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

Performance

NEM vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Newmont Goldcorp Corporation (NEM) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
4.32%
12.14%
NEM
^GSPC

Returns By Period

In the year-to-date period, NEM achieves a 6.64% return, which is significantly lower than ^GSPC's 24.72% return. Both investments have delivered pretty close results over the past 10 years, with NEM having a 10.99% annualized return and ^GSPC not far ahead at 11.16%.


NEM

YTD

6.64%

1M

-26.18%

6M

6.21%

1Y

18.27%

5Y (annualized)

5.88%

10Y (annualized)

10.99%

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


NEM^GSPC
Sharpe Ratio0.512.54
Sortino Ratio0.923.40
Omega Ratio1.131.47
Calmar Ratio0.313.66
Martin Ratio1.5416.26
Ulcer Index12.41%1.91%
Daily Std Dev37.26%12.23%
Max Drawdown-77.75%-56.78%
Current Drawdown-44.43%-0.88%

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Correlation

-0.50.00.51.00.1

The correlation between NEM and ^GSPC is 0.14, 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.

Risk-Adjusted Performance

NEM vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Newmont Goldcorp Corporation (NEM) 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 NEM, currently valued at 0.51, compared to the broader market-4.00-2.000.002.004.000.512.54
The chart of Sortino ratio for NEM, currently valued at 0.92, compared to the broader market-4.00-2.000.002.004.000.923.40
The chart of Omega ratio for NEM, currently valued at 1.13, compared to the broader market0.501.001.502.001.131.47
The chart of Calmar ratio for NEM, currently valued at 0.31, compared to the broader market0.002.004.006.000.313.66
The chart of Martin ratio for NEM, currently valued at 1.54, compared to the broader market0.0010.0020.0030.001.5416.26
NEM
^GSPC

The current NEM Sharpe Ratio is 0.51, which is lower than the ^GSPC Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of NEM 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.51
2.54
NEM
^GSPC

Drawdowns

NEM vs. ^GSPC - Drawdown Comparison

The maximum NEM drawdown since its inception was -77.75%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NEM and ^GSPC. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-44.43%
-0.88%
NEM
^GSPC

Volatility

NEM vs. ^GSPC - Volatility Comparison

Newmont Goldcorp Corporation (NEM) has a higher volatility of 17.98% compared to S&P 500 (^GSPC) at 3.96%. This indicates that NEM'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.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
17.98%
3.96%
NEM
^GSPC