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NVMI vs. XLK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NVMI and XLK is 0.37, 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.


-0.50.00.51.00.4

Performance

NVMI vs. XLK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Nova Ltd (NVMI) and Technology Select Sector SPDR Fund (XLK). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-15.45%
2.95%
NVMI
XLK

Key characteristics

Sharpe Ratio

NVMI:

0.94

XLK:

1.10

Sortino Ratio

NVMI:

1.51

XLK:

1.54

Omega Ratio

NVMI:

1.21

XLK:

1.21

Calmar Ratio

NVMI:

1.62

XLK:

1.42

Martin Ratio

NVMI:

3.57

XLK:

4.89

Ulcer Index

NVMI:

13.41%

XLK:

4.94%

Daily Std Dev

NVMI:

51.12%

XLK:

22.05%

Max Drawdown

NVMI:

-98.22%

XLK:

-82.05%

Current Drawdown

NVMI:

-20.84%

XLK:

-2.95%

Returns By Period

In the year-to-date period, NVMI achieves a 40.86% return, which is significantly higher than XLK's 22.37% return. Over the past 10 years, NVMI has outperformed XLK with an annualized return of 34.47%, while XLK has yielded a comparatively lower 20.24% annualized return.


NVMI

YTD

40.86%

1M

11.11%

6M

-15.45%

1Y

42.94%

5Y*

38.52%

10Y*

34.47%

XLK

YTD

22.37%

1M

1.29%

6M

2.77%

1Y

24.18%

5Y*

21.93%

10Y*

20.24%

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Risk-Adjusted Performance

NVMI vs. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nova Ltd (NVMI) and Technology Select Sector SPDR Fund (XLK). 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 NVMI, currently valued at 0.94, compared to the broader market-4.00-2.000.002.000.941.10
The chart of Sortino ratio for NVMI, currently valued at 1.51, compared to the broader market-4.00-2.000.002.004.001.511.54
The chart of Omega ratio for NVMI, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.21
The chart of Calmar ratio for NVMI, currently valued at 1.62, compared to the broader market0.002.004.006.001.621.42
The chart of Martin ratio for NVMI, currently valued at 3.57, compared to the broader market-5.000.005.0010.0015.0020.0025.003.574.89
NVMI
XLK

The current NVMI Sharpe Ratio is 0.94, which is comparable to the XLK Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of NVMI and XLK, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.94
1.10
NVMI
XLK

Dividends

NVMI vs. XLK - Dividend Comparison

NVMI has not paid dividends to shareholders, while XLK's dividend yield for the trailing twelve months is around 0.49%.


TTM20232022202120202019201820172016201520142013
NVMI
Nova Ltd
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLK
Technology Select Sector SPDR Fund
0.49%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

NVMI vs. XLK - Drawdown Comparison

The maximum NVMI drawdown since its inception was -98.22%, which is greater than XLK's maximum drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for NVMI and XLK. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.84%
-2.95%
NVMI
XLK

Volatility

NVMI vs. XLK - Volatility Comparison

Nova Ltd (NVMI) has a higher volatility of 11.82% compared to Technology Select Sector SPDR Fund (XLK) at 5.25%. This indicates that NVMI's price experiences larger fluctuations and is considered to be riskier than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
11.82%
5.25%
NVMI
XLK
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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.

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