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ABRYX vs. NESN.SW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ABRYX and NESN.SW is 0.32, 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.


-0.50.00.51.00.3

Performance

ABRYX vs. NESN.SW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Balanced-Risk Allocation Fund (ABRYX) and Nestlé S.A. (NESN.SW). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%SeptemberOctoberNovemberDecember2025February
4.23%
-17.19%
ABRYX
NESN.SW

Key characteristics

Sharpe Ratio

ABRYX:

0.83

NESN.SW:

-1.21

Sortino Ratio

ABRYX:

1.20

NESN.SW:

-1.60

Omega Ratio

ABRYX:

1.15

NESN.SW:

0.80

Calmar Ratio

ABRYX:

0.37

NESN.SW:

-0.52

Martin Ratio

ABRYX:

2.43

NESN.SW:

-1.49

Ulcer Index

ABRYX:

2.97%

NESN.SW:

13.44%

Daily Std Dev

ABRYX:

8.66%

NESN.SW:

16.58%

Max Drawdown

ABRYX:

-27.29%

NESN.SW:

-39.85%

Current Drawdown

ABRYX:

-13.74%

NESN.SW:

-35.14%

Returns By Period

In the year-to-date period, ABRYX achieves a 3.74% return, which is significantly higher than NESN.SW's 3.50% return. Over the past 10 years, ABRYX has underperformed NESN.SW with an annualized return of 0.70%, while NESN.SW has yielded a comparatively higher 3.69% annualized return.


ABRYX

YTD

3.74%

1M

4.12%

6M

4.23%

1Y

6.59%

5Y*

1.13%

10Y*

0.70%

NESN.SW

YTD

3.50%

1M

2.84%

6M

-12.92%

1Y

-18.63%

5Y*

-4.10%

10Y*

3.69%

*Annualized

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Risk-Adjusted Performance

ABRYX vs. NESN.SW — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ABRYX
The Risk-Adjusted Performance Rank of ABRYX is 3131
Overall Rank
The Sharpe Ratio Rank of ABRYX is 3434
Sharpe Ratio Rank
The Sortino Ratio Rank of ABRYX is 3535
Sortino Ratio Rank
The Omega Ratio Rank of ABRYX is 3131
Omega Ratio Rank
The Calmar Ratio Rank of ABRYX is 2424
Calmar Ratio Rank
The Martin Ratio Rank of ABRYX is 3030
Martin Ratio Rank

NESN.SW
The Risk-Adjusted Performance Rank of NESN.SW is 66
Overall Rank
The Sharpe Ratio Rank of NESN.SW is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of NESN.SW is 44
Sortino Ratio Rank
The Omega Ratio Rank of NESN.SW is 55
Omega Ratio Rank
The Calmar Ratio Rank of NESN.SW is 1515
Calmar Ratio Rank
The Martin Ratio Rank of NESN.SW is 55
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ABRYX vs. NESN.SW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Balanced-Risk Allocation Fund (ABRYX) and Nestlé S.A. (NESN.SW). 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 ABRYX, currently valued at 0.67, compared to the broader market-1.000.001.002.003.004.000.67-1.13
The chart of Sortino ratio for ABRYX, currently valued at 0.98, compared to the broader market0.002.004.006.008.0010.0012.000.98-1.55
The chart of Omega ratio for ABRYX, currently valued at 1.13, compared to the broader market1.002.003.004.001.130.81
The chart of Calmar ratio for ABRYX, currently valued at 0.30, compared to the broader market0.005.0010.0015.0020.000.30-0.53
The chart of Martin ratio for ABRYX, currently valued at 1.90, compared to the broader market0.0020.0040.0060.0080.001.90-1.49
ABRYX
NESN.SW

The current ABRYX Sharpe Ratio is 0.83, which is higher than the NESN.SW Sharpe Ratio of -1.21. The chart below compares the historical Sharpe Ratios of ABRYX and NESN.SW, 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-1.000.001.002.00SeptemberOctoberNovemberDecember2025February
0.67
-1.13
ABRYX
NESN.SW

Dividends

ABRYX vs. NESN.SW - Dividend Comparison

ABRYX's dividend yield for the trailing twelve months is around 12.74%, more than NESN.SW's 3.87% yield.


TTM20242023202220212020201920182017201620152014
ABRYX
Invesco Balanced-Risk Allocation Fund
12.74%13.21%2.43%0.00%14.73%1.40%6.66%0.00%0.00%4.15%3.12%2.41%
NESN.SW
Nestlé S.A.
3.87%4.01%3.03%2.61%2.16%2.59%2.34%2.94%2.74%3.08%2.95%2.95%

Drawdowns

ABRYX vs. NESN.SW - Drawdown Comparison

The maximum ABRYX drawdown since its inception was -27.29%, smaller than the maximum NESN.SW drawdown of -39.85%. Use the drawdown chart below to compare losses from any high point for ABRYX and NESN.SW. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%SeptemberOctoberNovemberDecember2025February
-13.74%
-34.73%
ABRYX
NESN.SW

Volatility

ABRYX vs. NESN.SW - Volatility Comparison

The current volatility for Invesco Balanced-Risk Allocation Fund (ABRYX) is 2.29%, while Nestlé S.A. (NESN.SW) has a volatility of 5.48%. This indicates that ABRYX experiences smaller price fluctuations and is considered to be less risky than NESN.SW 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%SeptemberOctoberNovemberDecember2025February
2.29%
5.48%
ABRYX
NESN.SW
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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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