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^IXIC vs. SWKS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^IXIC and SWKS is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^IXIC vs. SWKS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ Composite (^IXIC) and Skyworks Solutions, Inc. (SWKS). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.32%
-14.98%
^IXIC
SWKS

Key characteristics

Sharpe Ratio

^IXIC:

1.62

SWKS:

-0.50

Sortino Ratio

^IXIC:

2.16

SWKS:

-0.48

Omega Ratio

^IXIC:

1.29

SWKS:

0.94

Calmar Ratio

^IXIC:

2.22

SWKS:

-0.33

Martin Ratio

^IXIC:

8.20

SWKS:

-1.17

Ulcer Index

^IXIC:

3.55%

SWKS:

15.41%

Daily Std Dev

^IXIC:

17.97%

SWKS:

35.92%

Max Drawdown

^IXIC:

-77.93%

SWKS:

-96.12%

Current Drawdown

^IXIC:

-3.97%

SWKS:

-51.64%

Returns By Period

In the year-to-date period, ^IXIC achieves a 29.05% return, which is significantly higher than SWKS's -18.88% return. Over the past 10 years, ^IXIC has outperformed SWKS with an annualized return of 15.05%, while SWKS has yielded a comparatively lower 3.83% annualized return.


^IXIC

YTD

29.05%

1M

2.03%

6M

9.32%

1Y

31.09%

5Y*

16.81%

10Y*

15.05%

SWKS

YTD

-18.88%

1M

6.40%

6M

-15.51%

1Y

-18.29%

5Y*

-3.75%

10Y*

3.83%

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Risk-Adjusted Performance

^IXIC vs. SWKS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) and Skyworks Solutions, Inc. (SWKS). 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 ^IXIC, currently valued at 1.62, compared to the broader market-1.000.001.002.001.62-0.51
The chart of Sortino ratio for ^IXIC, currently valued at 2.16, compared to the broader market-1.000.001.002.003.002.16-0.49
The chart of Omega ratio for ^IXIC, currently valued at 1.29, compared to the broader market0.800.901.001.101.201.301.401.290.94
The chart of Calmar ratio for ^IXIC, currently valued at 2.22, compared to the broader market0.001.002.003.004.002.22-0.33
The chart of Martin ratio for ^IXIC, currently valued at 8.20, compared to the broader market0.005.0010.0015.008.20-1.18
^IXIC
SWKS

The current ^IXIC Sharpe Ratio is 1.62, which is higher than the SWKS Sharpe Ratio of -0.50. The chart below compares the historical Sharpe Ratios of ^IXIC and SWKS, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.62
-0.51
^IXIC
SWKS

Drawdowns

^IXIC vs. SWKS - Drawdown Comparison

The maximum ^IXIC drawdown since its inception was -77.93%, smaller than the maximum SWKS drawdown of -96.12%. Use the drawdown chart below to compare losses from any high point for ^IXIC and SWKS. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.97%
-51.64%
^IXIC
SWKS

Volatility

^IXIC vs. SWKS - Volatility Comparison

The current volatility for NASDAQ Composite (^IXIC) is 4.97%, while Skyworks Solutions, Inc. (SWKS) has a volatility of 6.66%. This indicates that ^IXIC experiences smaller price fluctuations and is considered to be less risky than SWKS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
4.97%
6.66%
^IXIC
SWKS
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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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