NE vs. ^GSPC
Compare and contrast key facts about Noble Corporation (NE) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NE or ^GSPC.
Key characteristics
| NE | ^GSPC | |
|---|---|---|
| YTD Return | -24.70% | 25.45% |
| 1Y Return | -23.37% | 35.64% |
| 3Y Return (Ann) | 11.15% | 8.55% |
| Sharpe Ratio | -0.64 | 2.90 |
| Sortino Ratio | -0.79 | 3.87 |
| Omega Ratio | 0.91 | 1.54 |
| Calmar Ratio | -0.56 | 4.19 |
| Martin Ratio | -1.28 | 18.72 |
| Ulcer Index | 17.46% | 1.90% |
| Daily Std Dev | 34.75% | 12.27% |
| Max Drawdown | -40.01% | -56.78% |
| Current Drawdown | -32.35% | -0.29% |
Correlation
The correlation between NE and ^GSPC is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
NE vs. ^GSPC - Performance Comparison
In the year-to-date period, NE achieves a -24.70% return, which is significantly lower than ^GSPC's 25.45% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
NE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Noble Corporation (NE) 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.
Drawdowns
NE vs. ^GSPC - Drawdown Comparison
The maximum NE drawdown since its inception was -40.01%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
NE vs. ^GSPC - Volatility Comparison
Noble Corporation (NE) has a higher volatility of 14.87% compared to S&P 500 (^GSPC) at 3.86%. This indicates that NE'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.