^XNG vs. SPY

The year-to-date returns for both stocks are quite close, with ^XNG having a 7.16% return and SPY slightly lower at 7.04%. Over the past 10 years, ^XNG has underperformed SPY with an annualized return of 0.34%, while SPY has yielded a comparatively higher 13.38% annualized return.

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This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Natural Gas Index (^XNG) and SPDR S&P 500 ETF (SPY). 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 SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of ^XNG and SPY, 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 SPY 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 SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^XNG and SPY.

NYSE Arca Natural Gas Index (^XNG) has a higher volatility of 3.51% compared to SPDR S&P 500 ETF (SPY) at 2.85%. This indicates that ^XNG's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.