^GSPC vs. NVO
^GSPC (S&P 500 Index) is an index, while NVO (Novo Nordisk A/S) is a stock. Over the past 10 years, ^GSPC returned 13.61%/yr vs 7.56%/yr for NVO. At a 0.32 correlation, their price movements are largely independent.
Performance
^GSPC vs. NVO - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.56% return, which is significantly higher than NVO's -10.74% return. Over the past 10 years, ^GSPC has outperformed NVO with an annualized return of 13.61%, while NVO has yielded a comparatively lower 7.56% annualized return.
^GSPC
- 1D
- 0.50%
- 1M
- -0.17%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 22.93%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
NVO
- 1D
- -0.18%
- 1M
- -6.80%
- YTD
- -10.74%
- 6M
- -9.50%
- 1Y
- -43.34%
- 3Y*
- -15.59%
- 5Y*
- 2.92%
- 10Y*
- 7.56%
^GSPC vs. NVO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
NVO Novo Nordisk A/S | -10.74% | -39.22% | -15.93% | 54.84% | 22.66% | 63.52% | 23.33% | 28.70% | -12.98% | 52.92% |
Correlation
The correlation between ^GSPC and NVO is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.34 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.35 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1982 | 0.32 |
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Return for Risk
^GSPC vs. NVO — Risk / Return Rank
^GSPC
NVO
^GSPC vs. NVO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Novo Nordisk A/S (NVO). 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.
| ^GSPC | NVO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.70 | ||
| Sortino ratioReturn per unit of downside risk | +3.58 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 0.85 | +0.49 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | -0.80 | +3.33 |
| Martin ratioReturn relative to average drawdown | 11.37 | -1.18 | +12.55 |
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Drawdowns
^GSPC vs. NVO - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum NVO drawdown of -74.70%. Use the drawdown chart below to compare losses from any high point for ^GSPC and NVO.
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Drawdown Indicators
| ^GSPC | NVO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -74.70% | +17.92% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -54.34% | +45.24% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -74.70% | +55.80% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -74.70% | +49.27% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -74.70% | +40.78% |
Current DrawdownCurrent decline from peak | -2.34% | -68.11% | +65.77% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -17.79% | +7.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 37.62% | -35.60% |
Volatility
^GSPC vs. NVO - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.43%, while Novo Nordisk A/S (NVO) has a volatility of 10.68%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than NVO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | NVO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 10.68% | -6.25% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 38.04% | -28.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 51.88% | -39.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 38.33% | -21.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 32.56% | -14.47% |
Frequently Asked Questions
^GSPC and NVO have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NVO has higher volatility (10.68%) compared to ^GSPC (4.43%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs NVO's -74.70%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs -0.84), 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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