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 | 11.71% | 25.02% |
| 1Y Return | 17.59% | 33.04% |
| 3Y Return (Ann) | 5.94% | 9.12% |
| 5Y Return (Ann) | 5.60% | 20.47% |
| 10Y Return (Ann) | 5.21% | 17.45% |
| Sharpe Ratio | 1.68 | 2.05 |
| Sortino Ratio | 2.29 | 2.71 |
| Omega Ratio | 1.31 | 1.37 |
| Calmar Ratio | 2.73 | 2.64 |
| Martin Ratio | 11.79 | 9.55 |
| Ulcer Index | 1.47% | 3.76% |
| Daily Std Dev | 10.41% | 17.53% |
| Max Drawdown | -41.53% | -82.90% |
| Current Drawdown | -3.86% | -0.38% |
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 11.71% return, which is significantly lower than ^NDX's 25.02% return. Over the past 10 years, SPYF.DE has underperformed ^NDX with an annualized return of 5.21%, while ^NDX has yielded a comparatively higher 17.45% 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 4.03%, while NASDAQ 100 (^NDX) has a volatility of 4.91%. 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.