WFIVX vs. ^NDX
Compare and contrast key facts about Wilshire 5000 Index Portfolio (WFIVX) and NASDAQ 100 (^NDX).
WFIVX is managed by Wilshire Mutual Funds. It was launched on Feb 1, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WFIVX or ^NDX.
Performance
WFIVX vs. ^NDX - Performance Comparison
Returns By Period
In the year-to-date period, WFIVX achieves a 24.55% return, which is significantly higher than ^NDX's 23.27% return. Over the past 10 years, WFIVX has underperformed ^NDX with an annualized return of 7.83%, while ^NDX has yielded a comparatively higher 17.12% annualized return.
WFIVX
24.55%
2.43%
13.69%
28.64%
9.19%
7.83%
^NDX
23.27%
1.72%
11.37%
29.62%
20.24%
17.12%
Key characteristics
| WFIVX | ^NDX | |
|---|---|---|
| Sharpe Ratio | 2.37 | 1.71 |
| Sortino Ratio | 3.19 | 2.30 |
| Omega Ratio | 1.44 | 1.31 |
| Calmar Ratio | 2.20 | 2.22 |
| Martin Ratio | 14.88 | 8.00 |
| Ulcer Index | 1.96% | 3.77% |
| Daily Std Dev | 12.33% | 17.59% |
| Max Drawdown | -55.43% | -82.90% |
| Current Drawdown | -0.84% | -1.78% |
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Correlation
The correlation between WFIVX and ^NDX is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
WFIVX vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wilshire 5000 Index Portfolio (WFIVX) 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
WFIVX vs. ^NDX - Drawdown Comparison
The maximum WFIVX drawdown since its inception was -55.43%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for WFIVX and ^NDX. For additional features, visit the drawdowns tool.
Volatility
WFIVX vs. ^NDX - Volatility Comparison
The current volatility for Wilshire 5000 Index Portfolio (WFIVX) is 4.12%, while NASDAQ 100 (^NDX) has a volatility of 5.40%. This indicates that WFIVX 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.