Norfolk Southern Corporation (NSC)

New York Stock Exchange
USD
US6558441084
2 June 1982  –  27 March 2024

Performance

Annualized Return
13.09%
Sharpe Ratio
0.56
Maximum Drawdown
-67.74%

Metrics

Metric Norfolk Southern Corporation
Initial Balance $10,000
Final Balance $1,718,757
Returns   [View more details]
Month-To-Date -0.66%
Year-To-Date 7.1%
3M 8.14%
6M 25.68%
Annual Return (3Y) -0.63%
Annual Return (5Y) 8.33%
Annual Return (All) 13.09%
Risk   [View more details]
Annual Volatility 29.52%
Max Drawdown -67.74%
Sharpe Ratio 0.56
Sortino Ratio 0.83
Adjusted Sortino (S/√2) 0.59

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on June 1982.
  • Final balance: The amount of capital we've accrued over time as of March 2024.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 42 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Norfolk Southern Corporation 27.24% -0.63% 8.33% 12.55% 15.44% 13.09%

Annual Returns

Year Norfolk Southern Corporation
1982 31.32%
1983 21.13%
1984 -1.65%
1985 45.77%
1986 8.33%
1987 -2.89%
1988 24.94%
1989 34.22%
1990 7.24%
1991 46.96%
1992 6.31%
1993 18.52%
1994 -11.45%
1995 34.9%
1996 13.89%
1997 6.61%
1998 6.58%
1999 -33.45%
2000 -31.83%
2001 39.56%
2002 10.41%
2003 20.12%
2004 55.13%
2005 25.53%
2006 13.74%
2007 2.2%
2008 -4.83%
2009 15.2%
2010 22.84%
2011 18.76%
2012 -12.75%
2013 54.16%
2014 20.75%
2015 -20.35%
2016 31.48%
2017 36.85%
2018 5.22%
2019 32.39%
2020 24.76%
2021 27.26%
2022 -15.59%
2023 -1.63%
2024 7.1%

