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RHHBY vs. BLV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RHHBY and BLV is -0.03. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.0

Performance

RHHBY vs. BLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Roche Holding AG (RHHBY) and Vanguard Long-Term Bond ETF (BLV). The values are adjusted to include any dividend payments, if applicable.

100.00%120.00%140.00%160.00%180.00%200.00%220.00%JulyAugustSeptemberOctoberNovemberDecember
167.74%
106.10%
RHHBY
BLV

Key characteristics

Sharpe Ratio

RHHBY:

0.12

BLV:

-0.31

Sortino Ratio

RHHBY:

0.32

BLV:

-0.35

Omega Ratio

RHHBY:

1.04

BLV:

0.96

Calmar Ratio

RHHBY:

0.07

BLV:

-0.11

Martin Ratio

RHHBY:

0.27

BLV:

-0.73

Ulcer Index

RHHBY:

9.99%

BLV:

4.86%

Daily Std Dev

RHHBY:

22.02%

BLV:

11.44%

Max Drawdown

RHHBY:

-50.12%

BLV:

-38.29%

Current Drawdown

RHHBY:

-30.20%

BLV:

-28.75%

Returns By Period

In the year-to-date period, RHHBY achieves a -0.73% return, which is significantly higher than BLV's -3.41% return. Over the past 10 years, RHHBY has outperformed BLV with an annualized return of 3.45%, while BLV has yielded a comparatively lower 1.16% annualized return.


RHHBY

YTD

-0.73%

1M

-1.79%

6M

-3.06%

1Y

0.88%

5Y*

0.43%

10Y*

3.45%

BLV

YTD

-3.41%

1M

-1.30%

6M

-1.36%

1Y

-3.25%

5Y*

-3.21%

10Y*

1.16%

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Risk-Adjusted Performance

RHHBY vs. BLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Roche Holding AG (RHHBY) and Vanguard Long-Term Bond ETF (BLV). 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 RHHBY, currently valued at 0.12, compared to the broader market-4.00-2.000.002.000.12-0.31
The chart of Sortino ratio for RHHBY, currently valued at 0.32, compared to the broader market-4.00-2.000.002.004.000.32-0.35
The chart of Omega ratio for RHHBY, currently valued at 1.04, compared to the broader market0.501.001.502.001.040.96
The chart of Calmar ratio for RHHBY, currently valued at 0.07, compared to the broader market0.002.004.006.000.07-0.11
The chart of Martin ratio for RHHBY, currently valued at 0.27, compared to the broader market-5.000.005.0010.0015.0020.0025.000.27-0.73
RHHBY
BLV

The current RHHBY Sharpe Ratio is 0.12, which is higher than the BLV Sharpe Ratio of -0.31. The chart below compares the historical Sharpe Ratios of RHHBY and BLV, 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
0.12
-0.31
RHHBY
BLV

Dividends

RHHBY vs. BLV - Dividend Comparison

RHHBY's dividend yield for the trailing twelve months is around 4.04%, less than BLV's 4.61% yield.


TTM20232022202120202019201820172016201520142013
RHHBY
Roche Holding AG
4.04%3.55%3.23%2.47%2.63%2.69%3.58%3.22%3.62%3.14%3.23%2.88%
BLV
Vanguard Long-Term Bond ETF
4.24%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%

Drawdowns

RHHBY vs. BLV - Drawdown Comparison

The maximum RHHBY drawdown since its inception was -50.12%, which is greater than BLV's maximum drawdown of -38.29%. Use the drawdown chart below to compare losses from any high point for RHHBY and BLV. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%JulyAugustSeptemberOctoberNovemberDecember
-30.20%
-28.75%
RHHBY
BLV

Volatility

RHHBY vs. BLV - Volatility Comparison

Roche Holding AG (RHHBY) has a higher volatility of 5.21% compared to Vanguard Long-Term Bond ETF (BLV) at 3.58%. This indicates that RHHBY's price experiences larger fluctuations and is considered to be riskier than BLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.21%
3.58%
RHHBY
BLV
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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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