^XNG vs. ^GSPC

In the year-to-date period, ^XNG achieves a 7.16% return, which is significantly higher than ^GSPC's 6.43% return. Over the past 10 years, ^XNG has underperformed ^GSPC with an annualized return of 0.34%, while ^GSPC has yielded a comparatively higher 11.49% annualized return.

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This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Natural Gas Index (^XNG) and S&P 500 (^GSPC). 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.

The current ^XNG Sharpe Ratio is 0.79, which is comparable to the ^GSPC Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ^XNG and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

The correlation between ^XNG and ^GSPC is 0.52, 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.

The maximum ^XNG drawdown since its inception was -84.52%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^XNG and ^GSPC.

NYSE Arca Natural Gas Index (^XNG) has a higher volatility of 3.51% compared to S&P 500 (^GSPC) at 2.89%. This indicates that ^XNG's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.