NSRGY vs. SPY
Compare and contrast key facts about Nestlé S.A. (NSRGY) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NSRGY or SPY.
Performance
NSRGY vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, NSRGY achieves a -22.07% return, which is significantly lower than SPY's 24.40% return. Over the past 10 years, NSRGY has underperformed SPY with an annualized return of 4.53%, while SPY has yielded a comparatively higher 13.04% annualized return.
NSRGY
-22.07%
-12.12%
-17.67%
-19.08%
-1.08%
4.53%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| NSRGY | SPY | |
|---|---|---|
| Sharpe Ratio | -1.01 | 2.64 |
| Sortino Ratio | -1.40 | 3.53 |
| Omega Ratio | 0.84 | 1.49 |
| Calmar Ratio | -0.59 | 3.81 |
| Martin Ratio | -2.09 | 17.21 |
| Ulcer Index | 9.25% | 1.86% |
| Daily Std Dev | 19.22% | 12.15% |
| Max Drawdown | -41.23% | -55.19% |
| Current Drawdown | -32.99% | -2.17% |
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Correlation
The correlation between NSRGY and SPY is 0.34, 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
NSRGY vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Nestlé S.A. (NSRGY) and SPDR S&P 500 ETF (SPY). 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.
Dividends
NSRGY vs. SPY - Dividend Comparison
NSRGY's dividend yield for the trailing twelve months is around 3.91%, more than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NSRGY Nestlé S.A. | 3.91% | 2.76% | 2.64% | 2.18% | 2.34% | 2.24% | 3.12% | 2.68% | 3.16% | 3.11% | 3.32% | 2.96% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
NSRGY vs. SPY - Drawdown Comparison
The maximum NSRGY drawdown since its inception was -41.23%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NSRGY and SPY. For additional features, visit the drawdowns tool.
Volatility
NSRGY vs. SPY - Volatility Comparison
The current volatility for Nestlé S.A. (NSRGY) is 3.66%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that NSRGY experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.