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NOC vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NOC and VTI is 0.46, 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.


-0.50.00.51.00.5

Performance

NOC vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northrop Grumman Corporation (NOC) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%2,000.00%JulyAugustSeptemberOctoberNovemberDecember
1,795.77%
669.65%
NOC
VTI

Key characteristics

Sharpe Ratio

NOC:

0.12

VTI:

1.92

Sortino Ratio

NOC:

0.30

VTI:

2.56

Omega Ratio

NOC:

1.04

VTI:

1.35

Calmar Ratio

NOC:

0.11

VTI:

2.88

Martin Ratio

NOC:

0.35

VTI:

12.48

Ulcer Index

NOC:

6.12%

VTI:

1.98%

Daily Std Dev

NOC:

17.93%

VTI:

12.86%

Max Drawdown

NOC:

-69.38%

VTI:

-55.45%

Current Drawdown

NOC:

-13.65%

VTI:

-3.99%

Returns By Period

In the year-to-date period, NOC achieves a 1.58% return, which is significantly lower than VTI's 23.66% return. Over the past 10 years, NOC has outperformed VTI with an annualized return of 13.91%, while VTI has yielded a comparatively lower 12.48% annualized return.


NOC

YTD

1.58%

1M

-3.90%

6M

10.72%

1Y

2.45%

5Y*

8.00%

10Y*

13.91%

VTI

YTD

23.66%

1M

-0.38%

6M

8.51%

1Y

23.75%

5Y*

13.89%

10Y*

12.48%

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Risk-Adjusted Performance

NOC vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Northrop Grumman Corporation (NOC) and Vanguard Total Stock Market ETF (VTI). 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 NOC, currently valued at 0.12, compared to the broader market-4.00-2.000.002.000.121.92
The chart of Sortino ratio for NOC, currently valued at 0.30, compared to the broader market-4.00-2.000.002.004.000.302.56
The chart of Omega ratio for NOC, currently valued at 1.04, compared to the broader market0.501.001.502.001.041.35
The chart of Calmar ratio for NOC, currently valued at 0.10, compared to the broader market0.002.004.006.000.112.88
The chart of Martin ratio for NOC, currently valued at 0.35, compared to the broader market0.0010.0020.000.3512.48
NOC
VTI

The current NOC Sharpe Ratio is 0.12, which is lower than the VTI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of NOC and VTI, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.12
1.92
NOC
VTI

Dividends

NOC vs. VTI - Dividend Comparison

NOC's dividend yield for the trailing twelve months is around 1.72%, more than VTI's 1.29% yield.


TTM20232022202120202019201820172016201520142013
NOC
Northrop Grumman Corporation
1.72%1.57%1.24%1.59%1.86%1.50%1.92%1.27%1.50%1.64%1.84%2.08%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

NOC vs. VTI - Drawdown Comparison

The maximum NOC drawdown since its inception was -69.38%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for NOC and VTI. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.65%
-3.99%
NOC
VTI

Volatility

NOC vs. VTI - Volatility Comparison

Northrop Grumman Corporation (NOC) has a higher volatility of 4.81% compared to Vanguard Total Stock Market ETF (VTI) at 3.85%. This indicates that NOC's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. 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
4.81%
3.85%
NOC
VTI
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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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