^XBD vs. ^NDX
Compare and contrast key facts about NYSE Arca Securities Broker/Dealer Index (^XBD) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XBD or ^NDX.
Key characteristics
| ^XBD | ^NDX | |
|---|---|---|
| YTD Return | 33.01% | 21.01% |
| 1Y Return | 60.65% | 39.84% |
| 3Y Return (Ann) | 13.99% | 9.92% |
| 5Y Return (Ann) | 23.26% | 20.95% |
| 10Y Return (Ann) | 16.21% | 17.60% |
| Sharpe Ratio | 3.67 | 2.13 |
| Sortino Ratio | 4.52 | 2.79 |
| Omega Ratio | 1.60 | 1.38 |
| Calmar Ratio | 4.57 | 2.54 |
| Martin Ratio | 27.37 | 10.06 |
| Ulcer Index | 2.17% | 3.75% |
| Daily Std Dev | 16.17% | 17.64% |
| Max Drawdown | -80.20% | -82.90% |
| Current Drawdown | -1.02% | -1.52% |
Correlation
The correlation between ^XBD and ^NDX is 0.64, 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.
Performance
^XBD vs. ^NDX - Performance Comparison
In the year-to-date period, ^XBD achieves a 33.01% return, which is significantly higher than ^NDX's 21.01% return. Over the past 10 years, ^XBD has underperformed ^NDX with an annualized return of 16.21%, while ^NDX has yielded a comparatively higher 17.60% 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
^XBD vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Securities Broker/Dealer Index (^XBD) 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
^XBD vs. ^NDX - Drawdown Comparison
The maximum ^XBD drawdown since its inception was -80.20%, roughly equal to the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^XBD and ^NDX. For additional features, visit the drawdowns tool.
Volatility
^XBD vs. ^NDX - Volatility Comparison
NYSE Arca Securities Broker/Dealer Index (^XBD) and NASDAQ 100 (^NDX) have volatilities of 3.40% and 3.53%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.