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^NDX vs. ARKK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NDX and ARKK is 0.67, 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.


Performance

^NDX vs. ARKK - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^NDX:

0.59

ARKK:

0.61

Sortino Ratio

^NDX:

1.01

ARKK:

1.00

Omega Ratio

^NDX:

1.14

ARKK:

1.12

Calmar Ratio

^NDX:

0.67

ARKK:

0.30

Martin Ratio

^NDX:

2.19

ARKK:

1.66

Ulcer Index

^NDX:

7.03%

ARKK:

13.66%

Daily Std Dev

^NDX:

25.60%

ARKK:

44.53%

Max Drawdown

^NDX:

-82.90%

ARKK:

-80.91%

Current Drawdown

^NDX:

-5.90%

ARKK:

-64.63%

Returns By Period

In the year-to-date period, ^NDX achieves a -0.69% return, which is significantly higher than ARKK's -4.03% return. Over the past 10 years, ^NDX has outperformed ARKK with an annualized return of 16.65%, while ARKK has yielded a comparatively lower 11.14% annualized return.


^NDX

YTD

-0.69%

1M

11.65%

6M

-1.13%

1Y

14.91%

5Y*

18.40%

10Y*

16.65%

ARKK

YTD

-4.03%

1M

18.72%

6M

-5.83%

1Y

26.93%

5Y*

-0.02%

10Y*

11.14%

*Annualized

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Risk-Adjusted Performance

^NDX vs. ARKK — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^NDX
The Risk-Adjusted Performance Rank of ^NDX is 7171
Overall Rank
The Sharpe Ratio Rank of ^NDX is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 7272
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 6666
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 8181
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 6868
Martin Ratio Rank

ARKK
The Risk-Adjusted Performance Rank of ARKK is 6262
Overall Rank
The Sharpe Ratio Rank of ARKK is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of ARKK is 6969
Sortino Ratio Rank
The Omega Ratio Rank of ARKK is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ARKK is 5151
Calmar Ratio Rank
The Martin Ratio Rank of ARKK is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^NDX vs. ARKK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) and ARK Innovation ETF (ARKK). 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.


The current ^NDX Sharpe Ratio is 0.59, which is comparable to the ARKK Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ^NDX and ARKK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^NDX vs. ARKK - Drawdown Comparison

The maximum ^NDX drawdown since its inception was -82.90%, roughly equal to the maximum ARKK drawdown of -80.91%. Use the drawdown chart below to compare losses from any high point for ^NDX and ARKK. For additional features, visit the drawdowns tool.


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Volatility

^NDX vs. ARKK - Volatility Comparison

The current volatility for NASDAQ 100 (^NDX) is 7.55%, while ARK Innovation ETF (ARKK) has a volatility of 11.81%. This indicates that ^NDX experiences smaller price fluctuations and is considered to be less risky than ARKK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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