PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NVCR vs. GSG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NVCR and GSG is 0.11, 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.


-0.50.00.51.00.1

Performance

NVCR vs. GSG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NovoCure Limited (NVCR) and iShares S&P GSCI Commodity-Indexed Trust (GSG). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
68.49%
27.66%
NVCR
GSG

Key characteristics

Sharpe Ratio

NVCR:

1.58

GSG:

0.38

Sortino Ratio

NVCR:

2.78

GSG:

0.64

Omega Ratio

NVCR:

1.31

GSG:

1.07

Calmar Ratio

NVCR:

1.46

GSG:

0.08

Martin Ratio

NVCR:

6.54

GSG:

1.10

Ulcer Index

NVCR:

21.17%

GSG:

5.36%

Daily Std Dev

NVCR:

87.51%

GSG:

15.54%

Max Drawdown

NVCR:

-95.07%

GSG:

-89.62%

Current Drawdown

NVCR:

-86.35%

GSG:

-71.50%

Returns By Period

In the year-to-date period, NVCR achieves a 106.30% return, which is significantly higher than GSG's 7.23% return.


NVCR

YTD

106.30%

1M

82.68%

6M

61.51%

1Y

130.71%

5Y*

-18.78%

10Y*

N/A

GSG

YTD

7.23%

1M

1.32%

6M

-2.89%

1Y

5.39%

5Y*

6.19%

10Y*

-0.31%

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

NVCR vs. GSG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NovoCure Limited (NVCR) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.


Sharpe ratio
The chart of Sharpe ratio for NVCR, currently valued at 1.58, compared to the broader market-4.00-2.000.002.001.580.38
The chart of Sortino ratio for NVCR, currently valued at 2.78, compared to the broader market-4.00-2.000.002.004.002.780.64
The chart of Omega ratio for NVCR, currently valued at 1.31, compared to the broader market0.501.001.502.001.311.07
The chart of Calmar ratio for NVCR, currently valued at 1.46, compared to the broader market0.002.004.006.001.460.24
The chart of Martin ratio for NVCR, currently valued at 6.54, compared to the broader market-5.000.005.0010.0015.0020.0025.006.541.10
NVCR
GSG

The current NVCR Sharpe Ratio is 1.58, which is higher than the GSG Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of NVCR and GSG, 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-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
1.58
0.38
NVCR
GSG

Dividends

NVCR vs. GSG - Dividend Comparison

Neither NVCR nor GSG has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

NVCR vs. GSG - Drawdown Comparison

The maximum NVCR drawdown since its inception was -95.07%, which is greater than GSG's maximum drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for NVCR and GSG. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-86.35%
-18.34%
NVCR
GSG

Volatility

NVCR vs. GSG - Volatility Comparison

NovoCure Limited (NVCR) has a higher volatility of 45.02% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 3.73%. This indicates that NVCR's price experiences larger fluctuations and is considered to be riskier than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
45.02%
3.73%
NVCR
GSG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab