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0QLR.L vs. ^SSMI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between 0QLR.L and ^SSMI is 0.53, 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

0QLR.L vs. ^SSMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Novartis AG (0QLR.L) and Swiss Market Index (^SSMI). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-10.30%
-5.35%
0QLR.L
^SSMI

Key characteristics

Sharpe Ratio

0QLR.L:

0.18

^SSMI:

0.28

Sortino Ratio

0QLR.L:

0.38

^SSMI:

0.45

Omega Ratio

0QLR.L:

1.05

^SSMI:

1.06

Calmar Ratio

0QLR.L:

0.19

^SSMI:

0.22

Martin Ratio

0QLR.L:

0.50

^SSMI:

1.03

Ulcer Index

0QLR.L:

5.87%

^SSMI:

3.10%

Daily Std Dev

0QLR.L:

16.56%

^SSMI:

11.56%

Max Drawdown

0QLR.L:

-15.80%

^SSMI:

-56.31%

Current Drawdown

0QLR.L:

-14.90%

^SSMI:

-11.43%

Returns By Period

The year-to-date returns for both investments are quite close, with 0QLR.L having a 3.04% return and ^SSMI slightly higher at 3.15%.


0QLR.L

YTD

3.04%

1M

-7.08%

6M

-9.31%

1Y

2.44%

5Y*

N/A

10Y*

N/A

^SSMI

YTD

3.15%

1M

-1.95%

6M

-4.95%

1Y

3.01%

5Y*

1.38%

10Y*

2.45%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

0QLR.L vs. ^SSMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Novartis AG (0QLR.L) and Swiss Market Index (^SSMI). 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 0QLR.L, currently valued at -0.14, compared to the broader market-4.00-2.000.002.00-0.14-0.23
The chart of Sortino ratio for 0QLR.L, currently valued at -0.08, compared to the broader market-4.00-2.000.002.004.00-0.08-0.23
The chart of Omega ratio for 0QLR.L, currently valued at 0.99, compared to the broader market0.501.001.502.000.990.97
The chart of Calmar ratio for 0QLR.L, currently valued at -0.13, compared to the broader market0.002.004.006.00-0.13-0.21
The chart of Martin ratio for 0QLR.L, currently valued at -0.35, compared to the broader market0.0010.0020.00-0.35-0.57
0QLR.L
^SSMI

The current 0QLR.L Sharpe Ratio is 0.18, which is lower than the ^SSMI Sharpe Ratio of 0.28. The chart below compares the historical Sharpe Ratios of 0QLR.L and ^SSMI, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.14
-0.23
0QLR.L
^SSMI

Drawdowns

0QLR.L vs. ^SSMI - Drawdown Comparison

The maximum 0QLR.L drawdown since its inception was -15.80%, smaller than the maximum ^SSMI drawdown of -56.31%. Use the drawdown chart below to compare losses from any high point for 0QLR.L and ^SSMI. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.80%
-12.80%
0QLR.L
^SSMI

Volatility

0QLR.L vs. ^SSMI - Volatility Comparison

Novartis AG (0QLR.L) has a higher volatility of 4.69% compared to Swiss Market Index (^SSMI) at 3.33%. This indicates that 0QLR.L's price experiences larger fluctuations and is considered to be riskier than ^SSMI 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%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.69%
3.33%
0QLR.L
^SSMI
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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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