You ask an excellent question! I think the answer lies in the detail of the stocks underlying those indices.
As you likely know, the NASDAQ is very tech heavy. For years, it has been the go-to exchange for up-and-coming technology companies and hosts Apple, Alphabet (Google), Facebook, Microsoft Netflix, Oracle and many, many others. And tech stocks have been flying, largely I think, because they are somewhat immune to the effects of COVID-19. Many of these companies are cloud services companies in one form or another, and their revenue and earnings have been accelerated by COVID-19.
In fact, there’s a great article about the divergence in stock indexes in today’s Wall Street Journal.
In the old days, so called ‘Dow Theorists’ would look for convergence or divergence between the Dow Jones Industrial Average and the Dow Jones Transportation Index. Moving lockstep
was considered good but when the Transports didn’t keep up with the Industrials, it meant there was a stock market correction coming, because manufactured goods weren’t being shipped to consumers.