PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
NVX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between NVX and ^GSPC is 0.35, 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.

NVX vs. ^GSPC

Last updated Jun 1, 2025

Compare and contrast key facts about Novonix Ltd ADR (NVX) and S&P 500 (^GSPC).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NVX or ^GSPC.

Performance

NVX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Novonix Ltd ADR (NVX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

NVX:

-0.45

^GSPC:

0.66

Sortino Ratio

NVX:

-0.28

^GSPC:

0.94

Omega Ratio

NVX:

0.97

^GSPC:

1.14

Calmar Ratio

NVX:

-0.46

^GSPC:

0.60

Martin Ratio

NVX:

-1.16

^GSPC:

2.28

Ulcer Index

NVX:

37.76%

^GSPC:

5.01%

Daily Std Dev

NVX:

92.80%

^GSPC:

19.77%

Max Drawdown

NVX:

-95.92%

^GSPC:

-56.78%

Current Drawdown

NVX:

-94.92%

^GSPC:

-3.78%

Returns By Period

In the year-to-date period, NVX achieves a -37.22% return, which is significantly lower than ^GSPC's 0.51% return.

NVX

YTD

-37.22%

1M

-0.88%

6M

-42.93%

1Y

-40.84%

3Y*

-54.24%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

0.51%

1M

5.49%

6M

-2.00%

1Y

12.02%

3Y*

12.68%

5Y*

14.19%

10Y*

10.85%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Novonix Ltd ADR

S&P 500

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

NVX vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
NVX
The Risk-Adjusted Performance Rank of NVX is 2424
Overall Rank
The Sharpe Ratio Rank of NVX is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of NVX is 2727
Sortino Ratio Rank
The Omega Ratio Rank of NVX is 2929
Omega Ratio Rank
The Calmar Ratio Rank of NVX is 2121
Calmar Ratio Rank
The Martin Ratio Rank of NVX is 2020
Martin Ratio Rank
^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6363
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 5959
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6262
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6363
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 6969
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.

NVX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Novonix Ltd ADR (NVX) and S&P 500 (^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.

The current NVX Sharpe Ratio is -0.45, which is lower than the ^GSPC Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of NVX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

NVX vs. ^GSPC - Drawdown Comparison

The maximum NVX drawdown since its inception was -95.92%, 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.

Loading data...

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

NVX vs. ^GSPC - Volatility Comparison

Novonix Ltd ADR (NVX) has a higher volatility of 26.85% compared to S&P 500 (^GSPC) at 4.77%. 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.

Loading data...