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

Key characteristics


NGGXLU
YTD Return5.36%24.74%
1Y Return17.45%28.91%
3Y Return (Ann)7.74%8.07%
5Y Return (Ann)9.27%7.59%
10Y Return (Ann)5.28%8.79%
Sharpe Ratio0.761.86
Sortino Ratio1.032.62
Omega Ratio1.171.33
Calmar Ratio0.871.43
Martin Ratio2.949.33
Ulcer Index6.15%3.18%
Daily Std Dev23.99%15.94%
Max Drawdown-54.85%-52.27%
Current Drawdown-8.56%-6.09%

Correlation

-0.50.00.51.00.4

The correlation between NGG and XLU is 0.41, 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

NGG vs. XLU - Performance Comparison

In the year-to-date period, NGG achieves a 5.36% return, which is significantly lower than XLU's 24.74% return. Over the past 10 years, NGG has underperformed XLU with an annualized return of 5.28%, while XLU has yielded a comparatively higher 8.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
4.35%
13.95%
NGG
XLU

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Risk-Adjusted Performance

NGG vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Grid plc (NGG) 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.


NGG
Sharpe ratio
The chart of Sharpe ratio for NGG, currently valued at 0.76, compared to the broader market-4.00-2.000.002.000.76
Sortino ratio
The chart of Sortino ratio for NGG, currently valued at 1.03, compared to the broader market-4.00-2.000.002.004.001.03
Omega ratio
The chart of Omega ratio for NGG, currently valued at 1.17, compared to the broader market0.501.001.502.001.17
Calmar ratio
The chart of Calmar ratio for NGG, currently valued at 0.87, compared to the broader market0.002.004.006.000.87
Martin ratio
The chart of Martin ratio for NGG, currently valued at 2.94, compared to the broader market-10.000.0010.0020.0030.002.94
XLU
Sharpe ratio
The chart of Sharpe ratio for XLU, currently valued at 1.86, compared to the broader market-4.00-2.000.002.001.86
Sortino ratio
The chart of Sortino ratio for XLU, currently valued at 2.62, compared to the broader market-4.00-2.000.002.004.002.62
Omega ratio
The chart of Omega ratio for XLU, currently valued at 1.33, compared to the broader market0.501.001.502.001.33
Calmar ratio
The chart of Calmar ratio for XLU, currently valued at 1.43, compared to the broader market0.002.004.006.001.43
Martin ratio
The chart of Martin ratio for XLU, currently valued at 9.33, compared to the broader market-10.000.0010.0020.0030.009.33

NGG vs. XLU - Sharpe Ratio Comparison

The current NGG Sharpe Ratio is 0.76, which is lower than the XLU Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of NGG 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.76
1.86
NGG
XLU

Dividends

NGG vs. XLU - Dividend Comparison

NGG's dividend yield for the trailing twelve months is around 11.16%, more than XLU's 2.86% yield.


TTM20232022202120202019201820172016201520142013
NGG
National Grid plc
11.16%5.20%5.18%4.75%5.32%4.94%6.44%24.15%5.07%4.73%7.86%4.82%
XLU
Utilities Select Sector SPDR Fund
2.86%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%

Drawdowns

NGG vs. XLU - Drawdown Comparison

The maximum NGG drawdown since its inception was -54.85%, roughly equal to the maximum XLU drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for NGG and XLU. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.56%
-6.09%
NGG
XLU

Volatility

NGG vs. XLU - Volatility Comparison

The current volatility for National Grid plc (NGG) is 5.10%, while Utilities Select Sector SPDR Fund (XLU) has a volatility of 5.54%. This indicates that NGG experiences smaller price fluctuations and is considered to be less risky than XLU 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
5.10%
5.54%
NGG
XLU