NOIEX vs. ^SP500TR
Compare and contrast key facts about Northern Income Equity Fund (NOIEX) and S&P 500 Total Return (^SP500TR).
NOIEX is managed by Northern Funds. It was launched on Mar 31, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NOIEX or ^SP500TR.
Performance
NOIEX vs. ^SP500TR - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with NOIEX having a 24.49% return and ^SP500TR slightly higher at 25.07%. Over the past 10 years, NOIEX has underperformed ^SP500TR with an annualized return of 12.25%, while ^SP500TR has yielded a comparatively higher 13.14% annualized return.
NOIEX
24.49%
-0.44%
11.74%
38.41%
15.52%
12.25%
^SP500TR
25.07%
0.60%
11.76%
32.40%
15.52%
13.14%
Key characteristics
| NOIEX | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | 2.99 | 2.66 |
| Sortino Ratio | 4.48 | 3.55 |
| Omega Ratio | 1.61 | 1.49 |
| Calmar Ratio | 5.74 | 3.86 |
| Martin Ratio | 24.24 | 17.38 |
| Ulcer Index | 1.60% | 1.87% |
| Daily Std Dev | 12.97% | 12.27% |
| Max Drawdown | -45.66% | -55.25% |
| Current Drawdown | -1.74% | -1.74% |
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Correlation
The correlation between NOIEX and ^SP500TR is 0.87, 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.
Risk-Adjusted Performance
NOIEX vs. ^SP500TR - Risk-Adjusted Performance 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.
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. For additional features, visit the drawdowns tool.
Volatility
NOIEX vs. ^SP500TR - Volatility Comparison
The current volatility for Northern Income Equity Fund (NOIEX) is 3.35%, while S&P 500 Total Return (^SP500TR) has a volatility of 4.05%. 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.