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

Correlation

The correlation between JWN and VIXM is 0.47, 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.


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.

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Key characteristics

Sharpe Ratio

JWN:

0.58

VIXM:

0.27

Sortino Ratio

JWN:

1.35

VIXM:

0.76

Omega Ratio

JWN:

1.19

VIXM:

1.10

Calmar Ratio

JWN:

0.36

VIXM:

0.12

Martin Ratio

JWN:

4.57

VIXM:

0.55

Ulcer Index

JWN:

5.13%

VIXM:

21.02%

Daily Std Dev

JWN:

28.73%

VIXM:

46.28%

Max Drawdown

JWN:

-86.56%

VIXM:

-96.23%

Current Drawdown

JWN:

-57.27%

VIXM:

-95.58%

Returns By Period

In the year-to-date period, JWN achieves a 2.58% return, which is significantly lower than VIXM's 11.41% return. Over the past 10 years, JWN has outperformed VIXM with an annualized return of -7.29%, while VIXM has yielded a comparatively lower -11.75% annualized return.


JWN

YTD

2.58%

1M

2.25%

6M

8.32%

1Y

16.56%

5Y*

11.29%

10Y*

-7.29%

VIXM

YTD

11.41%

1M

-11.73%

6M

14.83%

1Y

12.50%

5Y*

-17.08%

10Y*

-11.75%

*Annualized

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Risk-Adjusted Performance

JWN vs. VIXM — Risk-Adjusted Performance Rank

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

JWN
The Risk-Adjusted Performance Rank of JWN is 7575
Overall Rank
The Sharpe Ratio Rank of JWN is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of JWN is 7474
Sortino Ratio Rank
The Omega Ratio Rank of JWN is 7575
Omega Ratio Rank
The Calmar Ratio Rank of JWN is 6868
Calmar Ratio Rank
The Martin Ratio Rank of JWN is 8585
Martin Ratio Rank

VIXM
The Risk-Adjusted Performance Rank of VIXM is 3232
Overall Rank
The Sharpe Ratio Rank of VIXM is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of VIXM is 4343
Sortino Ratio Rank
The Omega Ratio Rank of VIXM is 4343
Omega Ratio Rank
The Calmar Ratio Rank of VIXM is 2222
Calmar Ratio Rank
The Martin Ratio Rank of VIXM is 2424
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current JWN Sharpe Ratio is 0.58, which is higher than the VIXM Sharpe Ratio of 0.27. 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.


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Dividends

JWN vs. VIXM - Dividend Comparison

JWN's dividend yield for the trailing twelve months is around 3.09%, while VIXM has not paid dividends to shareholders.


TTM20242023202220212020201920182017201620152014
JWN
Nordstrom, Inc.
3.09%3.15%4.12%4.71%0.00%1.19%3.62%3.18%3.12%3.09%12.71%1.66%
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.


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Volatility

JWN vs. VIXM - Volatility Comparison

The current volatility for Nordstrom, Inc. (JWN) is 2.03%, while ProShares VIX Mid-Term Futures ETF (VIXM) has a volatility of 11.11%. This indicates that JWN experiences smaller price fluctuations and is considered to be less risky than VIXM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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