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NFG vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NFGSPY
YTD Return21.84%21.39%
1Y Return13.97%33.27%
3Y Return (Ann)4.46%8.59%
5Y Return (Ann)9.10%15.03%
10Y Return (Ann)1.64%12.90%
Sharpe Ratio0.982.87
Sortino Ratio1.593.80
Omega Ratio1.181.54
Calmar Ratio0.544.10
Martin Ratio3.7718.62
Ulcer Index5.16%1.85%
Daily Std Dev19.79%12.01%
Max Drawdown-70.97%-55.19%
Current Drawdown-14.00%-2.23%

Correlation

-0.50.00.51.00.4

The correlation between NFG and SPY is 0.45, 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.

Performance

NFG vs. SPY - Performance Comparison

The year-to-date returns for both stocks are quite close, with NFG having a 21.84% return and SPY slightly lower at 21.39%. Over the past 10 years, NFG has underperformed SPY with an annualized return of 1.64%, while SPY has yielded a comparatively higher 12.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.96%
11.34%
NFG
SPY

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Risk-Adjusted Performance

NFG vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Fuel Gas Company (NFG) and SPDR S&P 500 ETF (SPY). 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.


NFG
Sharpe ratio
The chart of Sharpe ratio for NFG, currently valued at 0.83, compared to the broader market-4.00-2.000.002.004.000.83
Sortino ratio
The chart of Sortino ratio for NFG, currently valued at 1.37, compared to the broader market-4.00-2.000.002.004.001.37
Omega ratio
The chart of Omega ratio for NFG, currently valued at 1.16, compared to the broader market0.501.001.502.001.16
Calmar ratio
The chart of Calmar ratio for NFG, currently valued at 0.46, compared to the broader market0.002.004.006.000.46
Martin ratio
The chart of Martin ratio for NFG, currently valued at 3.15, compared to the broader market0.0010.0020.0030.003.15
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.87, compared to the broader market-4.00-2.000.002.004.002.87
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.80, compared to the broader market-4.00-2.000.002.004.003.80
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.54, compared to the broader market0.501.001.502.001.54
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.10, compared to the broader market0.002.004.006.004.10
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0018.62

NFG vs. SPY - Sharpe Ratio Comparison

The current NFG Sharpe Ratio is 0.98, which is lower than the SPY Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of NFG and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.83
2.87
NFG
SPY

Dividends

NFG vs. SPY - Dividend Comparison

NFG's dividend yield for the trailing twelve months is around 3.40%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
NFG
National Fuel Gas Company
3.40%3.91%2.97%2.83%4.30%3.72%3.30%3.00%2.84%3.67%2.20%2.09%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

NFG vs. SPY - Drawdown Comparison

The maximum NFG drawdown since its inception was -70.97%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NFG and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.00%
-2.23%
NFG
SPY

Volatility

NFG vs. SPY - Volatility Comparison

National Fuel Gas Company (NFG) has a higher volatility of 4.47% compared to SPDR S&P 500 ETF (SPY) at 3.14%. This indicates that NFG's price experiences larger fluctuations and is considered to be riskier than SPY 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.47%
3.14%
NFG
SPY