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JWN vs. VIXM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JWN and VIXM is -0.37. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.4

Performance

JWN vs. VIXM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nordstrom, Inc. (JWN) and ProShares VIX Mid-Term Futures ETF (VIXM). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
15.39%
3.88%
JWN
VIXM

Key characteristics

Sharpe Ratio

JWN:

0.84

VIXM:

-0.20

Sortino Ratio

JWN:

1.34

VIXM:

-0.04

Omega Ratio

JWN:

1.18

VIXM:

1.00

Calmar Ratio

JWN:

0.50

VIXM:

-0.08

Martin Ratio

JWN:

4.65

VIXM:

-0.40

Ulcer Index

JWN:

7.66%

VIXM:

19.13%

Daily Std Dev

JWN:

42.65%

VIXM:

38.26%

Max Drawdown

JWN:

-86.56%

VIXM:

-96.23%

Current Drawdown

JWN:

-58.50%

VIXM:

-95.79%

Returns By Period

In the year-to-date period, JWN achieves a 35.20% return, which is significantly higher than VIXM's -8.36% return. Over the past 10 years, JWN has outperformed VIXM with an annualized return of -7.84%, while VIXM has yielded a comparatively lower -13.04% annualized return.


JWN

YTD

35.20%

1M

7.01%

6M

15.39%

1Y

38.43%

5Y*

-7.59%

10Y*

-7.84%

VIXM

YTD

-8.36%

1M

9.25%

6M

6.67%

1Y

-9.55%

5Y*

-6.10%

10Y*

-13.04%

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Risk-Adjusted Performance

JWN vs. VIXM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nordstrom, Inc. (JWN) and ProShares VIX Mid-Term Futures ETF (VIXM). 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.


Sharpe ratio
The chart of Sharpe ratio for JWN, currently valued at 0.84, compared to the broader market-4.00-2.000.002.000.84-0.25
The chart of Sortino ratio for JWN, currently valued at 1.34, compared to the broader market-4.00-2.000.002.004.001.34-0.13
The chart of Omega ratio for JWN, currently valued at 1.18, compared to the broader market0.501.001.502.001.180.98
The chart of Calmar ratio for JWN, currently valued at 0.50, compared to the broader market0.002.004.006.000.50-0.10
The chart of Martin ratio for JWN, currently valued at 4.65, compared to the broader market0.0010.0020.004.65-0.50
JWN
VIXM

The current JWN Sharpe Ratio is 0.84, which is higher than the VIXM Sharpe Ratio of -0.20. The chart below compares the historical Sharpe Ratios of JWN and VIXM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.84
-0.25
JWN
VIXM

Dividends

JWN vs. VIXM - Dividend Comparison

JWN's dividend yield for the trailing twelve months is around 3.16%, while VIXM has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
JWN
Nordstrom, Inc.
3.16%4.12%4.71%0.00%1.19%3.62%3.18%3.12%3.09%12.71%1.66%1.94%
VIXM
ProShares VIX Mid-Term Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JWN vs. VIXM - Drawdown Comparison

The maximum JWN drawdown since its inception was -86.56%, smaller than the maximum VIXM drawdown of -96.23%. Use the drawdown chart below to compare losses from any high point for JWN and VIXM. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%JulyAugustSeptemberOctoberNovemberDecember
-58.50%
-95.79%
JWN
VIXM

Volatility

JWN vs. VIXM - Volatility Comparison

Nordstrom, Inc. (JWN) has a higher volatility of 14.51% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 6.60%. This indicates that JWN's price experiences larger fluctuations and is considered to be riskier than VIXM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
14.51%
6.60%
JWN
VIXM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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