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

Correlation

The correlation between ^NDX and VOO is 0.90, 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. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ 100 (^NDX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^NDX:

0.50

VOO:

0.58

Sortino Ratio

^NDX:

0.92

VOO:

0.96

Omega Ratio

^NDX:

1.13

VOO:

1.14

Calmar Ratio

^NDX:

0.60

VOO:

0.62

Martin Ratio

^NDX:

1.94

VOO:

2.36

Ulcer Index

^NDX:

7.06%

VOO:

4.90%

Daily Std Dev

^NDX:

25.59%

VOO:

19.45%

Max Drawdown

^NDX:

-82.90%

VOO:

-33.99%

Current Drawdown

^NDX:

-4.94%

VOO:

-4.62%

Returns By Period

In the year-to-date period, ^NDX achieves a 0.32% return, which is significantly higher than VOO's -0.22% return. Over the past 10 years, ^NDX has outperformed VOO with an annualized return of 16.63%, while VOO has yielded a comparatively lower 12.59% annualized return.


^NDX

YTD

0.32%

1M

18.37%

6M

2.00%

1Y

12.65%

3Y*

21.22%

5Y*

17.50%

10Y*

16.63%

VOO

YTD

-0.22%

1M

13.42%

6M

-0.65%

1Y

11.15%

3Y*

16.14%

5Y*

16.32%

10Y*

12.59%

*Annualized

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NASDAQ 100

Vanguard S&P 500 ETF

Risk-Adjusted Performance

^NDX vs. VOO — 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 5757
Overall Rank
The Sharpe Ratio Rank of ^NDX is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 5555
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 5454
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 6262
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 6060
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 5959
Overall Rank
The Sharpe Ratio Rank of VOO is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 5757
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6262
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6161
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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) and Vanguard S&P 500 ETF (VOO). 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 0.50, which is comparable to the VOO Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of ^NDX and VOO, 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. VOO - Drawdown Comparison

The maximum ^NDX drawdown since its inception was -82.90%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^NDX and VOO. For additional features, visit the drawdowns tool.


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Volatility

^NDX vs. VOO - Volatility Comparison

NASDAQ 100 (^NDX) has a higher volatility of 5.72% compared to Vanguard S&P 500 ETF (VOO) at 4.80%. This indicates that ^NDX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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