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NEFSX vs. SPGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NEFSX and SPGP is 0.82, 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.


-0.50.00.51.00.8

Performance

NEFSX vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Natixis Funds Trust I U.S. Equity Opportunities Fund (NEFSX) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
82.76%
524.92%
NEFSX
SPGP

Key characteristics

Sharpe Ratio

NEFSX:

1.12

SPGP:

0.55

Sortino Ratio

NEFSX:

1.48

SPGP:

0.84

Omega Ratio

NEFSX:

1.22

SPGP:

1.10

Calmar Ratio

NEFSX:

0.66

SPGP:

0.85

Martin Ratio

NEFSX:

4.96

SPGP:

2.50

Ulcer Index

NEFSX:

3.39%

SPGP:

3.25%

Daily Std Dev

NEFSX:

15.00%

SPGP:

14.86%

Max Drawdown

NEFSX:

-61.82%

SPGP:

-42.08%

Current Drawdown

NEFSX:

-4.72%

SPGP:

-7.45%

Returns By Period

In the year-to-date period, NEFSX achieves a 24.91% return, which is significantly higher than SPGP's 7.30% return. Over the past 10 years, NEFSX has underperformed SPGP with an annualized return of 2.33%, while SPGP has yielded a comparatively higher 13.46% annualized return.


NEFSX

YTD

24.91%

1M

-0.78%

6M

13.71%

1Y

15.92%

5Y*

3.23%

10Y*

2.33%

SPGP

YTD

7.30%

1M

-4.57%

6M

1.47%

1Y

6.89%

5Y*

11.82%

10Y*

13.46%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


NEFSX vs. SPGP - Expense Ratio Comparison

NEFSX has a 1.14% expense ratio, which is higher than SPGP's 0.36% expense ratio.


NEFSX
Natixis Funds Trust I U.S. Equity Opportunities Fund
Expense ratio chart for NEFSX: current value at 1.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.14%
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Risk-Adjusted Performance

NEFSX vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Natixis Funds Trust I U.S. Equity Opportunities Fund (NEFSX) and Invesco S&P 500 GARP ETF (SPGP). 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 NEFSX, currently valued at 1.12, compared to the broader market-1.000.001.002.003.004.001.120.55
The chart of Sortino ratio for NEFSX, currently valued at 1.48, compared to the broader market-2.000.002.004.006.008.0010.001.480.84
The chart of Omega ratio for NEFSX, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.003.501.221.10
The chart of Calmar ratio for NEFSX, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.660.85
The chart of Martin ratio for NEFSX, currently valued at 4.96, compared to the broader market0.0020.0040.0060.004.962.50
NEFSX
SPGP

The current NEFSX Sharpe Ratio is 1.12, which is higher than the SPGP Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of NEFSX and SPGP, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.12
0.55
NEFSX
SPGP

Dividends

NEFSX vs. SPGP - Dividend Comparison

NEFSX's dividend yield for the trailing twelve months is around 0.09%, less than SPGP's 1.00% yield.


TTM20232022202120202019201820172016201520142013
NEFSX
Natixis Funds Trust I U.S. Equity Opportunities Fund
0.09%0.09%0.11%0.00%0.00%0.48%0.16%0.15%0.39%0.00%0.00%0.00%
SPGP
Invesco S&P 500 GARP ETF
1.00%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%

Drawdowns

NEFSX vs. SPGP - Drawdown Comparison

The maximum NEFSX drawdown since its inception was -61.82%, which is greater than SPGP's maximum drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for NEFSX and SPGP. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.72%
-7.45%
NEFSX
SPGP

Volatility

NEFSX vs. SPGP - Volatility Comparison

Natixis Funds Trust I U.S. Equity Opportunities Fund (NEFSX) and Invesco S&P 500 GARP ETF (SPGP) have volatilities of 4.07% and 4.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.07%
4.05%
NEFSX
SPGP
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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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