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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.


-0.50.00.51.00.9

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.

500.00%600.00%700.00%800.00%900.00%1,000.00%1,100.00%JulyAugustSeptemberOctoberNovemberDecember
1,028.72%
602.93%
^NDX
VOO

Key characteristics

Sharpe Ratio

^NDX:

1.58

VOO:

2.25

Sortino Ratio

^NDX:

2.12

VOO:

2.98

Omega Ratio

^NDX:

1.29

VOO:

1.42

Calmar Ratio

^NDX:

2.11

VOO:

3.31

Martin Ratio

^NDX:

7.52

VOO:

14.77

Ulcer Index

^NDX:

3.80%

VOO:

1.90%

Daily Std Dev

^NDX:

18.07%

VOO:

12.46%

Max Drawdown

^NDX:

-82.90%

VOO:

-33.99%

Current Drawdown

^NDX:

-3.65%

VOO:

-2.47%

Returns By Period

The year-to-date returns for both stocks are quite close, with ^NDX having a 26.53% return and VOO slightly lower at 26.02%. Over the past 10 years, ^NDX has outperformed VOO with an annualized return of 17.44%, while VOO has yielded a comparatively lower 13.08% annualized return.


^NDX

YTD

26.53%

1M

3.01%

6M

8.06%

1Y

27.04%

5Y*

19.69%

10Y*

17.44%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^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.


Sharpe ratio
The chart of Sharpe ratio for ^NDX, currently valued at 1.58, compared to the broader market0.001.002.001.582.25
The chart of Sortino ratio for ^NDX, currently valued at 2.12, compared to the broader market-1.000.001.002.003.002.122.98
The chart of Omega ratio for ^NDX, currently valued at 1.29, compared to the broader market0.901.001.101.201.301.401.291.42
The chart of Calmar ratio for ^NDX, currently valued at 2.11, compared to the broader market0.001.002.003.002.113.31
The chart of Martin ratio for ^NDX, currently valued at 7.52, compared to the broader market0.005.0010.0015.0020.007.5214.77
^NDX
VOO

The current ^NDX Sharpe Ratio is 1.58, which is comparable to the VOO Sharpe Ratio of 2.25. 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.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.58
2.25
^NDX
VOO

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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.65%
-2.47%
^NDX
VOO

Volatility

^NDX vs. VOO - Volatility Comparison

NASDAQ 100 (^NDX) has a higher volatility of 5.35% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. 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.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
3.75%
^NDX
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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