^GSPC vs. NRG

Last updated Jun 9, 2026

^GSPC (S&P 500 Index) is an index, while NRG (NRG Energy, Inc.) is a stock. Over the past 10 years, ^GSPC returned 13.45%/yr vs 26.54%/yr for NRG. At a 0.45 correlation, their price movements are largely independent.

Performance

^GSPC vs. NRG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Index (^GSPC) and NRG Energy, Inc. (NRG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^GSPC achieves a 8.18% return, which is significantly higher than NRG's -19.30% return. Over the past 10 years, ^GSPC has underperformed NRG with an annualized return of 13.45%, while NRG has yielded a comparatively higher 26.54% annualized return.

^GSPC

• 1D: 0.30%
• 1M: 0.09%
• YTD: 8.18%
• 6M: 8.17%
• 1Y: 23.42%
• 3Y*: 19.88%
• 5Y*: 11.91%
• 10Y*: 13.45%

NRG

• 1D: -1.15%
• 1M: -7.53%
• YTD: -19.30%
• 6M: -21.70%
• 1Y: -17.17%
• 3Y*: 58.56%
• 5Y*: 31.87%
• 10Y*: 26.54%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPC vs. NRG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^GSPC S&P 500 Index	8.18%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%
NRG NRG Energy, Inc.	-19.30%	78.91%	78.58%	69.36%	-23.47%	18.54%	-2.14%	0.69%	39.59%	133.69%

Correlation

The correlation between ^GSPC and NRG is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.47
Correlation (10Y) Calculated over the trailing 10-year period	0.45
Correlation (All Time) Calculated using the full available price history since Dec 3, 2003	0.45

Return for Risk

^GSPC vs. NRG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPC

^GSPC Risk / Return Rank: 68
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 65
^GSPC Omega Ratio Rank: 71
^GSPC Calmar Ratio Rank: 65
^GSPC Martin Ratio Rank: 79

NRG

NRG Risk / Return Rank: 22
NRG Sharpe Ratio Rank: 25
NRG Sortino Ratio Rank: 25
NRG Omega Ratio Rank: 25
NRG Calmar Ratio Rank: 24
NRG Martin Ratio Rank: 11

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPC vs. NRG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and NRG Energy, Inc. (NRG). 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.

	^GSPC	NRG	Difference
Sharpe ratio: Return per unit of total volatility	1.94	-0.39	+2.33
Sortino ratio: Return per unit of downside risk	2.63	-0.27	+2.89
Omega ratio: Gain probability vs. loss probability	1.35	0.97	+0.39
Calmar ratio: Return relative to maximum drawdown	2.59	-0.53	+3.11
Martin ratio: Return relative to average drawdown	11.84	-1.31	+13.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^GSPC vs. NRG - Sharpe Ratio Comparison

The current ^GSPC Sharpe Ratio is 1.94, which is higher than the NRG Sharpe Ratio of -0.39. The chart below compares the historical Sharpe Ratios of ^GSPC and NRG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^GSPC	NRG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	-0.39	+2.33
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	0.80	-0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.68	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.35	+0.12

Drawdowns

^GSPC vs. NRG - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum NRG drawdown of -79.41%. Use the drawdown chart below to compare losses from any high point for ^GSPC and NRG.

Drawdown Indicators

	^GSPC	NRG	Difference
Max Drawdown Largest peak-to-trough decline	-56.78%	-79.41%	+22.63%
Max Drawdown (1Y) Largest decline over 1 year	-9.10%	-32.57%	+23.47%
Max Drawdown (3Y) Largest decline over 3 years	-18.90%	-32.57%	+13.67%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-32.62%	+7.19%
Max Drawdown (10Y) Largest decline over 10 years	-33.92%	-48.76%	+14.84%
Current Drawdown Current decline from peak	-2.68%	-30.39%	+27.71%
Average Drawdown Average peak-to-trough decline	-10.72%	-28.00%	+17.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	13.14%	-11.16%

Volatility

^GSPC vs. NRG - Volatility Comparison

The current volatility for S&P 500 Index (^GSPC) is 3.80%, while NRG Energy, Inc. (NRG) has a volatility of 13.75%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than NRG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^GSPC	NRG	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.80%	13.75%	-9.95%
Volatility (6M) Calculated over the trailing 6-month period	9.41%	34.40%	-24.99%
Volatility (1Y) Calculated over the trailing 1-year period	12.17%	44.45%	-32.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.94%	39.91%	-22.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.09%	39.24%	-21.15%

Frequently Asked Questions

Can I hold both ^GSPC and NRG in my portfolio?

^GSPC and NRG have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^GSPC or NRG?

NRG has higher volatility (13.75%) compared to ^GSPC (3.80%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs NRG's -79.41%.

Which has better risk-adjusted returns?

^GSPC currently has the higher Sharpe Ratio (1.94 vs -0.39), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.