Norfolk Southern Corporation had 33 positive years and 10 negative years. That's a positive ratio of 77%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1982 - - - - - 6.1% -0.3% 21.4% 2.3% 2.4% 5.6% -7.6% 31.3%
1983 -3.1% 3.1% 5.1% -2.6% 4.7% 0.7% -0.9% 11.9% 4.8% -6.6% 3.7% -0.2% 21.1%
1984 0.3% -9.8% 4.7% -3.7% -8.7% -0.2% -2.4% 15.1% 0.9% 2.8% -2.4% 4.2% -1.7%
1985 10.6% 2% -1% -1.6% 9.6% -0.4% 2.5% -1.3% -0.6% 6.8% 4.2% 8.5% 45.8%
1986 1.9% 7.8% 11.3% -12.4% -1.9% 5.2% -9.7% 4% -3.2% 4.3% 3.6% -0.2% 8.3%
1987 9.2% 4.4% -2% -5% 1% 11.4% 8.3% 3.7% -6.1% -31.5% -0.9% 13.5% -2.9%
1988 6.7% 7% -8% 0.5% -1.2% 8.9% -2.6% -1.5% 6.3% 5% -0% 2.9% 24.9%
1989 9% -0.4% -3% 6.5% 4.9% -3.8% 7.9% 8.1% -5.3% -2.6% 2.7% 7.3% 34.2%
1990 -8.7% 2.7% 5.3% -4.1% 9.6% 3.9% 2.7% -8.6% -8.2% -0.3% 9.3% 5.7% 7.2%
1991 10.6% -3.8% 1.4% 5.4% 3.5% -5.4% 7.2% 3.9% 8.4% 15.4% -11.2% 6.7% 47%
1992 -4.4% 8.4% -2.3% 6.7% 2.1% -1.4% -7.3% -5.4% 1.8% 8.2% 3.2% -2% 6.3%
1993 3.1% 2.5% -1.6% -3% 1.8% 5% -0.8% 8.9% -2.3% -2.9% 3% 4.1% 18.5%
1994 5.1% -6.3% -6.3% -1.2% 0.4% -1% 0% 3% -3.3% 2% -4% 0.2% -11.5%
1995 3.1% 6.7% 1.1% 0.8% 2.5% -1.6% 8% -2.1% 5.7% 3.3% 2.6% 0.8% 34.9%
1996 0.1% 3.3% 4.5% -1.3% 3.4% -1.7% -3.9% 3.1% 9.6% -1.9% 1% -2.2% 13.9%
1997 0.7% 3.5% -6.5% 6.1% 8.1% 3.7% 10.5% -11.5% 5.4% -6.7% -0.4% -4.1% 6.6%
1998 3.5% 9.8% 8.5% -10% -6% -5.2% 0.2% -5% 3.1% 13.3% -7.2% 4.3% 6.6%
1999 -13% 1% -4.5% 25.1% 0.2% -8.4% -2.9% -9.9% -6.4% -0.3% -11.8% -4.1% -33.5%
2000 -17.1% -19.3% 5.1% 23.7% 2.2% -16.5% 25.5% -13% -9.8% -2.6% 3.2% -7.4% -31.8%
2001 23.1% 10.8% -7.5% 17.9% 12.7% -6.4% -3% -7.2% -13.4% 4.3% 15.8% -5.5% 39.6%
2002 23.4% 5.5% 0.6% -10.5% -0.9% 10.4% -13.1% 3.4% -3.5% 0.4% -2.3% 1.3% 10.4%
2003 -1.5% -2.9% -2.6% 14.7% 3.4% -12.4% 0.6% -1% -2.8% 8.9% 6.7% 10.5% 20.1%
2004 -5.7% -0.3% -0.3% 7.8% 2.1% 9.5% 0.6% 6.8% 4.7% 14.2% 1.4% 5.4% 55.1%
2005 -3.5% 3.1% 3.2% -15.3% 2% -3% 20.2% -4% 13.9% -0.9% 10.4% 1.3% 25.5%
2006 11.2% 3% 5.7% -0.1% -2% 0.9% -18.4% -1.2% 3.1% 19.3% -6% 2.1% 13.7%
2007 -0.8% -4.5% 6.7% 5.2% 9.2% -9.2% 2.3% -4.3% 1.4% 0% -0.9% -1.5% 2.2%
2008 8.4% -2.8% 2.7% 10.2% 13.1% -7% 15.3% 2.2% -10% -9.5% -17% -4.9% -4.8%
2009 -18.5% -16.6% 6.4% 6.8% 4.3% 1.3% 14.8% 6.9% -6% 8.1% 11% 2% 15.2%
2010 -10.2% 10.1% 8.7% 6.2% -4.3% -6% 6.1% -4% 10.9% 3.3% -1.6% 4.4% 22.8%
2011 -2.6% 7.9% 5.6% 7.8% -1.3% 2.2% 1% -10.1% -9.8% 21.3% 2.7% -3.6% 18.8%
2012 -0.9% -4% -4.5% 10.8% -9.6% 9.5% 3.2% -1.5% -12.2% -2.8% -1.6% 2.4% -12.8%
2013 12.2% 6.1% 5.5% 0.4% -0.4% -5.1% 1.4% -1.4% 7.2% 11.9% 1.9% 5.9% 54.2%
2014 -0.3% -0.2% 5.7% -2.2% 6.6% 2.3% -0.8% 5.3% 4.3% -0.9% 1.4% -1.8% 20.8%
2015 -7% 7.6% -5.7% -1.5% -8.2% -5% -3.5% -7% -1.9% 4.8% 19.7% -11% -20.4%
2016 -16.7% 4.7% 13.8% 8.2% -6.1% 1.3% 5.5% 5.3% 3.4% -4.2% 15.2% 1.5% 31.5%
2017 8.7% 3.6% -7.5% 4.9% 6.1% -1.9% -7.5% 7.6% 9.7% -0.6% 6% 4.5% 36.9%
2018 4.1% -7.4% -2.4% 5.7% 6.2% -0.5% 12% 3.4% 3.8% -7% 2.2% -12.4% 5.2%
2019 12.2% 7.4% 4.2% 9.2% -3.9% 2.2% -4.1% -8.5% 3.2% 1.8% 6.3% 0.3% 32.4%
2020 7.3% -12% -19.9% 17.2% 4.8% -1.5% 9.5% 11.1% 0.7% -2.3% 13.8% 0.3% 24.8%
2021 -0.4% 7% 6.5% 4% 0.9% -5.5% -2.9% -1.2% -5.6% 22.5% -9.1% 12.2% 27.3%
2022 -8.6% -5.3% 11.2% -9.6% -6.6% -5.2% 10.5% -2.7% -13.8% 8.8% 13.1% -3.9% -15.6%
2023 -0.3% -8% -5.7% -4.2% 3.2% 8.9% 3% -11.7% -3.9% -3.1% 15.2% 8.4% -1.6%
2024 -0.5% 8.3% -0.7% - - - - - - - - - 7.1%
Pos 52.4% 61.9% 54.8% 58.5% 65.9% 42.9% 58.5% 45.2% 52.4% 57.1% 65.9% 61.9% 76.7%
Avg 1.2% 1% 1% 3% 1.6% -0.5% 2.3% 0.3% -0.3% 2.5% 2.7% 1.2% 14.7%

Other Return Metrics

Metric Norfolk Southern Corporation
Cumulative Return 17087.57%
Enh Ann Return 14.93%
Best Year 55.13%
Worst Year -33.45%
Best Month 25.53%
Worst Month -31.52%
Best Day 17.96%
Worst Day -17.24%
Win Ratio (Yearly) 76.74%
Win Ratio (Quarterly) 63.69%
Win Ratio (Monthly) 56.37%
Win Ratio (Daily) 51.34%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Norfolk Southern Corporation 22.71% 24.74% 30.8% 27.81% 30.04% 29.52%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Norfolk Southern Corporation 1.17 0.1 0.41 0.56 0.63 0.56

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Norfolk Southern Corporation

start valley end days Drawdown
1998-03-23 2000-10-23 2004-11-04 2418 -67.74%
2008-07-31 2009-03-09 2011-03-25 967 -62.88%
2020-01-30 2020-03-23 2020-08-24 207 -44.42%
1987-08-14 1987-10-28 1989-05-16 641 -42.76%
2014-11-28 2016-02-02 2016-12-09 742 -41.35%

The Norfolk Southern Corporation took approximately 33 months on average to recover from a major drawdown. The longest drawdown lasted 81 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric Norfolk Southern Corporation
Sharpe Ratio 0.56
Sortino Ratio 0.83
Adjusted Sortino (S/√2) 0.59
Calmar Ratio 0.19
Omega Ratio 1.11
Gain to Pain Ratio 0.11
Winckel Ratio 55.81
Ulcer Index 0.21
Kelly Criterion 4.96%
Skew 0.07
Kurtosis 6.47
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