NOIEX vs. ^SP500TR
NOIEX (Northern Income Equity Fund) is Large Cap Value Equities fund managed by Northern Funds, while ^SP500TR (S&P 500 Total Return) is an index. Over the past 10 years, NOIEX returned 13.92%/yr vs 15.64%/yr for ^SP500TR. Their correlation of 0.88 suggests significant overlap in exposure.
Performance
NOIEX vs. ^SP500TR - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, NOIEX achieves a 10.55% return, which is significantly higher than ^SP500TR's 8.22% return. Over the past 10 years, NOIEX has underperformed ^SP500TR with an annualized return of 13.92%, while ^SP500TR has yielded a comparatively higher 15.64% annualized return.
NOIEX
- 1D
- -0.40%
- 1M
- -0.67%
- YTD
- 10.55%
- 6M
- 9.65%
- 1Y
- 26.75%
- 3Y*
- 21.63%
- 5Y*
- 13.80%
- 10Y*
- 13.92%
^SP500TR
- 1D
- -1.44%
- 1M
- -1.34%
- YTD
- 8.22%
- 6M
- 7.24%
- 1Y
- 23.73%
- 3Y*
- 20.82%
- 5Y*
- 13.16%
- 10Y*
- 15.64%
NOIEX vs. ^SP500TR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NOIEX Northern Income Equity Fund | 10.55% | 18.81% | 24.28% | 19.56% | -13.34% | 27.96% | 11.03% | 27.04% | -6.62% | 20.22% |
^SP500TR S&P 500 Total Return | 8.22% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% |
Correlation
The correlation between NOIEX and ^SP500TR is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 1994 | 0.88 |
The correlation between NOIEX and ^SP500TR shifts across timeframes, from 0.84 (1 year) to 0.95 (10 years), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
NOIEX vs. ^SP500TR — Risk / Return Rank
NOIEX
^SP500TR
NOIEX vs. ^SP500TR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Northern Income Equity Fund (NOIEX) and S&P 500 Total Return (^SP500TR). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NOIEX | ^SP500TR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.38 | ||
| Sortino ratioReturn per unit of downside risk | +0.56 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.34 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.33 | 2.68 | +0.65 |
| Martin ratioReturn relative to average drawdown | 14.64 | 12.05 | +2.60 |
Loading charts...
Drawdowns
NOIEX vs. ^SP500TR - Drawdown Comparison
The maximum NOIEX drawdown since its inception was -45.66%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for NOIEX and ^SP500TR.
Loading charts...
Drawdown Indicators
| NOIEX | ^SP500TR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.66% | -55.25% | +9.59% |
Max Drawdown (1Y)Largest decline over 1 year | -8.39% | -8.89% | +0.50% |
Max Drawdown (3Y)Largest decline over 3 years | -18.06% | -18.75% | +0.69% |
Max Drawdown (5Y)Largest decline over 5 years | -21.89% | -24.49% | +2.60% |
Max Drawdown (10Y)Largest decline over 10 years | -35.31% | -33.79% | -1.52% |
Current DrawdownCurrent decline from peak | -1.99% | -3.13% | +1.14% |
Average DrawdownAverage peak-to-trough decline | -4.98% | -8.16% | +3.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.89% | 1.97% | -0.08% |
Volatility
NOIEX vs. ^SP500TR - Volatility Comparison
The current volatility for Northern Income Equity Fund (NOIEX) is 4.28%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.90%. This indicates that NOIEX experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| NOIEX | ^SP500TR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.28% | 4.90% | -0.62% |
Volatility (6M)Calculated over the trailing 6-month period | 9.48% | 9.93% | -0.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.25% | 12.57% | -0.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.42% | 17.00% | -0.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.00% | 18.08% | -0.08% |
Frequently Asked Questions
NOIEX and ^SP500TR have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SP500TR has higher volatility (4.90%) compared to NOIEX (4.28%). In terms of maximum drawdown, NOIEX dropped -45.66% vs ^SP500TR's -55.25%.
NOIEX currently has the higher Sharpe Ratio (2.28 vs 1.90), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
Find the right allocation for NOIEX and ^SP500TR
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer