PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
500G.L vs. JNJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


500G.LJNJ
YTD Return20.58%4.53%
1Y Return33.08%12.33%
3Y Return (Ann)11.72%2.31%
5Y Return (Ann)15.71%6.85%
Sharpe Ratio2.960.89
Sortino Ratio4.091.38
Omega Ratio1.561.17
Calmar Ratio5.000.76
Martin Ratio20.352.68
Ulcer Index1.58%5.01%
Daily Std Dev10.84%15.08%
Max Drawdown-25.52%-38.78%
Current Drawdown-0.41%-7.45%

Correlation

-0.50.00.51.00.2

The correlation between 500G.L and JNJ is 0.22, 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.

Performance

500G.L vs. JNJ - Performance Comparison

In the year-to-date period, 500G.L achieves a 20.58% return, which is significantly higher than JNJ's 4.53% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
15.83%
12.46%
500G.L
JNJ

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

500G.L vs. JNJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amundi S&P 500 UCITS ETF C USD (500G.L) and Johnson & Johnson (JNJ). 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.


500G.L
Sharpe ratio
The chart of Sharpe ratio for 500G.L, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for 500G.L, currently valued at 4.49, compared to the broader market0.005.0010.004.49
Omega ratio
The chart of Omega ratio for 500G.L, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for 500G.L, currently valued at 4.62, compared to the broader market0.005.0010.0015.004.62
Martin ratio
The chart of Martin ratio for 500G.L, currently valued at 20.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.18
JNJ
Sharpe ratio
The chart of Sharpe ratio for JNJ, currently valued at 0.59, compared to the broader market-2.000.002.004.006.000.59
Sortino ratio
The chart of Sortino ratio for JNJ, currently valued at 0.97, compared to the broader market0.005.0010.000.97
Omega ratio
The chart of Omega ratio for JNJ, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for JNJ, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.50
Martin ratio
The chart of Martin ratio for JNJ, currently valued at 1.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.75

500G.L vs. JNJ - Sharpe Ratio Comparison

The current 500G.L Sharpe Ratio is 2.96, which is higher than the JNJ Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of 500G.L and JNJ, 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-1.000.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.25
0.59
500G.L
JNJ

Dividends

500G.L vs. JNJ - Dividend Comparison

500G.L has not paid dividends to shareholders, while JNJ's dividend yield for the trailing twelve months is around 3.04%.


TTM20232022202120202019201820172016201520142013
500G.L
Amundi S&P 500 UCITS ETF C USD
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JNJ
Johnson & Johnson
3.04%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%

Drawdowns

500G.L vs. JNJ - Drawdown Comparison

The maximum 500G.L drawdown since its inception was -25.52%, smaller than the maximum JNJ drawdown of -38.78%. Use the drawdown chart below to compare losses from any high point for 500G.L and JNJ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.40%
-7.45%
500G.L
JNJ

Volatility

500G.L vs. JNJ - Volatility Comparison

The current volatility for Amundi S&P 500 UCITS ETF C USD (500G.L) is 1.83%, while Johnson & Johnson (JNJ) has a volatility of 3.82%. This indicates that 500G.L experiences smaller price fluctuations and is considered to be less risky than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
1.83%
3.82%
500G.L
JNJ