SPYF.DE vs. ^NDX
Compare and contrast key facts about SPDR FTSE UK All Share UCITS ETF (SPYF.DE) and NASDAQ 100 (^NDX).
SPYF.DE is a passively managed fund by State Street that tracks the performance of the FTSE All-Share. It was launched on Feb 28, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPYF.DE or ^NDX.
Key characteristics
| SPYF.DE | ^NDX | |
|---|---|---|
| YTD Return | 12.97% | 23.51% |
| 1Y Return | 19.92% | 35.86% |
| 3Y Return (Ann) | 6.58% | 8.32% |
| 5Y Return (Ann) | 5.87% | 20.35% |
| 10Y Return (Ann) | 5.28% | 17.49% |
| Sharpe Ratio | 2.06 | 2.10 |
| Sortino Ratio | 2.80 | 2.78 |
| Omega Ratio | 1.38 | 1.38 |
| Calmar Ratio | 3.34 | 2.73 |
| Martin Ratio | 15.14 | 9.88 |
| Ulcer Index | 1.40% | 3.76% |
| Daily Std Dev | 10.36% | 17.65% |
| Max Drawdown | -41.53% | -82.90% |
| Current Drawdown | -2.77% | 0.00% |
Correlation
The correlation between SPYF.DE and ^NDX is 0.39, 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.
Performance
SPYF.DE vs. ^NDX - Performance Comparison
In the year-to-date period, SPYF.DE achieves a 12.97% return, which is significantly lower than ^NDX's 23.51% return. Over the past 10 years, SPYF.DE has underperformed ^NDX with an annualized return of 5.28%, while ^NDX has yielded a comparatively higher 17.49% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
SPYF.DE vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) and NASDAQ 100 (^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.
Drawdowns
SPYF.DE vs. ^NDX - Drawdown Comparison
The maximum SPYF.DE drawdown since its inception was -41.53%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for SPYF.DE and ^NDX. For additional features, visit the drawdowns tool.
Volatility
SPYF.DE vs. ^NDX - Volatility Comparison
The current volatility for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) is 3.07%, while NASDAQ 100 (^NDX) has a volatility of 5.04%. This indicates that SPYF.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.