PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^IBEX vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^IBEX and ^NDX is 0.29, 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.


-0.50.00.51.00.3

Performance

^IBEX vs. ^NDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in IBEX 35 Index (^IBEX) and NASDAQ 100 (^NDX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.40%
8.06%
^IBEX
^NDX

Key characteristics

Sharpe Ratio

^IBEX:

1.01

^NDX:

1.58

Sortino Ratio

^IBEX:

1.44

^NDX:

2.12

Omega Ratio

^IBEX:

1.18

^NDX:

1.29

Calmar Ratio

^IBEX:

0.35

^NDX:

2.11

Martin Ratio

^IBEX:

4.99

^NDX:

7.52

Ulcer Index

^IBEX:

2.71%

^NDX:

3.80%

Daily Std Dev

^IBEX:

13.16%

^NDX:

18.07%

Max Drawdown

^IBEX:

-62.65%

^NDX:

-82.90%

Current Drawdown

^IBEX:

-28.09%

^NDX:

-3.65%

Returns By Period

In the year-to-date period, ^IBEX achieves a 13.51% return, which is significantly lower than ^NDX's 26.53% return. Over the past 10 years, ^IBEX has underperformed ^NDX with an annualized return of 0.89%, while ^NDX has yielded a comparatively higher 17.44% annualized return.


^IBEX

YTD

13.51%

1M

-1.05%

6M

3.94%

1Y

13.49%

5Y*

3.39%

10Y*

0.89%

^NDX

YTD

26.53%

1M

3.01%

6M

8.06%

1Y

27.04%

5Y*

19.69%

10Y*

17.44%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^IBEX vs. ^NDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for IBEX 35 Index (^IBEX) 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.


Sharpe ratio
The chart of Sharpe ratio for ^IBEX, currently valued at 0.56, compared to the broader market0.001.002.000.561.68
The chart of Sortino ratio for ^IBEX, currently valued at 0.86, compared to the broader market-1.000.001.002.003.000.862.24
The chart of Omega ratio for ^IBEX, currently valued at 1.10, compared to the broader market0.901.001.101.201.301.401.101.31
The chart of Calmar ratio for ^IBEX, currently valued at 0.16, compared to the broader market0.001.002.003.000.162.21
The chart of Martin ratio for ^IBEX, currently valued at 2.12, compared to the broader market0.005.0010.0015.0020.002.127.92
^IBEX
^NDX

The current ^IBEX Sharpe Ratio is 1.01, which is lower than the ^NDX Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of ^IBEX and ^NDX, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.56
1.68
^IBEX
^NDX

Drawdowns

^IBEX vs. ^NDX - Drawdown Comparison

The maximum ^IBEX drawdown since its inception was -62.65%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^IBEX and ^NDX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-48.89%
-3.65%
^IBEX
^NDX

Volatility

^IBEX vs. ^NDX - Volatility Comparison

The current volatility for IBEX 35 Index (^IBEX) is 4.77%, while NASDAQ 100 (^NDX) has a volatility of 5.35%. This indicates that ^IBEX 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.77%
5.35%
^IBEX
^NDX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab