Performance

NVS+14.29%SPY+13.70%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
NVS	+0.16%	+8.72%	+14.29%	+14.04%	-18.66%	0.47
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73

Summary

NVS vs SPY

Over the past year, NVS returned +14.29% against +13.70% for SPY. Over five years, NVS averaged +14.04% a year, compared with +10.77% for SPY. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -18.66% for NVS.

Current Drawdown

NVS-10.67%SPY-2.03%

Rolling Volatility

NVS+1.17%SPY+0.63%

METRICS

Correlation Matrix

	NVS	SPY
NVS	1.00	0.15
SPY	0.15	1.00

Metrics

Risk Indicators

NVSSPY

Alpha

9.78%

0.00%

Beta

0.32x

1.00x

Sharpe

0.47

0.73

Sortino

0.63

1.07

Omega

1.09

1.13

Calmar

0.77

1.50

Martin

1.41

4.19

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NVS vs SPY: returns, Sharpe ratio and drawdown

NVS vs SPY

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