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 26.54%/yr vs 13.45%/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 -19.30% return, which is significantly lower than ^GSPC's 8.18% return. Over the past 10 years, NRG has outperformed ^GSPC with an annualized return of 26.54%, while ^GSPC has yielded a comparatively lower 13.45% annualized return.
NRG
- 1D
- -1.15%
- 1M
- -7.53%
- YTD
- -19.30%
- 6M
- -21.70%
- 1Y
- -17.17%
- 3Y*
- 58.56%
- 5Y*
- 31.87%
- 10Y*
- 26.54%
^GSPC
- 1D
- 0.30%
- 1M
- 0.09%
- YTD
- 8.18%
- 6M
- 8.17%
- 1Y
- 23.42%
- 3Y*
- 19.88%
- 5Y*
- 11.91%
- 10Y*
- 13.45%
NRG vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NRG NRG Energy, Inc. | -19.30% | 78.91% | 78.58% | 69.36% | -23.47% | 18.54% | -2.14% | 0.69% | 39.59% | 133.69% |
^GSPC S&P 500 Index | 8.18% | 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 | 0.45 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 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.
| NRG | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.33 | ||
| Sortino ratioReturn per unit of downside risk | -2.89 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.35 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | -0.53 | 2.59 | -3.11 |
| Martin ratioReturn relative to average drawdown | -1.31 | 11.84 | -13.15 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| NRG | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.39 | 1.94 | -2.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | 0.71 | +0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.68 | 0.75 | -0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.47 | -0.12 |
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 | -32.57% | -9.10% | -23.47% |
Max Drawdown (3Y)Largest decline over 3 years | -32.57% | -18.90% | -13.67% |
Max Drawdown (5Y)Largest decline over 5 years | -32.62% | -25.43% | -7.19% |
Max Drawdown (10Y)Largest decline over 10 years | -48.76% | -33.92% | -14.84% |
Current DrawdownCurrent decline from peak | -30.39% | -2.68% | -27.71% |
Average DrawdownAverage peak-to-trough decline | -28.00% | -10.72% | -17.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.14% | 1.98% | +11.16% |
Volatility
NRG vs. ^GSPC - Volatility Comparison
NRG Energy, Inc. (NRG) has a higher volatility of 13.75% compared to S&P 500 Index (^GSPC) at 3.80%. 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 | 13.75% | 3.80% | +9.95% |
Volatility (6M)Calculated over the trailing 6-month period | 34.40% | 9.41% | +24.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 44.45% | 12.17% | +32.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.91% | 16.94% | +22.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 39.24% | 18.09% | +21.15% |
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 (13.75%) compared to ^GSPC (3.80%). In terms of maximum drawdown, NRG dropped -79.41% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.94 vs -0.39), 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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