^SSMI vs. NESN.SW
Compare and contrast key facts about Swiss Market Index (^SSMI) and Nestlé S.A. (NESN.SW).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SSMI or NESN.SW.
Key characteristics
| ^SSMI | NESN.SW | |
|---|---|---|
| YTD Return | 5.80% | -16.62% |
| 1Y Return | 10.04% | -18.37% |
| 3Y Return (Ann) | -1.99% | -11.47% |
| 5Y Return (Ann) | 2.71% | -2.90% |
| 10Y Return (Ann) | 2.82% | 3.86% |
| Sharpe Ratio | 0.89 | -1.11 |
| Sortino Ratio | 1.25 | -1.46 |
| Omega Ratio | 1.16 | 0.82 |
| Calmar Ratio | 0.56 | -0.52 |
| Martin Ratio | 4.34 | -2.21 |
| Ulcer Index | 2.30% | 8.24% |
| Daily Std Dev | 11.20% | 16.33% |
| Max Drawdown | -56.31% | -39.85% |
| Current Drawdown | -9.15% | -34.10% |
Correlation
The correlation between ^SSMI and NESN.SW is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
^SSMI vs. NESN.SW - Performance Comparison
In the year-to-date period, ^SSMI achieves a 5.80% return, which is significantly higher than NESN.SW's -16.62% return. Over the past 10 years, ^SSMI has underperformed NESN.SW with an annualized return of 2.82%, while NESN.SW has yielded a comparatively higher 3.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^SSMI vs. NESN.SW - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Swiss Market Index (^SSMI) and Nestlé S.A. (NESN.SW). 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.
Drawdowns
^SSMI vs. NESN.SW - Drawdown Comparison
The maximum ^SSMI drawdown since its inception was -56.31%, which is greater than NESN.SW's maximum drawdown of -39.85%. Use the drawdown chart below to compare losses from any high point for ^SSMI and NESN.SW. For additional features, visit the drawdowns tool.
Volatility
^SSMI vs. NESN.SW - Volatility Comparison
The current volatility for Swiss Market Index (^SSMI) is 3.89%, while Nestlé S.A. (NESN.SW) has a volatility of 5.20%. This indicates that ^SSMI experiences smaller price fluctuations and is considered to be less risky than NESN.SW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.