PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NFG vs. XLU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

NFG vs. XLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in National Fuel Gas Company (NFG) and Utilities Select Sector SPDR Fund (XLU). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.00%
13.38%
NFG
XLU

Returns By Period

In the year-to-date period, NFG achieves a 27.03% return, which is significantly lower than XLU's 29.99% return. Over the past 10 years, NFG has underperformed XLU with an annualized return of 2.15%, while XLU has yielded a comparatively higher 9.37% annualized return.


NFG

YTD

27.03%

1M

-1.63%

6M

11.88%

1Y

26.95%

5Y (annualized)

10.54%

10Y (annualized)

2.15%

XLU

YTD

29.99%

1M

-1.83%

6M

12.05%

1Y

33.81%

5Y (annualized)

8.44%

10Y (annualized)

9.37%

Key characteristics


NFGXLU
Sharpe Ratio1.262.14
Sortino Ratio1.922.92
Omega Ratio1.241.37
Calmar Ratio0.721.71
Martin Ratio8.4010.18
Ulcer Index3.07%3.28%
Daily Std Dev20.39%15.60%
Max Drawdown-70.97%-52.27%
Current Drawdown-10.35%-2.14%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.5

The correlation between NFG and XLU is 0.50, 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.

Risk-Adjusted Performance

NFG vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Fuel Gas Company (NFG) and Utilities Select Sector SPDR Fund (XLU). 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 NFG, currently valued at 1.26, compared to the broader market-4.00-2.000.002.004.001.262.14
The chart of Sortino ratio for NFG, currently valued at 1.92, compared to the broader market-4.00-2.000.002.004.001.922.92
The chart of Omega ratio for NFG, currently valued at 1.24, compared to the broader market0.501.001.502.001.241.37
The chart of Calmar ratio for NFG, currently valued at 0.72, compared to the broader market0.002.004.006.000.721.71
The chart of Martin ratio for NFG, currently valued at 8.40, compared to the broader market-10.000.0010.0020.0030.008.4010.18
NFG
XLU

The current NFG Sharpe Ratio is 1.26, which is lower than the XLU Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of NFG and XLU, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.26
2.14
NFG
XLU

Dividends

NFG vs. XLU - Dividend Comparison

NFG's dividend yield for the trailing twelve months is around 3.26%, more than XLU's 2.75% yield.


TTM20232022202120202019201820172016201520142013
NFG
National Fuel Gas Company
3.26%3.91%2.97%2.83%4.30%3.72%3.30%3.00%2.84%3.67%2.20%2.09%
XLU
Utilities Select Sector SPDR Fund
2.75%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.42%3.67%3.19%3.86%

Drawdowns

NFG vs. XLU - Drawdown Comparison

The maximum NFG drawdown since its inception was -70.97%, which is greater than XLU's maximum drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for NFG and XLU. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.35%
-2.14%
NFG
XLU

Volatility

NFG vs. XLU - Volatility Comparison

National Fuel Gas Company (NFG) has a higher volatility of 8.52% compared to Utilities Select Sector SPDR Fund (XLU) at 5.46%. This indicates that NFG's price experiences larger fluctuations and is considered to be riskier than XLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
8.52%
5.46%
NFG
XLU