PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^NIFTY200 vs. AUROPHARMA.NS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^NIFTY200AUROPHARMA.NS
YTD Return19.43%36.74%
1Y Return32.93%64.42%
3Y Return (Ann)13.11%28.27%
5Y Return (Ann)18.76%26.79%
10Y Return (Ann)13.75%13.47%
Sharpe Ratio2.602.36
Sortino Ratio3.143.13
Omega Ratio1.561.39
Calmar Ratio5.483.83
Martin Ratio23.7412.32
Ulcer Index1.57%5.31%
Daily Std Dev14.36%27.80%
Max Drawdown-64.04%-86.50%
Current Drawdown-4.72%-5.48%

Correlation

-0.50.00.51.00.5

The correlation between ^NIFTY200 and AUROPHARMA.NS is 0.46, 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

^NIFTY200 vs. AUROPHARMA.NS - Performance Comparison

In the year-to-date period, ^NIFTY200 achieves a 19.43% return, which is significantly lower than AUROPHARMA.NS's 36.74% return. Both investments have delivered pretty close results over the past 10 years, with ^NIFTY200 having a 13.75% annualized return and AUROPHARMA.NS not far behind at 13.47%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%MayJuneJulyAugustSeptemberOctober
13.77%
31.69%
^NIFTY200
AUROPHARMA.NS

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^NIFTY200 vs. AUROPHARMA.NS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NIFTY 200 (^NIFTY200) and Aurobindo Pharma Limited (AUROPHARMA.NS). 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.


^NIFTY200
Sharpe ratio
The chart of Sharpe ratio for ^NIFTY200, currently valued at 2.41, compared to the broader market0.001.002.003.002.41
Sortino ratio
The chart of Sortino ratio for ^NIFTY200, currently valued at 2.94, compared to the broader market-1.000.001.002.003.004.002.94
Omega ratio
The chart of Omega ratio for ^NIFTY200, currently valued at 1.50, compared to the broader market1.001.201.401.601.50
Calmar ratio
The chart of Calmar ratio for ^NIFTY200, currently valued at 4.52, compared to the broader market0.001.002.003.004.005.004.52
Martin ratio
The chart of Martin ratio for ^NIFTY200, currently valued at 19.61, compared to the broader market0.005.0010.0015.0020.0019.61
AUROPHARMA.NS
Sharpe ratio
The chart of Sharpe ratio for AUROPHARMA.NS, currently valued at 2.46, compared to the broader market0.001.002.003.002.46
Sortino ratio
The chart of Sortino ratio for AUROPHARMA.NS, currently valued at 3.28, compared to the broader market-1.000.001.002.003.004.003.28
Omega ratio
The chart of Omega ratio for AUROPHARMA.NS, currently valued at 1.41, compared to the broader market1.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for AUROPHARMA.NS, currently valued at 2.58, compared to the broader market0.001.002.003.004.005.002.58
Martin ratio
The chart of Martin ratio for AUROPHARMA.NS, currently valued at 13.85, compared to the broader market0.005.0010.0015.0020.0013.85

^NIFTY200 vs. AUROPHARMA.NS - Sharpe Ratio Comparison

The current ^NIFTY200 Sharpe Ratio is 2.60, which is comparable to the AUROPHARMA.NS Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of ^NIFTY200 and AUROPHARMA.NS, 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 Ratio2.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.41
2.46
^NIFTY200
AUROPHARMA.NS

Drawdowns

^NIFTY200 vs. AUROPHARMA.NS - Drawdown Comparison

The maximum ^NIFTY200 drawdown since its inception was -64.04%, smaller than the maximum AUROPHARMA.NS drawdown of -86.50%. Use the drawdown chart below to compare losses from any high point for ^NIFTY200 and AUROPHARMA.NS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-5.51%
-5.48%
^NIFTY200
AUROPHARMA.NS

Volatility

^NIFTY200 vs. AUROPHARMA.NS - Volatility Comparison

The current volatility for NIFTY 200 (^NIFTY200) is 4.07%, while Aurobindo Pharma Limited (AUROPHARMA.NS) has a volatility of 6.34%. This indicates that ^NIFTY200 experiences smaller price fluctuations and is considered to be less risky than AUROPHARMA.NS 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%MayJuneJulyAugustSeptemberOctober
4.07%
6.34%
^NIFTY200
AUROPHARMA.NS