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

Performance

NESN.SW vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nestlé S.A. (NESN.SW) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-16.69%
11.73%
NESN.SW
VOO

Returns By Period

In the year-to-date period, NESN.SW achieves a -17.22% return, which is significantly lower than VOO's 25.02% return. Over the past 10 years, NESN.SW has underperformed VOO with an annualized return of 3.69%, while VOO has yielded a comparatively higher 13.11% annualized return.


NESN.SW

YTD

-17.22%

1M

-9.07%

6M

-19.09%

1Y

-18.45%

5Y (annualized)

-3.08%

10Y (annualized)

3.69%

VOO

YTD

25.02%

1M

0.63%

6M

11.74%

1Y

32.35%

5Y (annualized)

15.50%

10Y (annualized)

13.11%

Key characteristics


NESN.SWVOO
Sharpe Ratio-1.112.67
Sortino Ratio-1.453.56
Omega Ratio0.821.50
Calmar Ratio-0.523.85
Martin Ratio-2.1517.51
Ulcer Index8.45%1.86%
Daily Std Dev16.43%12.23%
Max Drawdown-39.85%-33.99%
Current Drawdown-34.57%-1.76%

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Correlation

-0.50.00.51.00.3

The correlation between NESN.SW and VOO is 0.26, 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.

Risk-Adjusted Performance

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

This table presents a comparison of risk-adjusted performance metrics for Nestlé S.A. (NESN.SW) and Vanguard S&P 500 ETF (VOO). 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 NESN.SW, currently valued at -1.10, compared to the broader market-4.00-2.000.002.004.00-1.102.57
The chart of Sortino ratio for NESN.SW, currently valued at -1.48, compared to the broader market-4.00-2.000.002.004.00-1.483.45
The chart of Omega ratio for NESN.SW, currently valued at 0.82, compared to the broader market0.501.001.502.000.821.48
The chart of Calmar ratio for NESN.SW, currently valued at -0.60, compared to the broader market0.002.004.006.00-0.603.71
The chart of Martin ratio for NESN.SW, currently valued at -2.07, compared to the broader market-10.000.0010.0020.0030.00-2.0716.83
NESN.SW
VOO

The current NESN.SW Sharpe Ratio is -1.11, which is lower than the VOO Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of NESN.SW and VOO, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-1.10
2.57
NESN.SW
VOO

Dividends

NESN.SW vs. VOO - Dividend Comparison

NESN.SW's dividend yield for the trailing twelve months is around 3.84%, more than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
NESN.SW
Nestlé S.A.
3.84%3.03%2.61%2.16%2.59%2.34%2.94%2.74%3.08%2.95%2.95%3.14%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

NESN.SW vs. VOO - Drawdown Comparison

The maximum NESN.SW drawdown since its inception was -39.85%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for NESN.SW and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-32.14%
-1.76%
NESN.SW
VOO

Volatility

NESN.SW vs. VOO - Volatility Comparison

Nestlé S.A. (NESN.SW) has a higher volatility of 4.72% compared to Vanguard S&P 500 ETF (VOO) at 4.09%. This indicates that NESN.SW's price experiences larger fluctuations and is considered to be riskier than VOO 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%JuneJulyAugustSeptemberOctoberNovember
4.72%
4.09%
NESN.SW
VOO