^IXIC vs. ^SP500TR
Compare and contrast key facts about NASDAQ Composite (^IXIC) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IXIC or ^SP500TR.
Performance
^IXIC vs. ^SP500TR - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with ^IXIC having a 25.18% return and ^SP500TR slightly lower at 25.07%. Over the past 10 years, ^IXIC has outperformed ^SP500TR with an annualized return of 14.88%, while ^SP500TR has yielded a comparatively lower 13.14% annualized return.
^IXIC
25.18%
1.63%
11.89%
33.03%
17.18%
14.88%
^SP500TR
25.07%
0.60%
11.76%
32.40%
15.52%
13.14%
Key characteristics
| ^IXIC | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | 1.89 | 2.66 |
| Sortino Ratio | 2.50 | 3.55 |
| Omega Ratio | 1.34 | 1.49 |
| Calmar Ratio | 2.52 | 3.86 |
| Martin Ratio | 9.39 | 17.38 |
| Ulcer Index | 3.53% | 1.87% |
| Daily Std Dev | 17.55% | 12.27% |
| Max Drawdown | -77.93% | -55.25% |
| Current Drawdown | -2.63% | -1.74% |
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Correlation
The correlation between ^IXIC and ^SP500TR is 0.87, 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. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite (^IXIC) and S&P 500 Total Return (^SP500TR). 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. ^SP500TR - Drawdown Comparison
The maximum ^IXIC drawdown since its inception was -77.93%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^IXIC and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
^IXIC vs. ^SP500TR - Volatility Comparison
NASDAQ Composite (^IXIC) has a higher volatility of 5.78% compared to S&P 500 Total Return (^SP500TR) at 4.05%. This indicates that ^IXIC's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.