NVX vs. ^GSPC
NVX (Novonix Ltd ADR) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 3 years, NVX returned -35.50%/yr vs 21.07%/yr for ^GSPC. At a 0.34 correlation, their price movements are largely independent.
Performance
NVX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, NVX achieves a -33.58% return, which is significantly lower than ^GSPC's 10.79% return.
NVX
- 1D
- -1.35%
- 1M
- -4.50%
- YTD
- -33.58%
- 6M
- -41.16%
- 1Y
- -37.89%
- 3Y*
- -35.50%
- 5Y*
- —
- 10Y*
- —
^GSPC
- 1D
- 0.41%
- 1M
- 4.48%
- YTD
- 10.79%
- 6M
- 10.60%
- 1Y
- 27.02%
- 3Y*
- 21.07%
- 5Y*
- 12.39%
- 10Y*
- 13.65%
NVX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
NVX Novonix Ltd ADR | -33.58% | -43.89% | -7.22% | -52.68% | -81.57% |
^GSPC S&P 500 Index | 10.79% | 16.39% | 23.31% | 24.23% | -16.34% |
Correlation
The correlation between NVX and ^GSPC is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (All Time) Calculated using the full available price history since Feb 3, 2022 | 0.34 |
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Return for Risk
NVX vs. ^GSPC — Risk / Return Rank
NVX
^GSPC
NVX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Novonix Ltd ADR (NVX) and S&P 500 Index (^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.
| NVX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.66 | ||
| Sortino ratioReturn per unit of downside risk | -3.12 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.41 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | -0.48 | 2.98 | -3.46 |
| Martin ratioReturn relative to average drawdown | -0.69 | 13.78 | -14.47 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| NVX | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.38 | 2.28 | -2.66 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.74 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.61 | 0.47 | -1.08 |
Drawdowns
NVX vs. ^GSPC - Drawdown Comparison
The maximum NVX drawdown since its inception was -97.30%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NVX and ^GSPC.
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Drawdown Indicators
| NVX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.30% | -56.78% | -40.52% |
Max Drawdown (1Y)Largest decline over 1 year | -79.59% | -9.10% | -70.49% |
Max Drawdown (3Y)Largest decline over 3 years | -82.25% | -18.90% | -63.35% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -96.99% | -0.33% | -96.66% |
Average DrawdownAverage peak-to-trough decline | -84.09% | -10.72% | -73.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 54.80% | 1.97% | +52.83% |
Volatility
NVX vs. ^GSPC - Volatility Comparison
Novonix Ltd ADR (NVX) has a higher volatility of 15.01% compared to S&P 500 Index (^GSPC) at 2.88%. This indicates that NVX'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.
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Volatility by Period
| NVX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.01% | 2.88% | +12.13% |
Volatility (6M)Calculated over the trailing 6-month period | 54.56% | 9.00% | +45.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 99.79% | 11.89% | +87.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 91.47% | 16.90% | +74.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 91.47% | 18.06% | +73.41% |
Frequently Asked Questions
NVX and ^GSPC have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NVX has higher volatility (15.01%) compared to ^GSPC (2.88%). In terms of maximum drawdown, NVX dropped -97.30% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.28 vs -0.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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