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

Performance

NWN vs. SPY - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.50%
12.98%
NWN
SPY

Returns By Period

In the year-to-date period, NWN achieves a 13.69% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, NWN has underperformed SPY with an annualized return of 2.71%, while SPY has yielded a comparatively higher 13.07% annualized return.


NWN

YTD

13.69%

1M

5.32%

6M

13.64%

1Y

21.96%

5Y (annualized)

-5.06%

10Y (annualized)

2.71%

SPY

YTD

25.41%

1M

1.18%

6M

12.15%

1Y

32.04%

5Y (annualized)

15.51%

10Y (annualized)

13.07%

Key characteristics


NWNSPY
Sharpe Ratio0.842.62
Sortino Ratio1.283.50
Omega Ratio1.171.49
Calmar Ratio0.443.78
Martin Ratio3.8417.00
Ulcer Index5.35%1.87%
Daily Std Dev24.51%12.14%
Max Drawdown-46.27%-55.19%
Current Drawdown-33.14%-1.38%

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Correlation

-0.50.00.51.00.4

The correlation between NWN and SPY is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

NWN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Northwest Natural Holding Company (NWN) 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 NWN, currently valued at 0.84, compared to the broader market-4.00-2.000.002.004.000.842.62
The chart of Sortino ratio for NWN, currently valued at 1.28, compared to the broader market-4.00-2.000.002.004.001.283.50
The chart of Omega ratio for NWN, currently valued at 1.17, compared to the broader market0.501.001.502.001.171.49
The chart of Calmar ratio for NWN, currently valued at 0.44, compared to the broader market0.002.004.006.000.443.78
The chart of Martin ratio for NWN, currently valued at 3.84, compared to the broader market-10.000.0010.0020.0030.003.8417.00
NWN
SPY

The current NWN Sharpe Ratio is 0.84, which is lower than the SPY Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of NWN 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.84
2.62
NWN
SPY

Dividends

NWN vs. SPY - Dividend Comparison

NWN's dividend yield for the trailing twelve months is around 4.64%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
NWN
Northwest Natural Holding Company
4.64%4.99%4.06%3.94%4.16%2.58%3.13%3.16%3.13%3.68%3.70%4.26%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

NWN vs. SPY - Drawdown Comparison

The maximum NWN drawdown since its inception was -46.27%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NWN and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-33.14%
-1.38%
NWN
SPY

Volatility

NWN vs. SPY - Volatility Comparison

Northwest Natural Holding Company (NWN) has a higher volatility of 6.62% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that NWN'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%JuneJulyAugustSeptemberOctoberNovember
6.62%
4.09%
NWN
SPY