^IXIC vs. SPY
Compare and contrast key facts about NASDAQ Composite (^IXIC) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IXIC or SPY.
Performance
^IXIC vs. SPY - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with ^IXIC having a 25.18% return and SPY slightly lower at 24.91%. Over the past 10 years, ^IXIC has outperformed SPY with an annualized return of 14.88%, while SPY has yielded a comparatively lower 13.04% annualized return.
^IXIC
25.18%
1.63%
11.89%
33.03%
17.18%
14.88%
SPY
24.91%
0.61%
11.66%
32.24%
15.43%
13.04%
Key characteristics
| ^IXIC | SPY | |
|---|---|---|
| Sharpe Ratio | 1.89 | 2.67 |
| Sortino Ratio | 2.50 | 3.56 |
| Omega Ratio | 1.34 | 1.50 |
| Calmar Ratio | 2.52 | 3.85 |
| Martin Ratio | 9.39 | 17.38 |
| Ulcer Index | 3.53% | 1.86% |
| Daily Std Dev | 17.55% | 12.17% |
| Max Drawdown | -77.93% | -55.19% |
| Current Drawdown | -2.63% | -1.77% |
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Correlation
The correlation between ^IXIC and SPY is 0.86, 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
^IXIC vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) and SPDR S&P 500 ETF (SPY). 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
^IXIC vs. SPY - Drawdown Comparison
The maximum ^IXIC drawdown since its inception was -77.93%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^IXIC and SPY. For additional features, visit the drawdowns tool.
Volatility
^IXIC vs. SPY - Volatility Comparison
NASDAQ Composite (^IXIC) has a higher volatility of 5.78% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that ^IXIC's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.