PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^NDX vs. VTI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NDX and VTI is 0.88, 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. VTI - Performance Comparison

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

600.00%700.00%800.00%900.00%1,000.00%1,100.00%JulyAugustSeptemberOctoberNovemberDecember
1,082.80%
677.31%
^NDX
VTI

Key characteristics

Sharpe Ratio

^NDX:

1.58

VTI:

2.10

Sortino Ratio

^NDX:

2.12

VTI:

2.80

Omega Ratio

^NDX:

1.29

VTI:

1.39

Calmar Ratio

^NDX:

2.11

VTI:

3.14

Martin Ratio

^NDX:

7.52

VTI:

13.44

Ulcer Index

^NDX:

3.80%

VTI:

2.00%

Daily Std Dev

^NDX:

18.07%

VTI:

12.79%

Max Drawdown

^NDX:

-82.90%

VTI:

-55.45%

Current Drawdown

^NDX:

-3.65%

VTI:

-3.03%

Returns By Period

In the year-to-date period, ^NDX achieves a 26.53% return, which is significantly higher than VTI's 24.89% return. Over the past 10 years, ^NDX has outperformed VTI with an annualized return of 17.44%, while VTI has yielded a comparatively lower 12.52% annualized return.


^NDX

YTD

26.53%

1M

3.01%

6M

8.06%

1Y

27.04%

5Y*

19.69%

10Y*

17.44%

VTI

YTD

24.89%

1M

-0.60%

6M

10.03%

1Y

25.20%

5Y*

14.09%

10Y*

12.52%

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. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) and Vanguard Total Stock Market ETF (VTI). 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 market0.001.002.001.582.10
The chart of Sortino ratio for ^NDX, currently valued at 2.12, compared to the broader market-1.000.001.002.003.002.122.80
The chart of Omega ratio for ^NDX, currently valued at 1.29, compared to the broader market0.901.001.101.201.301.401.291.39
The chart of Calmar ratio for ^NDX, currently valued at 2.11, compared to the broader market0.001.002.003.002.113.14
The chart of Martin ratio for ^NDX, currently valued at 7.52, compared to the broader market0.005.0010.0015.0020.007.5213.44
^NDX
VTI

The current ^NDX Sharpe Ratio is 1.58, which is comparable to the VTI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of ^NDX and VTI, 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
2.10
^NDX
VTI

Drawdowns

^NDX vs. VTI - Drawdown Comparison

The maximum ^NDX drawdown since its inception was -82.90%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ^NDX and VTI. 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%
-3.03%
^NDX
VTI

Volatility

^NDX vs. VTI - Volatility Comparison

NASDAQ 100 (^NDX) has a higher volatility of 5.35% compared to Vanguard Total Stock Market ETF (VTI) at 4.00%. This indicates that ^NDX's price experiences larger fluctuations and is considered to be riskier than VTI 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%
4.00%
^NDX
VTI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab