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NBSRX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

NBSRX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Neuberger Berman Sustainable Equity Fund (NBSRX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.45%
12.53%
NBSRX
^GSPC

Returns By Period

In the year-to-date period, NBSRX achieves a 26.92% return, which is significantly higher than ^GSPC's 25.15% return. Over the past 10 years, NBSRX has underperformed ^GSPC with an annualized return of 5.61%, while ^GSPC has yielded a comparatively higher 11.18% annualized return.


NBSRX

YTD

26.92%

1M

4.63%

6M

11.45%

1Y

35.46%

5Y (annualized)

10.15%

10Y (annualized)

5.61%

^GSPC

YTD

25.15%

1M

2.74%

6M

12.53%

1Y

30.93%

5Y (annualized)

13.79%

10Y (annualized)

11.18%

Key characteristics


NBSRX^GSPC
Sharpe Ratio1.892.53
Sortino Ratio2.743.39
Omega Ratio1.511.47
Calmar Ratio2.533.65
Martin Ratio20.7116.21
Ulcer Index1.71%1.91%
Daily Std Dev18.79%12.23%
Max Drawdown-53.14%-56.78%
Current Drawdown-0.85%-0.53%

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Correlation

-0.50.00.51.00.9

The correlation between NBSRX and ^GSPC is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

NBSRX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Neuberger Berman Sustainable Equity Fund (NBSRX) 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.


Sharpe ratio
The chart of Sharpe ratio for NBSRX, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.892.53
The chart of Sortino ratio for NBSRX, currently valued at 2.74, compared to the broader market0.005.0010.002.743.39
The chart of Omega ratio for NBSRX, currently valued at 1.51, compared to the broader market1.002.003.004.001.511.47
The chart of Calmar ratio for NBSRX, currently valued at 2.53, compared to the broader market0.005.0010.0015.0020.002.533.65
The chart of Martin ratio for NBSRX, currently valued at 20.71, compared to the broader market0.0020.0040.0060.0080.00100.0020.7116.21
NBSRX
^GSPC

The current NBSRX Sharpe Ratio is 1.89, which is comparable to the ^GSPC Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of NBSRX 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.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.89
2.53
NBSRX
^GSPC

Drawdowns

NBSRX vs. ^GSPC - Drawdown Comparison

The maximum NBSRX drawdown since its inception was -53.14%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NBSRX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.85%
-0.53%
NBSRX
^GSPC

Volatility

NBSRX vs. ^GSPC - Volatility Comparison

Neuberger Berman Sustainable Equity Fund (NBSRX) has a higher volatility of 4.45% compared to S&P 500 (^GSPC) at 3.97%. This indicates that NBSRX'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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.45%
3.97%
NBSRX
^GSPC