NRG vs. ^GSPC
NRG (NRG Energy, Inc.) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, NRG returned 28.42%/yr vs 13.47%/yr for ^GSPC. At a 0.45 correlation, their price movements are largely independent.
Performance
NRG vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, NRG achieves a -5.78% return, which is significantly lower than ^GSPC's 8.69% return. Over the past 10 years, NRG has outperformed ^GSPC with an annualized return of 28.42%, while ^GSPC has yielded a comparatively lower 13.47% annualized return.
NRG
- 1D
- -0.17%
- 1M
- 11.21%
- YTD
- -5.78%
- 6M
- -6.79%
- 1Y
- -7.29%
- 3Y*
- 61.88%
- 5Y*
- 33.48%
- 10Y*
- 28.42%
^GSPC
- 1D
- 1.18%
- 1M
- -1.84%
- YTD
- 8.69%
- 6M
- 7.74%
- 1Y
- 20.53%
- 3Y*
- 18.69%
- 5Y*
- 11.60%
- 10Y*
- 13.47%
NRG vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NRG NRG Energy, Inc. | -5.78% | 78.91% | 78.58% | 69.36% | -23.47% | 18.54% | -2.14% | 0.69% | 39.59% | 133.69% |
^GSPC S&P 500 Index | 8.69% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between NRG and ^GSPC is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.47 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.44 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2003 | 0.45 |
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Return for Risk
NRG vs. ^GSPC — Risk / Return Rank
NRG
^GSPC
NRG vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NRG Energy, Inc. (NRG) and S&P 500 Index (^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.
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.
| NRG | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.81 | ||
| Sortino ratioReturn per unit of downside risk | -2.19 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.30 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 2.27 | -2.48 |
| Martin ratioReturn relative to average drawdown | -0.50 | 9.90 | -10.40 |
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Drawdowns
NRG vs. ^GSPC - Drawdown Comparison
The maximum NRG drawdown since its inception was -79.41%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NRG and ^GSPC.
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Drawdown Indicators
| NRG | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.41% | -56.78% | -22.63% |
Max Drawdown (1Y)Largest decline over 1 year | -34.24% | -9.10% | -25.14% |
Max Drawdown (3Y)Largest decline over 3 years | -34.24% | -18.90% | -15.34% |
Max Drawdown (5Y)Largest decline over 5 years | -34.24% | -25.43% | -8.81% |
Max Drawdown (10Y)Largest decline over 10 years | -48.76% | -33.92% | -14.84% |
Current DrawdownCurrent decline from peak | -18.73% | -2.23% | -16.50% |
Average DrawdownAverage peak-to-trough decline | -27.99% | -10.71% | -17.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 14.56% | 2.08% | +12.48% |
Volatility
NRG vs. ^GSPC - Volatility Comparison
NRG Energy, Inc. (NRG) has a higher volatility of 12.86% compared to S&P 500 Index (^GSPC) at 4.94%. This indicates that NRG's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NRG | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.86% | 4.94% | +7.92% |
Volatility (6M)Calculated over the trailing 6-month period | 34.57% | 9.93% | +24.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 45.19% | 12.55% | +32.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.93% | 17.01% | +22.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 39.08% | 18.06% | +21.02% |
Frequently Asked Questions
NRG and ^GSPC have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NRG has higher volatility (12.86%) compared to ^GSPC (4.94%). In terms of maximum drawdown, NRG dropped -79.41% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.65 vs -0.16), 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.
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