NOVN.SW vs. ^GSPC
Compare and contrast key facts about Novartis AG (NOVN.SW) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NOVN.SW or ^GSPC.
Key characteristics
| NOVN.SW | ^GSPC | |
|---|---|---|
| YTD Return | 13.81% | 25.82% |
| 1Y Return | 15.18% | 35.92% |
| 3Y Return (Ann) | 13.42% | 8.67% |
| 5Y Return (Ann) | 6.29% | 14.22% |
| 10Y Return (Ann) | 6.32% | 11.43% |
| Sharpe Ratio | 0.88 | 3.08 |
| Sortino Ratio | 1.28 | 4.10 |
| Omega Ratio | 1.17 | 1.58 |
| Calmar Ratio | 1.52 | 4.48 |
| Martin Ratio | 4.01 | 20.05 |
| Ulcer Index | 3.64% | 1.90% |
| Daily Std Dev | 16.59% | 12.28% |
| Max Drawdown | -42.25% | -56.78% |
| Current Drawdown | -9.36% | 0.00% |
Correlation
The correlation between NOVN.SW and ^GSPC is 0.23, 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
NOVN.SW vs. ^GSPC - Performance Comparison
In the year-to-date period, NOVN.SW achieves a 13.81% return, which is significantly lower than ^GSPC's 25.82% return. Over the past 10 years, NOVN.SW has underperformed ^GSPC with an annualized return of 6.32%, while ^GSPC has yielded a comparatively higher 11.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
NOVN.SW vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Novartis AG (NOVN.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
NOVN.SW vs. ^GSPC - Drawdown Comparison
The maximum NOVN.SW drawdown since its inception was -42.25%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NOVN.SW and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
NOVN.SW vs. ^GSPC - Volatility Comparison
Novartis AG (NOVN.SW) has a higher volatility of 5.60% compared to S&P 500 (^GSPC) at 3.89%. 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.