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NGG vs. GSG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NGG and GSG is 0.17, 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.


-0.50.00.51.00.2

Performance

NGG vs. GSG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in National Grid plc (NGG) and iShares S&P GSCI Commodity-Indexed Trust (GSG). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
259.01%
-55.80%
NGG
GSG

Key characteristics

Sharpe Ratio

NGG:

-0.08

GSG:

0.38

Sortino Ratio

NGG:

0.05

GSG:

0.64

Omega Ratio

NGG:

1.01

GSG:

1.07

Calmar Ratio

NGG:

-0.09

GSG:

0.08

Martin Ratio

NGG:

-0.25

GSG:

1.10

Ulcer Index

NGG:

7.39%

GSG:

5.36%

Daily Std Dev

NGG:

23.77%

GSG:

15.54%

Max Drawdown

NGG:

-54.85%

GSG:

-89.62%

Current Drawdown

NGG:

-15.63%

GSG:

-71.50%

Returns By Period

In the year-to-date period, NGG achieves a -2.79% return, which is significantly lower than GSG's 7.23% return. Over the past 10 years, NGG has outperformed GSG with an annualized return of 4.59%, while GSG has yielded a comparatively lower -0.31% annualized return.


NGG

YTD

-2.79%

1M

-6.02%

6M

4.08%

1Y

-3.06%

5Y*

5.24%

10Y*

4.59%

GSG

YTD

7.23%

1M

1.32%

6M

-2.89%

1Y

5.39%

5Y*

6.19%

10Y*

-0.31%

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Risk-Adjusted Performance

NGG vs. GSG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Grid plc (NGG) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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 NGG, currently valued at -0.08, compared to the broader market-4.00-2.000.002.00-0.080.38
The chart of Sortino ratio for NGG, currently valued at 0.05, compared to the broader market-4.00-2.000.002.004.000.050.64
The chart of Omega ratio for NGG, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.07
The chart of Calmar ratio for NGG, currently valued at -0.09, compared to the broader market0.002.004.006.00-0.090.08
The chart of Martin ratio for NGG, currently valued at -0.25, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.251.10
NGG
GSG

The current NGG Sharpe Ratio is -0.08, which is lower than the GSG Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of NGG and GSG, 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 Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.08
0.38
NGG
GSG

Dividends

NGG vs. GSG - Dividend Comparison

NGG's dividend yield for the trailing twelve months is around 12.00%, while GSG has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
NGG
National Grid plc
12.00%5.20%5.13%4.71%5.29%4.90%6.44%24.15%5.07%4.73%7.86%4.82%
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

NGG vs. GSG - Drawdown Comparison

The maximum NGG drawdown since its inception was -54.85%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for NGG and GSG. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.63%
-71.50%
NGG
GSG

Volatility

NGG vs. GSG - Volatility Comparison

National Grid plc (NGG) has a higher volatility of 5.14% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 3.73%. This indicates that NGG's price experiences larger fluctuations and is considered to be riskier than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.14%
3.73%
NGG
GSG
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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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