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SAN.PA vs. SC0T.DE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SAN.PASC0T.DE
YTD Return-2.30%5.19%
1Y Return-13.04%-0.21%
3Y Return (Ann)4.72%6.80%
5Y Return (Ann)6.75%9.60%
10Y Return (Ann)5.28%9.15%
Sharpe Ratio-0.350.13
Daily Std Dev25.79%12.55%
Max Drawdown-50.84%-26.52%
Current Drawdown-15.66%-2.29%

Correlation

-0.50.00.51.00.5

The correlation between SAN.PA and SC0T.DE is 0.54, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SAN.PA vs. SC0T.DE - Performance Comparison

In the year-to-date period, SAN.PA achieves a -2.30% return, which is significantly lower than SC0T.DE's 5.19% return. Over the past 10 years, SAN.PA has underperformed SC0T.DE with an annualized return of 5.28%, while SC0T.DE has yielded a comparatively higher 9.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%NovemberDecember2024FebruaryMarchApril
-11.57%
10.98%
SAN.PA
SC0T.DE

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Sanofi

Invesco European Health Care Sector UCITS ETF

Risk-Adjusted Performance

SAN.PA vs. SC0T.DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sanofi (SAN.PA) and Invesco European Health Care Sector UCITS ETF (SC0T.DE). 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.


SAN.PA
Sharpe ratio
The chart of Sharpe ratio for SAN.PA, currently valued at -0.45, compared to the broader market-2.00-1.000.001.002.003.004.00-0.45
Sortino ratio
The chart of Sortino ratio for SAN.PA, currently valued at -0.39, compared to the broader market-4.00-2.000.002.004.006.00-0.39
Omega ratio
The chart of Omega ratio for SAN.PA, currently valued at 0.93, compared to the broader market0.501.001.500.93
Calmar ratio
The chart of Calmar ratio for SAN.PA, currently valued at -0.53, compared to the broader market0.002.004.006.00-0.53
Martin ratio
The chart of Martin ratio for SAN.PA, currently valued at -1.16, compared to the broader market0.0010.0020.0030.00-1.16
SC0T.DE
Sharpe ratio
The chart of Sharpe ratio for SC0T.DE, currently valued at -0.10, compared to the broader market-2.00-1.000.001.002.003.004.00-0.10
Sortino ratio
The chart of Sortino ratio for SC0T.DE, currently valued at -0.04, compared to the broader market-4.00-2.000.002.004.006.00-0.04
Omega ratio
The chart of Omega ratio for SC0T.DE, currently valued at 0.99, compared to the broader market0.501.001.500.99
Calmar ratio
The chart of Calmar ratio for SC0T.DE, currently valued at -0.08, compared to the broader market0.002.004.006.00-0.08
Martin ratio
The chart of Martin ratio for SC0T.DE, currently valued at -0.22, compared to the broader market0.0010.0020.0030.00-0.22

SAN.PA vs. SC0T.DE - Sharpe Ratio Comparison

The current SAN.PA Sharpe Ratio is -0.35, which is lower than the SC0T.DE Sharpe Ratio of 0.13. The chart below compares the 12-month rolling Sharpe Ratio of SAN.PA and SC0T.DE.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50NovemberDecember2024FebruaryMarchApril
-0.45
-0.10
SAN.PA
SC0T.DE

Dividends

SAN.PA vs. SC0T.DE - Dividend Comparison

SAN.PA's dividend yield for the trailing twelve months is around 4.06%, while SC0T.DE has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
SAN.PA
Sanofi
4.06%3.97%3.71%3.63%4.02%3.44%4.03%4.14%3.83%3.65%3.72%3.61%
SC0T.DE
Invesco European Health Care Sector UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SAN.PA vs. SC0T.DE - Drawdown Comparison

The maximum SAN.PA drawdown since its inception was -50.84%, which is greater than SC0T.DE's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for SAN.PA and SC0T.DE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-15.22%
-5.13%
SAN.PA
SC0T.DE

Volatility

SAN.PA vs. SC0T.DE - Volatility Comparison

Sanofi (SAN.PA) has a higher volatility of 6.15% compared to Invesco European Health Care Sector UCITS ETF (SC0T.DE) at 4.11%. This indicates that SAN.PA's price experiences larger fluctuations and is considered to be riskier than SC0T.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
6.15%
4.11%
SAN.PA
SC0T.DE