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^NYA vs. GOOG
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NYA and GOOG is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

^NYA vs. GOOG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Composite (^NYA) and Alphabet Inc. (GOOG). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember2025
6.51%
14.16%
^NYA
GOOG

Key characteristics

Sharpe Ratio

^NYA:

1.63

GOOG:

1.02

Sortino Ratio

^NYA:

2.28

GOOG:

1.50

Omega Ratio

^NYA:

1.29

GOOG:

1.20

Calmar Ratio

^NYA:

2.71

GOOG:

1.29

Martin Ratio

^NYA:

7.69

GOOG:

3.16

Ulcer Index

^NYA:

2.28%

GOOG:

9.09%

Daily Std Dev

^NYA:

10.77%

GOOG:

28.16%

Max Drawdown

^NYA:

-59.01%

GOOG:

-44.60%

Current Drawdown

^NYA:

-1.70%

GOOG:

-2.34%

Returns By Period

In the year-to-date period, ^NYA achieves a 4.35% return, which is significantly higher than GOOG's 3.54% return. Over the past 10 years, ^NYA has underperformed GOOG with an annualized return of 6.60%, while GOOG has yielded a comparatively higher 22.26% annualized return.


^NYA

YTD

4.35%

1M

4.45%

6M

6.51%

1Y

16.61%

5Y*

7.95%

10Y*

6.60%

GOOG

YTD

3.54%

1M

2.33%

6M

14.16%

1Y

29.30%

5Y*

22.61%

10Y*

22.26%

*Annualized

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Risk-Adjusted Performance

^NYA vs. GOOG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^NYA
The Risk-Adjusted Performance Rank of ^NYA is 7676
Overall Rank
The Sharpe Ratio Rank of ^NYA is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NYA is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ^NYA is 7474
Omega Ratio Rank
The Calmar Ratio Rank of ^NYA is 8484
Calmar Ratio Rank
The Martin Ratio Rank of ^NYA is 7373
Martin Ratio Rank

GOOG
The Risk-Adjusted Performance Rank of GOOG is 7676
Overall Rank
The Sharpe Ratio Rank of GOOG is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of GOOG is 7171
Sortino Ratio Rank
The Omega Ratio Rank of GOOG is 7171
Omega Ratio Rank
The Calmar Ratio Rank of GOOG is 8484
Calmar Ratio Rank
The Martin Ratio Rank of GOOG is 7474
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.

^NYA vs. GOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NYSE Composite (^NYA) and Alphabet Inc. (GOOG). 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 ^NYA, currently valued at 1.63, compared to the broader market-0.500.000.501.001.502.002.501.631.02
The chart of Sortino ratio for ^NYA, currently valued at 2.28, compared to the broader market0.001.002.003.002.281.50
The chart of Omega ratio for ^NYA, currently valued at 1.29, compared to the broader market1.001.201.401.601.291.20
The chart of Calmar ratio for ^NYA, currently valued at 2.71, compared to the broader market0.001.002.003.004.002.711.29
The chart of Martin ratio for ^NYA, currently valued at 7.69, compared to the broader market0.005.0010.0015.0020.007.693.16
^NYA
GOOG

The current ^NYA Sharpe Ratio is 1.63, which is higher than the GOOG Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of ^NYA and GOOG, 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 Ratio0.501.001.502.002.503.00AugustSeptemberOctoberNovemberDecember2025
1.63
1.02
^NYA
GOOG

Drawdowns

^NYA vs. GOOG - Drawdown Comparison

The maximum ^NYA drawdown since its inception was -59.01%, which is greater than GOOG's maximum drawdown of -44.60%. Use the drawdown chart below to compare losses from any high point for ^NYA and GOOG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-1.70%
-2.34%
^NYA
GOOG

Volatility

^NYA vs. GOOG - Volatility Comparison

The current volatility for NYSE Composite (^NYA) is 3.12%, while Alphabet Inc. (GOOG) has a volatility of 7.30%. This indicates that ^NYA experiences smaller price fluctuations and is considered to be less risky than GOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%AugustSeptemberOctoberNovemberDecember2025
3.12%
7.30%
^NYA
GOOG
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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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