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

Correlation

The correlation between JWN and VOO 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.


-0.50.00.51.00.5

Performance

JWN vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nordstrom, Inc. (JWN) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
15.54%
602.93%
JWN
VOO

Key characteristics

Sharpe Ratio

JWN:

0.96

VOO:

2.25

Sortino Ratio

JWN:

1.48

VOO:

2.98

Omega Ratio

JWN:

1.20

VOO:

1.42

Calmar Ratio

JWN:

0.57

VOO:

3.31

Martin Ratio

JWN:

5.37

VOO:

14.77

Ulcer Index

JWN:

7.66%

VOO:

1.90%

Daily Std Dev

JWN:

42.63%

VOO:

12.46%

Max Drawdown

JWN:

-86.56%

VOO:

-33.99%

Current Drawdown

JWN:

-57.69%

VOO:

-2.47%

Returns By Period

In the year-to-date period, JWN achieves a 37.84% return, which is significantly higher than VOO's 26.02% return. Over the past 10 years, JWN has underperformed VOO with an annualized return of -7.80%, while VOO has yielded a comparatively higher 13.08% annualized return.


JWN

YTD

37.84%

1M

11.16%

6M

17.10%

1Y

37.99%

5Y*

-7.23%

10Y*

-7.80%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

JWN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nordstrom, Inc. (JWN) and Vanguard S&P 500 ETF (VOO). 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 0.96, compared to the broader market-4.00-2.000.002.000.962.25
The chart of Sortino ratio for JWN, currently valued at 1.48, compared to the broader market-4.00-2.000.002.004.001.482.98
The chart of Omega ratio for JWN, currently valued at 1.20, compared to the broader market0.501.001.502.001.201.42
The chart of Calmar ratio for JWN, currently valued at 0.57, compared to the broader market0.002.004.006.000.573.31
The chart of Martin ratio for JWN, currently valued at 5.37, compared to the broader market-5.000.005.0010.0015.0020.0025.005.3714.77
JWN
VOO

The current JWN Sharpe Ratio is 0.96, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of JWN and VOO, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.96
2.25
JWN
VOO

Dividends

JWN vs. VOO - Dividend Comparison

JWN's dividend yield for the trailing twelve months is around 3.10%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
JWN
Nordstrom, Inc.
3.10%4.12%4.71%0.00%1.19%3.62%3.18%3.12%3.09%12.71%1.66%1.94%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

JWN vs. VOO - Drawdown Comparison

The maximum JWN drawdown since its inception was -86.56%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JWN and VOO. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-57.69%
-2.47%
JWN
VOO

Volatility

JWN vs. VOO - Volatility Comparison

Nordstrom, Inc. (JWN) has a higher volatility of 14.40% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that JWN's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
14.40%
3.75%
JWN
VOO
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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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