NOVN.SW vs. ^GSPC
NOVN.SW (Novartis AG) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, NOVN.SW returned 11.55%/yr vs 10.89%/yr for ^GSPC. At a 0.31 correlation, their price movements are largely independent.
Performance
NOVN.SW vs. ^GSPC - Performance Comparison
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Different Trading Currencies
NOVN.SW is traded in CHF, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CHF using the latest available exchange rates.
Returns By Period
In the year-to-date period, NOVN.SW achieves a 15.74% return, which is significantly higher than ^GSPC's 11.07% return. Over the past 10 years, NOVN.SW has outperformed ^GSPC with an annualized return of 11.55%, while ^GSPC has yielded a comparatively lower 10.89% annualized return.
NOVN.SW
- 1D
- -1.52%
- 1M
- 4.06%
- 6M
- 9.77%
- YTD
- 15.74%
- 1Y
- 37.44%
- 3Y*
- 21.47%
- 5Y*
- 16.71%
- 10Y*
- 11.55%
- ALL TIME*
- 8.60%
^GSPC
- 1D
- 0.24%
- 1M
- 0.02%
- 6M
- 8.33%
- YTD
- 11.07%
- 1Y
- 19.54%
- 3Y*
- 15.37%
- 5Y*
- 8.56%
- 10Y*
- 10.89%
- ALL TIME*
- 6.78%
NOVN.SW vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NOVN.SW Novartis AG | 15.74% | 27.98% | 8.44% | 28.10% | 8.50% | -0.33% | -5.58% | 28.24% | 6.26% | 15.78% |
^GSPC S&P 500 Index | 11.07% | 1.70% | 33.03% | 13.11% | -18.34% | 30.63% | 6.46% | 26.69% | -5.33% | 14.35% |
Correlation
The correlation between NOVN.SW and ^GSPC is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Oct 22, 2007 | 0.31 |
Over the past year, the correlation between NOVN.SW and ^GSPC has dropped to 0.02 - well below their long-term average of 0.31, suggesting their price drivers have been diverging.
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Return for Risk
NOVN.SW vs. ^GSPC — Risk / Return Rank
NOVN.SW
^GSPC
NOVN.SW vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Novartis AG (NOVN.SW) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NOVN.SW | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.56 | ||
| Sortino ratioReturn per unit of downside risk | +0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.27 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.52 | 2.13 | +1.39 |
| Martin ratioReturn relative to average drawdown | 8.66 | 7.09 | +1.57 |
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Drawdowns
NOVN.SW vs. ^GSPC - Drawdown Comparison
The maximum NOVN.SW drawdown since its inception was -42.59%, smaller than the maximum ^GSPC drawdown of -56.33%. Use the drawdown chart below to compare losses from any high point for NOVN.SW and ^GSPC.
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Drawdown Indicators
| NOVN.SW | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.59% | -56.33% | +13.74% |
Max Drawdown (1Y)Largest decline over 1 year | -10.78% | -9.21% | -1.57% |
Max Drawdown (3Y)Largest decline over 3 years | -16.86% | -24.92% | +8.06% |
Max Drawdown (5Y)Largest decline over 5 years | -16.86% | -24.92% | +8.06% |
Max Drawdown (10Y)Largest decline over 10 years | -24.26% | -33.88% | +9.62% |
Current DrawdownCurrent decline from peak | -3.84% | -1.51% | -2.33% |
Average DrawdownAverage peak-to-trough decline | -11.46% | -13.61% | +2.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.38% | 2.76% | +1.62% |
Volatility
NOVN.SW vs. ^GSPC - Volatility Comparison
Novartis AG (NOVN.SW) has a higher volatility of 6.14% compared to S&P 500 Index (^GSPC) at 3.22%. This indicates that NOVN.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.
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Volatility by Period
| NOVN.SW | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.14% | 3.22% | +2.92% |
Volatility (6M)Calculated over the trailing 6-month period | 14.00% | 10.20% | +3.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.08% | 13.70% | +5.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.10% | 18.22% | +0.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.81% | 19.57% | -0.76% |
Frequently Asked Questions
NOVN.SW and ^GSPC have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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