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NWE vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NWE and SPY is 0.45, 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

NWE vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NorthWestern Corporation (NWE) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
267.91%
452.11%
NWE
SPY

Key characteristics

Sharpe Ratio

NWE:

0.42

SPY:

2.21

Sortino Ratio

NWE:

0.72

SPY:

2.93

Omega Ratio

NWE:

1.09

SPY:

1.41

Calmar Ratio

NWE:

0.27

SPY:

3.26

Martin Ratio

NWE:

1.93

SPY:

14.43

Ulcer Index

NWE:

4.30%

SPY:

1.90%

Daily Std Dev

NWE:

19.62%

SPY:

12.41%

Max Drawdown

NWE:

-39.34%

SPY:

-55.19%

Current Drawdown

NWE:

-17.94%

SPY:

-2.74%

Returns By Period

In the year-to-date period, NWE achieves a 8.73% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, NWE has underperformed SPY with an annualized return of 3.57%, while SPY has yielded a comparatively higher 12.97% annualized return.


NWE

YTD

8.73%

1M

-4.14%

6M

9.74%

1Y

8.52%

5Y*

-1.97%

10Y*

3.57%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

NWE vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NorthWestern Corporation (NWE) and SPDR S&P 500 ETF (SPY). 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 NWE, currently valued at 0.42, compared to the broader market-4.00-2.000.002.000.422.21
The chart of Sortino ratio for NWE, currently valued at 0.72, compared to the broader market-4.00-2.000.002.004.000.722.93
The chart of Omega ratio for NWE, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.41
The chart of Calmar ratio for NWE, currently valued at 0.27, compared to the broader market0.002.004.006.000.273.26
The chart of Martin ratio for NWE, currently valued at 1.93, compared to the broader market-5.000.005.0010.0015.0020.0025.001.9314.43
NWE
SPY

The current NWE Sharpe Ratio is 0.42, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of NWE and SPY, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.42
2.21
NWE
SPY

Dividends

NWE vs. SPY - Dividend Comparison

NWE's dividend yield for the trailing twelve months is around 4.94%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
NWE
NorthWestern Corporation
4.94%5.03%4.25%4.34%4.12%3.24%3.70%3.52%3.52%3.54%2.83%3.51%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

NWE vs. SPY - Drawdown Comparison

The maximum NWE drawdown since its inception was -39.34%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NWE and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.94%
-2.74%
NWE
SPY

Volatility

NWE vs. SPY - Volatility Comparison

NorthWestern Corporation (NWE) has a higher volatility of 8.45% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that NWE's price experiences larger fluctuations and is considered to be riskier than SPY 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%8.00%JulyAugustSeptemberOctoberNovemberDecember
8.45%
3.72%
NWE
SPY
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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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