^NDX vs. SPY
Compare and contrast key facts about NASDAQ 100 (^NDX) 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: ^NDX or SPY.
Performance
^NDX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ^NDX achieves a 23.27% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, ^NDX has outperformed SPY with an annualized return of 17.12%, while SPY has yielded a comparatively lower 13.10% annualized return.
^NDX
23.27%
1.72%
11.37%
29.62%
20.24%
17.12%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| ^NDX | SPY | |
|---|---|---|
| Sharpe Ratio | 1.71 | 2.70 |
| Sortino Ratio | 2.30 | 3.60 |
| Omega Ratio | 1.31 | 1.50 |
| Calmar Ratio | 2.22 | 3.90 |
| Martin Ratio | 8.00 | 17.52 |
| Ulcer Index | 3.77% | 1.87% |
| Daily Std Dev | 17.59% | 12.14% |
| Max Drawdown | -82.90% | -55.19% |
| Current Drawdown | -1.78% | -0.85% |
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Correlation
The correlation between ^NDX and SPY is 0.83, 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
^NDX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) 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
^NDX vs. SPY - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^NDX and SPY. For additional features, visit the drawdowns tool.
Volatility
^NDX vs. SPY - Volatility Comparison
NASDAQ 100 (^NDX) has a higher volatility of 5.40% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that ^NDX'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.