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UAE vs. NDAQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between UAE and NDAQ is 0.21, 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.


-0.50.00.51.00.2

Performance

UAE vs. NDAQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI UAE ETF (UAE) and Nasdaq, Inc. (NDAQ). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
-2.04%
653.11%
UAE
NDAQ

Key characteristics

Sharpe Ratio

UAE:

1.08

NDAQ:

2.31

Sortino Ratio

UAE:

1.69

NDAQ:

3.21

Omega Ratio

UAE:

1.22

NDAQ:

1.41

Calmar Ratio

UAE:

0.68

NDAQ:

2.22

Martin Ratio

UAE:

3.89

NDAQ:

13.10

Ulcer Index

UAE:

4.46%

NDAQ:

3.27%

Daily Std Dev

UAE:

16.09%

NDAQ:

18.58%

Max Drawdown

UAE:

-60.44%

NDAQ:

-68.48%

Current Drawdown

UAE:

-7.28%

NDAQ:

-6.16%

Returns By Period

In the year-to-date period, UAE achieves a 14.07% return, which is significantly lower than NDAQ's 35.53% return. Over the past 10 years, UAE has underperformed NDAQ with an annualized return of 2.31%, while NDAQ has yielded a comparatively higher 18.84% annualized return.


UAE

YTD

14.07%

1M

5.42%

6M

20.98%

1Y

16.18%

5Y*

8.36%

10Y*

2.31%

NDAQ

YTD

35.53%

1M

-2.68%

6M

29.77%

1Y

40.48%

5Y*

18.45%

10Y*

18.84%

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Risk-Adjusted Performance

UAE vs. NDAQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI UAE ETF (UAE) and Nasdaq, Inc. (NDAQ). 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.


Sharpe ratio
The chart of Sharpe ratio for UAE, currently valued at 1.08, compared to the broader market0.002.004.001.082.31
The chart of Sortino ratio for UAE, currently valued at 1.69, compared to the broader market-2.000.002.004.006.008.0010.001.693.21
The chart of Omega ratio for UAE, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.41
The chart of Calmar ratio for UAE, currently valued at 0.68, compared to the broader market0.005.0010.0015.000.682.22
The chart of Martin ratio for UAE, currently valued at 3.89, compared to the broader market0.0020.0040.0060.0080.00100.003.8913.10
UAE
NDAQ

The current UAE Sharpe Ratio is 1.08, which is lower than the NDAQ Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of UAE and NDAQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.08
2.31
UAE
NDAQ

Dividends

UAE vs. NDAQ - Dividend Comparison

UAE's dividend yield for the trailing twelve months is around 3.36%, more than NDAQ's 1.21% yield.


TTM20232022202120202019201820172016201520142013
UAE
iShares MSCI UAE ETF
3.36%3.24%2.67%4.88%4.75%3.54%5.56%3.38%4.74%3.77%2.58%0.00%
NDAQ
Nasdaq, Inc.
1.21%1.48%1.27%1.00%1.46%1.73%2.08%1.90%1.80%1.55%1.21%1.31%

Drawdowns

UAE vs. NDAQ - Drawdown Comparison

The maximum UAE drawdown since its inception was -60.44%, smaller than the maximum NDAQ drawdown of -68.48%. Use the drawdown chart below to compare losses from any high point for UAE and NDAQ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.28%
-6.16%
UAE
NDAQ

Volatility

UAE vs. NDAQ - Volatility Comparison

iShares MSCI UAE ETF (UAE) has a higher volatility of 8.24% compared to Nasdaq, Inc. (NDAQ) at 4.82%. This indicates that UAE's price experiences larger fluctuations and is considered to be riskier than NDAQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.24%
4.82%
UAE
NDAQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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