^XCMP vs. ^SP500TR
Compare and contrast key facts about NASDAQ Composite Total Return Index (^XCMP) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XCMP or ^SP500TR.
Key characteristics
| ^XCMP | ^SP500TR | |
|---|---|---|
| YTD Return | 18.06% | 19.34% |
| 1Y Return | 29.56% | 28.38% |
| 3Y Return (Ann) | 6.21% | 10.07% |
| 5Y Return (Ann) | 17.45% | 15.28% |
| 10Y Return (Ann) | 15.52% | 12.94% |
| Sharpe Ratio | 1.96 | 2.24 |
| Daily Std Dev | 17.47% | 12.70% |
| Max Drawdown | -35.83% | -55.25% |
| Current Drawdown | -5.33% | -0.32% |
Correlation
The correlation between ^XCMP and ^SP500TR is 0.92, 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
^XCMP vs. ^SP500TR - Performance Comparison
In the year-to-date period, ^XCMP achieves a 18.06% return, which is significantly lower than ^SP500TR's 19.34% return. Over the past 10 years, ^XCMP has outperformed ^SP500TR with an annualized return of 15.52%, while ^SP500TR has yielded a comparatively lower 12.94% 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
^XCMP vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) and S&P 500 Total Return (^SP500TR). 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
^XCMP vs. ^SP500TR - Drawdown Comparison
The maximum ^XCMP drawdown since its inception was -35.83%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^XCMP and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
^XCMP vs. ^SP500TR - Volatility Comparison
NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 6.05% compared to S&P 500 Total Return (^SP500TR) at 3.97%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.