^OEX vs. ^NDX
Compare and contrast key facts about S&P 100 Index (^OEX) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^OEX or ^NDX.
Performance
^OEX vs. ^NDX - Performance Comparison
Returns By Period
In the year-to-date period, ^OEX achieves a 28.09% return, which is significantly higher than ^NDX's 23.27% return. Over the past 10 years, ^OEX has underperformed ^NDX with an annualized return of 12.10%, while ^NDX has yielded a comparatively higher 17.12% annualized return.
^OEX
28.09%
1.18%
13.88%
32.89%
15.70%
12.10%
^NDX
23.27%
1.72%
11.37%
29.62%
20.24%
17.12%
Key characteristics
| ^OEX | ^NDX | |
|---|---|---|
| Sharpe Ratio | 2.50 | 1.71 |
| Sortino Ratio | 3.31 | 2.30 |
| Omega Ratio | 1.47 | 1.31 |
| Calmar Ratio | 3.39 | 2.22 |
| Martin Ratio | 15.04 | 8.00 |
| Ulcer Index | 2.22% | 3.77% |
| Daily Std Dev | 13.36% | 17.59% |
| Max Drawdown | -61.31% | -82.90% |
| Current Drawdown | -1.15% | -1.78% |
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Correlation
The correlation between ^OEX and ^NDX is 0.82, 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.
Risk-Adjusted Performance
^OEX vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) 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
^OEX vs. ^NDX - Drawdown Comparison
The maximum ^OEX drawdown since its inception was -61.31%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^OEX and ^NDX. For additional features, visit the drawdowns tool.
Volatility
^OEX vs. ^NDX - Volatility Comparison
The current volatility for S&P 100 Index (^OEX) is 4.24%, while NASDAQ 100 (^NDX) has a volatility of 5.40%. This indicates that ^OEX 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.