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

Correlation

The correlation between NMFC and ^GSPC is 0.42, 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.


-0.50.00.51.00.4

Performance

NMFC vs. ^GSPC - Performance Comparison

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

220.00%240.00%260.00%280.00%300.00%320.00%340.00%360.00%JulyAugustSeptemberOctoberNovemberDecember
248.64%
344.83%
NMFC
^GSPC

Key characteristics

Sharpe Ratio

NMFC:

-0.37

^GSPC:

2.10

Sortino Ratio

NMFC:

-0.43

^GSPC:

2.80

Omega Ratio

NMFC:

0.95

^GSPC:

1.39

Calmar Ratio

NMFC:

-0.32

^GSPC:

3.09

Martin Ratio

NMFC:

-1.10

^GSPC:

13.49

Ulcer Index

NMFC:

3.91%

^GSPC:

1.94%

Daily Std Dev

NMFC:

11.73%

^GSPC:

12.52%

Max Drawdown

NMFC:

-64.16%

^GSPC:

-56.78%

Current Drawdown

NMFC:

-6.33%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, NMFC achieves a -3.63% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, NMFC has underperformed ^GSPC with an annualized return of 7.50%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


NMFC

YTD

-3.63%

1M

0.57%

6M

-2.74%

1Y

-4.46%

5Y*

6.25%

10Y*

7.50%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

NMFC vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for New Mountain Finance Corporation (NMFC) 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 NMFC, currently valued at -0.37, compared to the broader market-4.00-2.000.002.00-0.372.10
The chart of Sortino ratio for NMFC, currently valued at -0.43, compared to the broader market-4.00-2.000.002.004.00-0.432.80
The chart of Omega ratio for NMFC, currently valued at 0.95, compared to the broader market0.501.001.502.000.951.39
The chart of Calmar ratio for NMFC, currently valued at -0.32, compared to the broader market0.002.004.006.00-0.323.09
The chart of Martin ratio for NMFC, currently valued at -1.10, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.1013.49
NMFC
^GSPC

The current NMFC Sharpe Ratio is -0.37, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of NMFC 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.37
2.10
NMFC
^GSPC

Drawdowns

NMFC vs. ^GSPC - Drawdown Comparison

The maximum NMFC drawdown since its inception was -64.16%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NMFC and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.33%
-2.62%
NMFC
^GSPC

Volatility

NMFC vs. ^GSPC - Volatility Comparison

New Mountain Finance Corporation (NMFC) and S&P 500 (^GSPC) have volatilities of 3.76% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.76%
3.79%
NMFC
^GSPC
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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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