^NYA vs. ^NDX
Compare and contrast key facts about NYSE Composite (^NYA) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^NYA or ^NDX.
Key characteristics
| ^NYA | ^NDX | |
|---|---|---|
| YTD Return | 18.77% | 25.44% |
| 1Y Return | 30.07% | 35.92% |
| 3Y Return (Ann) | 5.01% | 9.27% |
| 5Y Return (Ann) | 8.41% | 20.71% |
| 10Y Return (Ann) | 6.30% | 17.50% |
| Sharpe Ratio | 2.95 | 2.21 |
| Sortino Ratio | 4.08 | 2.90 |
| Omega Ratio | 1.53 | 1.39 |
| Calmar Ratio | 2.77 | 2.87 |
| Martin Ratio | 18.88 | 10.37 |
| Ulcer Index | 1.66% | 3.76% |
| Daily Std Dev | 10.64% | 17.57% |
| Max Drawdown | -59.01% | -82.90% |
| Current Drawdown | 0.00% | -0.05% |
Correlation
The correlation between ^NYA and ^NDX is 0.75, 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
^NYA vs. ^NDX - Performance Comparison
In the year-to-date period, ^NYA achieves a 18.77% return, which is significantly lower than ^NDX's 25.44% return. Over the past 10 years, ^NYA has underperformed ^NDX with an annualized return of 6.30%, while ^NDX has yielded a comparatively higher 17.50% 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
^NYA vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Composite (^NYA) and NASDAQ 100 (^NDX). 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
^NYA vs. ^NDX - Drawdown Comparison
The maximum ^NYA drawdown since its inception was -59.01%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^NYA and ^NDX. For additional features, visit the drawdowns tool.
Volatility
^NYA vs. ^NDX - Volatility Comparison
The current volatility for NYSE Composite (^NYA) is 3.05%, while NASDAQ 100 (^NDX) has a volatility of 5.18%. This indicates that ^NYA experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.