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NOBOX vs. FXNAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NOBOX and FXNAX is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

NOBOX vs. FXNAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern Bond Index Fund (NOBOX) and Fidelity U.S. Bond Index Fund (FXNAX). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
0.25%
0.91%
NOBOX
FXNAX

Key characteristics

Sharpe Ratio

NOBOX:

0.13

FXNAX:

0.21

Sortino Ratio

NOBOX:

0.21

FXNAX:

0.32

Omega Ratio

NOBOX:

1.03

FXNAX:

1.04

Calmar Ratio

NOBOX:

0.05

FXNAX:

0.08

Martin Ratio

NOBOX:

0.34

FXNAX:

0.56

Ulcer Index

NOBOX:

2.07%

FXNAX:

2.00%

Daily Std Dev

NOBOX:

5.55%

FXNAX:

5.44%

Max Drawdown

NOBOX:

-19.74%

FXNAX:

-19.64%

Current Drawdown

NOBOX:

-11.04%

FXNAX:

-10.53%

Returns By Period

In the year-to-date period, NOBOX achieves a 0.27% return, which is significantly lower than FXNAX's 1.11% return. Over the past 10 years, NOBOX has underperformed FXNAX with an annualized return of 1.05%, while FXNAX has yielded a comparatively higher 1.20% annualized return.


NOBOX

YTD

0.27%

1M

-0.88%

6M

0.25%

1Y

0.71%

5Y*

-0.81%

10Y*

1.05%

FXNAX

YTD

1.11%

1M

-0.50%

6M

0.91%

1Y

1.41%

5Y*

-0.63%

10Y*

1.20%

Compare stocks, funds, or ETFs

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


NOBOX vs. FXNAX - Expense Ratio Comparison

NOBOX has a 0.07% expense ratio, which is higher than FXNAX's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


NOBOX
Northern Bond Index Fund
Expense ratio chart for NOBOX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for FXNAX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

NOBOX vs. FXNAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern Bond Index Fund (NOBOX) and Fidelity U.S. Bond Index Fund (FXNAX). 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 NOBOX, currently valued at 0.05, compared to the broader market-1.000.001.002.003.004.000.050.21
The chart of Sortino ratio for NOBOX, currently valued at 0.10, compared to the broader market-2.000.002.004.006.008.0010.000.100.32
The chart of Omega ratio for NOBOX, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.003.501.011.04
The chart of Calmar ratio for NOBOX, currently valued at 0.02, compared to the broader market0.002.004.006.008.0010.0012.0014.000.020.08
The chart of Martin ratio for NOBOX, currently valued at 0.14, compared to the broader market0.0020.0040.0060.000.140.56
NOBOX
FXNAX

The current NOBOX Sharpe Ratio is 0.13, which is lower than the FXNAX Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of NOBOX and FXNAX, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.05
0.21
NOBOX
FXNAX

Dividends

NOBOX vs. FXNAX - Dividend Comparison

NOBOX's dividend yield for the trailing twelve months is around 3.15%, less than FXNAX's 3.37% yield.


TTM20232022202120202019201820172016201520142013
NOBOX
Northern Bond Index Fund
3.15%3.20%2.76%2.10%2.35%2.83%2.82%2.77%2.74%2.69%4.19%4.34%
FXNAX
Fidelity U.S. Bond Index Fund
3.37%2.92%2.41%1.81%2.10%2.69%2.74%2.52%2.52%2.69%2.59%2.39%

Drawdowns

NOBOX vs. FXNAX - Drawdown Comparison

The maximum NOBOX drawdown since its inception was -19.74%, roughly equal to the maximum FXNAX drawdown of -19.64%. Use the drawdown chart below to compare losses from any high point for NOBOX and FXNAX. For additional features, visit the drawdowns tool.


-13.00%-12.00%-11.00%-10.00%-9.00%-8.00%-7.00%JulyAugustSeptemberOctoberNovemberDecember
-11.04%
-10.53%
NOBOX
FXNAX

Volatility

NOBOX vs. FXNAX - Volatility Comparison

The current volatility for Northern Bond Index Fund (NOBOX) is 1.12%, while Fidelity U.S. Bond Index Fund (FXNAX) has a volatility of 1.25%. This indicates that NOBOX experiences smaller price fluctuations and is considered to be less risky than FXNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%JulyAugustSeptemberOctoberNovemberDecember
1.12%
1.25%
NOBOX
FXNAX
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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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