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ESE.PA vs. UNH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ESE.PAUNH
YTD Return26.21%8.63%
1Y Return39.30%9.38%
3Y Return (Ann)11.88%8.65%
5Y Return (Ann)15.94%19.08%
10Y Return (Ann)14.94%21.42%
Sharpe Ratio3.280.37
Sortino Ratio4.290.66
Omega Ratio1.671.09
Calmar Ratio4.350.43
Martin Ratio19.821.15
Ulcer Index1.83%7.51%
Daily Std Dev11.06%23.52%
Max Drawdown-36.74%-82.67%
Current Drawdown-0.37%-6.63%

Correlation

-0.50.00.51.00.3

The correlation between ESE.PA and UNH is 0.25, 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

ESE.PA vs. UNH - Performance Comparison

In the year-to-date period, ESE.PA achieves a 26.21% return, which is significantly higher than UNH's 8.63% return. Over the past 10 years, ESE.PA has underperformed UNH with an annualized return of 14.94%, while UNH has yielded a comparatively higher 21.42% annualized 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%20.00%25.00%MayJuneJulyAugustSeptemberOctober
15.48%
17.77%
ESE.PA
UNH

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Risk-Adjusted Performance

ESE.PA vs. UNH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BNP Paribas Easy S&P 500 UCITS ETF (ESE.PA) and UnitedHealth Group Incorporated (UNH). 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.


ESE.PA
Sharpe ratio
The chart of Sharpe ratio for ESE.PA, currently valued at 3.23, compared to the broader market-2.000.002.004.006.003.23
Sortino ratio
The chart of Sortino ratio for ESE.PA, currently valued at 4.47, compared to the broader market0.005.0010.004.47
Omega ratio
The chart of Omega ratio for ESE.PA, currently valued at 1.64, compared to the broader market1.001.502.002.503.001.64
Calmar ratio
The chart of Calmar ratio for ESE.PA, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ESE.PA, currently valued at 19.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.84
UNH
Sharpe ratio
The chart of Sharpe ratio for UNH, currently valued at 0.32, compared to the broader market-2.000.002.004.006.000.32
Sortino ratio
The chart of Sortino ratio for UNH, currently valued at 0.60, compared to the broader market0.005.0010.000.60
Omega ratio
The chart of Omega ratio for UNH, currently valued at 1.09, compared to the broader market1.001.502.002.503.001.09
Calmar ratio
The chart of Calmar ratio for UNH, currently valued at 0.38, compared to the broader market0.005.0010.0015.000.38
Martin ratio
The chart of Martin ratio for UNH, currently valued at 1.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.00

ESE.PA vs. UNH - Sharpe Ratio Comparison

The current ESE.PA Sharpe Ratio is 3.28, which is higher than the UNH Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of ESE.PA and UNH, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.23
0.32
ESE.PA
UNH

Dividends

ESE.PA vs. UNH - Dividend Comparison

ESE.PA has not paid dividends to shareholders, while UNH's dividend yield for the trailing twelve months is around 1.41%.


TTM20232022202120202019201820172016201520142013
ESE.PA
BNP Paribas Easy S&P 500 UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UNH
UnitedHealth Group Incorporated
1.41%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%

Drawdowns

ESE.PA vs. UNH - Drawdown Comparison

The maximum ESE.PA drawdown since its inception was -36.74%, smaller than the maximum UNH drawdown of -82.67%. Use the drawdown chart below to compare losses from any high point for ESE.PA and UNH. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.68%
-6.63%
ESE.PA
UNH

Volatility

ESE.PA vs. UNH - Volatility Comparison

The current volatility for BNP Paribas Easy S&P 500 UCITS ETF (ESE.PA) is 1.68%, while UnitedHealth Group Incorporated (UNH) has a volatility of 9.80%. This indicates that ESE.PA experiences smaller price fluctuations and is considered to be less risky than UNH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
1.68%
9.80%
ESE.PA
UNH