NESN.SW vs. ^GSPC
Compare and contrast key facts about Nestlé S.A. (NESN.SW) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NESN.SW or ^GSPC.
Performance
NESN.SW vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, NESN.SW achieves a -17.22% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, NESN.SW has underperformed ^GSPC with an annualized return of 3.69%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
NESN.SW
-17.22%
-9.07%
-19.09%
-18.45%
-3.08%
3.69%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| NESN.SW | ^GSPC | |
|---|---|---|
| Sharpe Ratio | -1.11 | 2.51 |
| Sortino Ratio | -1.45 | 3.36 |
| Omega Ratio | 0.82 | 1.47 |
| Calmar Ratio | -0.52 | 3.62 |
| Martin Ratio | -2.15 | 16.12 |
| Ulcer Index | 8.45% | 1.91% |
| Daily Std Dev | 16.43% | 12.27% |
| Max Drawdown | -39.85% | -56.78% |
| Current Drawdown | -34.57% | -1.80% |
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Correlation
The correlation between NESN.SW and ^GSPC is 0.18, 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Nestlé S.A. (NESN.SW) and S&P 500 (^GSPC). 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.
Drawdowns
NESN.SW vs. ^GSPC - Drawdown Comparison
The maximum NESN.SW drawdown since its inception was -39.85%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NESN.SW and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
NESN.SW vs. ^GSPC - Volatility Comparison
Nestlé S.A. (NESN.SW) has a higher volatility of 4.72% compared to S&P 500 (^GSPC) at 4.06%. This indicates that NESN.SW's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.