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NVO vs. XLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NVO and XLV is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.7

Performance

NVO vs. XLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Novo Nordisk A/S (NVO) and Health Care Select Sector SPDR Fund (XLV). The values are adjusted to include any dividend payments, if applicable.

0.00%5,000.00%10,000.00%15,000.00%NovemberDecember2025FebruaryMarchApril
7,867.18%
705.41%
NVO
XLV

Key characteristics

Sharpe Ratio

NVO:

-1.18

XLV:

0.01

Sortino Ratio

NVO:

-1.74

XLV:

0.11

Omega Ratio

NVO:

0.77

XLV:

1.01

Calmar Ratio

NVO:

-0.82

XLV:

0.01

Martin Ratio

NVO:

-1.66

XLV:

0.02

Ulcer Index

NVO:

29.58%

XLV:

5.96%

Daily Std Dev

NVO:

41.60%

XLV:

14.30%

Max Drawdown

NVO:

-70.96%

XLV:

-39.17%

Current Drawdown

NVO:

-56.52%

XLV:

-11.56%

Returns By Period

In the year-to-date period, NVO achieves a -26.02% return, which is significantly lower than XLV's 0.26% return. Over the past 10 years, NVO has outperformed XLV with an annualized return of 10.45%, while XLV has yielded a comparatively lower 8.31% annualized return.


NVO

YTD

-26.02%

1M

-13.53%

6M

-44.14%

1Y

-49.37%

5Y*

15.98%

10Y*

10.45%

XLV

YTD

0.26%

1M

-5.42%

6M

-7.27%

1Y

-0.89%

5Y*

8.21%

10Y*

8.31%

*Annualized

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Risk-Adjusted Performance

NVO vs. XLV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NVO
The Risk-Adjusted Performance Rank of NVO is 44
Overall Rank
The Sharpe Ratio Rank of NVO is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of NVO is 44
Sortino Ratio Rank
The Omega Ratio Rank of NVO is 55
Omega Ratio Rank
The Calmar Ratio Rank of NVO is 55
Calmar Ratio Rank
The Martin Ratio Rank of NVO is 55
Martin Ratio Rank

XLV
The Risk-Adjusted Performance Rank of XLV is 2323
Overall Rank
The Sharpe Ratio Rank of XLV is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of XLV is 2222
Sortino Ratio Rank
The Omega Ratio Rank of XLV is 2222
Omega Ratio Rank
The Calmar Ratio Rank of XLV is 2424
Calmar Ratio Rank
The Martin Ratio Rank of XLV is 2323
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NVO vs. XLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Novo Nordisk A/S (NVO) and Health Care Select Sector SPDR Fund (XLV). 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.


The chart of Sharpe ratio for NVO, currently valued at -1.18, compared to the broader market-2.00-1.000.001.002.003.00
NVO: -1.18
XLV: 0.01
The chart of Sortino ratio for NVO, currently valued at -1.74, compared to the broader market-6.00-4.00-2.000.002.004.00
NVO: -1.74
XLV: 0.11
The chart of Omega ratio for NVO, currently valued at 0.77, compared to the broader market0.501.001.502.00
NVO: 0.77
XLV: 1.01
The chart of Calmar ratio for NVO, currently valued at -0.82, compared to the broader market0.001.002.003.004.005.00
NVO: -0.82
XLV: 0.01
The chart of Martin ratio for NVO, currently valued at -1.66, compared to the broader market-10.00-5.000.005.0010.0015.0020.00
NVO: -1.66
XLV: 0.02

The current NVO Sharpe Ratio is -1.18, which is lower than the XLV Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of NVO and XLV, 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-1.000.001.002.00NovemberDecember2025FebruaryMarchApril
-1.18
0.01
NVO
XLV

Dividends

NVO vs. XLV - Dividend Comparison

NVO's dividend yield for the trailing twelve months is around 2.58%, more than XLV's 1.70% yield.


TTM20242023202220212020201920182017201620152014
NVO
Novo Nordisk A/S
2.58%1.68%0.99%1.18%1.34%1.86%2.12%2.46%2.13%3.94%1.31%1.96%
XLV
Health Care Select Sector SPDR Fund
1.70%1.67%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%

Drawdowns

NVO vs. XLV - Drawdown Comparison

The maximum NVO drawdown since its inception was -70.96%, which is greater than XLV's maximum drawdown of -39.17%. Use the drawdown chart below to compare losses from any high point for NVO and XLV. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-56.52%
-11.56%
NVO
XLV

Volatility

NVO vs. XLV - Volatility Comparison

Novo Nordisk A/S (NVO) has a higher volatility of 16.91% compared to Health Care Select Sector SPDR Fund (XLV) at 9.12%. This indicates that NVO's price experiences larger fluctuations and is considered to be riskier than XLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
16.91%
9.12%
NVO
XLV