^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.
Key characteristics
^NDX | SPY | |
---|---|---|
YTD Return | 6.33% | 7.90% |
1Y Return | 37.81% | 28.03% |
3Y Return (Ann) | 9.73% | 8.75% |
5Y Return (Ann) | 17.94% | 13.52% |
10Y Return (Ann) | 17.56% | 12.62% |
Sharpe Ratio | 2.25 | 2.33 |
Daily Std Dev | 16.58% | 11.63% |
Max Drawdown | -82.90% | -55.19% |
Current Drawdown | -2.45% | -2.27% |
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.
Performance
^NDX vs. SPY - Performance Comparison
In the year-to-date period, ^NDX achieves a 6.33% return, which is significantly lower than SPY's 7.90% return. Over the past 10 years, ^NDX has outperformed SPY with an annualized return of 17.56%, while SPY has yielded a comparatively lower 12.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 5.91% compared to SPDR S&P 500 ETF (SPY) at 4.08%. 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.