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NOK vs. VGSTX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NOKVGSTX
YTD Return41.61%9.29%
1Y Return39.97%19.83%
3Y Return (Ann)-3.80%0.93%
5Y Return (Ann)7.47%7.72%
10Y Return (Ann)-2.73%7.47%
Sharpe Ratio1.362.39
Sortino Ratio2.023.46
Omega Ratio1.281.45
Calmar Ratio0.491.45
Martin Ratio7.8215.53
Ulcer Index5.70%1.37%
Daily Std Dev32.76%8.84%
Max Drawdown-95.97%-38.62%
Current Drawdown-84.57%-2.22%

Correlation

-0.50.00.51.00.6

The correlation between NOK and VGSTX is 0.56, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

NOK vs. VGSTX - Performance Comparison

In the year-to-date period, NOK achieves a 41.61% return, which is significantly higher than VGSTX's 9.29% return. Over the past 10 years, NOK has underperformed VGSTX with an annualized return of -2.73%, while VGSTX has yielded a comparatively higher 7.47% 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%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
27.50%
5.29%
NOK
VGSTX

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Risk-Adjusted Performance

NOK vs. VGSTX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nokia Corporation (NOK) and Vanguard STAR Fund (VGSTX). 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.


NOK
Sharpe ratio
The chart of Sharpe ratio for NOK, currently valued at 1.36, compared to the broader market-4.00-2.000.002.001.36
Sortino ratio
The chart of Sortino ratio for NOK, currently valued at 2.02, compared to the broader market-4.00-2.000.002.004.002.02
Omega ratio
The chart of Omega ratio for NOK, currently valued at 1.28, compared to the broader market0.501.001.502.001.28
Calmar ratio
The chart of Calmar ratio for NOK, currently valued at 0.49, compared to the broader market0.002.004.006.000.49
Martin ratio
The chart of Martin ratio for NOK, currently valued at 7.82, compared to the broader market-10.000.0010.0020.0030.007.82
VGSTX
Sharpe ratio
The chart of Sharpe ratio for VGSTX, currently valued at 2.39, compared to the broader market-4.00-2.000.002.002.39
Sortino ratio
The chart of Sortino ratio for VGSTX, currently valued at 3.46, compared to the broader market-4.00-2.000.002.004.003.46
Omega ratio
The chart of Omega ratio for VGSTX, currently valued at 1.45, compared to the broader market0.501.001.502.001.45
Calmar ratio
The chart of Calmar ratio for VGSTX, currently valued at 1.45, compared to the broader market0.002.004.006.001.45
Martin ratio
The chart of Martin ratio for VGSTX, currently valued at 15.53, compared to the broader market-10.000.0010.0020.0030.0015.53

NOK vs. VGSTX - Sharpe Ratio Comparison

The current NOK Sharpe Ratio is 1.36, which is lower than the VGSTX Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of NOK and VGSTX, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.36
2.39
NOK
VGSTX

Dividends

NOK vs. VGSTX - Dividend Comparison

NOK's dividend yield for the trailing twelve months is around 3.01%, less than VGSTX's 5.14% yield.


TTM20232022202120202019201820172016201520142013
NOK
Nokia Corporation
3.01%5.42%1.31%0.00%0.00%3.02%4.05%4.07%6.02%2.22%6.43%0.00%
VGSTX
Vanguard STAR Fund
5.14%5.35%8.34%6.70%6.68%6.07%6.90%4.51%4.77%5.62%4.18%2.48%

Drawdowns

NOK vs. VGSTX - Drawdown Comparison

The maximum NOK drawdown since its inception was -95.97%, which is greater than VGSTX's maximum drawdown of -38.62%. Use the drawdown chart below to compare losses from any high point for NOK and VGSTX. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-84.57%
-2.22%
NOK
VGSTX

Volatility

NOK vs. VGSTX - Volatility Comparison

Nokia Corporation (NOK) has a higher volatility of 11.66% compared to Vanguard STAR Fund (VGSTX) at 1.91%. This indicates that NOK's price experiences larger fluctuations and is considered to be riskier than VGSTX 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%12.00%JuneJulyAugustSeptemberOctoberNovember
11.66%
1.91%
NOK
VGSTX