.DE and NQSE.DE has been stable across timeframes, ranging from 0.47 to 0.54 - a consistent structural relationship.
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Return for Risk
SGAJ.DE vs. NQSE.DE — Risk / Return Rank
SGAJ.DE
NQSE.DE
SGAJ.DE vs. NQSE.DE - 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 iShares NASDAQ 100 UCITS ETF (NQSE.DE). 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 | NQSE.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.65 | ||
| Sortino ratioReturn per unit of downside risk | -0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.39 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 3.08 | -0.12 |
| Martin ratioReturn relative to average drawdown | 9.77 | 10.77 | -1.00 |
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 | NQSE.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.62 | 2.28 | -0.65 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.57 | 0.71 | -0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.82 | -0.27 |
Drawdowns
SGAJ.DE vs. NQSE.DE - Drawdown Comparison
The maximum SGAJ.DE drawdown since its inception was -28.20%, smaller than the maximum NQSE.DE drawdown of -37.67%. Use the drawdown chart below to compare losses from any high point for SGAJ.DE and NQSE.DE.
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Drawdown Indicators
| SGAJ.DE | NQSE.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.20% | -37.67% | +9.47% |
Max Drawdown (1Y)Largest decline over 1 year | -10.37% | -11.87% | +1.50% |
Max Drawdown (3Y)Largest decline over 3 years | -17.14% | -22.40% | +5.26% |
Max Drawdown (5Y)Largest decline over 5 years | -19.32% | -37.67% | +18.35% |
Current DrawdownCurrent decline from peak | -0.33% | -0.84% | +0.51% |
Average DrawdownAverage peak-to-trough decline | -5.79% | -8.56% | +2.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.15% | 3.40% | -0.25% |
Volatility
SGAJ.DE vs. NQSE.DE - Volatility Comparison
The current volatility for iShares MSCI Japan ESG Screened UCITS ETF USD (Acc) (SGAJ.DE) is 3.44%, while iShares NASDAQ 100 UCITS ETF (NQSE.DE) has a volatility of 4.75%. This indicates that SGAJ.DE experiences smaller price fluctuations and is considered to be less risky than NQSE.DE 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 | NQSE.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.44% | 4.75% | -1.31% |
Volatility (6M)Calculated over the trailing 6-month period | 15.00% | 11.99% | +3.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.93% | 16.05% | +2.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.69% | 20.91% | -4.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.41% | 21.54% | -4.13% |
SGAJ.DE vs. NQSE.DE - Expense Ratio Comparison
SGAJ.DE has a 0.15% expense ratio, which is lower than NQSE.DE's 0.33% expense ratio.
Dividends
SGAJ.DE vs. NQSE.DE - Dividend Comparison
Neither SGAJ.DE nor NQSE.DE has paid dividends to shareholders.
Frequently Asked Questions
SGAJ.DE and NQSE.DE have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, SGAJ.DE is cheaper at 0.15% per year. The better choice depends on whether you care most about return, fees, risk, or income.
SGAJ.DE is cheaper with a 0.15% expense ratio, compared with 0.33% for NQSE.DE.
SGAJ.DE is categorized as Japan Equities, while NQSE.DE is Nasdaq-100. SGAJ.DE tracks MSCI Japan ESG Screened, while NQSE.DE tracks NASDAQ-100 Index. Their fees differ too: 0.15% for SGAJ.DE and 0.33% for NQSE.DE.
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