Novo Nordisk A/S (NVO)

New York Stock Exchange
USD
US6701002056
4 January 1982  –  25 January 2022

Performance

Annualized Return
15.84%
Sharpe Ratio
0.66
Maximum Drawdown
-71.75%

Metrics

Metric Novo Nordisk A/S
Initial Balance $10,000
Final Balance $3,634,114
Returns
Month-To-Date -15.04%
Year-To-Date -15.04%
3M -10.23%
6M 5.43%
Annual Return (1Y) 33.21%
Annual Return (3Y) 29.93%
Annual Return (5Y) 24.48%
Annual Return (10Y) 17.06%
Annual Return (All) 15.84%
Enh Ann Return 20.44%
Best Year 84.61%
Worst Year -57.59%
Risk
Annual Volatility 28.77%
Max Drawdown -71.75%
Sharpe Ratio 0.66
Sortino Ratio 0.94
Adjusted Sortino (S/√2) 0.66
Ulcer Index 0.25
Gain to Pain Ratio 0.13

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on January 1982.
  • Final balance: The amount of capital we've accrued over time as of January 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 40 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Novo Nordisk A/S
1982 10.7%
1983 27.65%
1984 -57.59%
1985 23.66%
1986 13.1%
1987 -34.29%
1988 84.61%
1989 30.78%
1990 25.89%
1991 44.63%
1992 -0.18%
1993 12.24%
1994 -3.57%
1995 45.31%
1996 37.25%
1997 55.02%
1998 -7.45%
1999 -2%
2000 37.84%
2001 13.92%
2002 -27.39%
2003 43.33%
2004 33.97%
2005 4.85%
2006 50.35%
2007 56.76%
2008 -19.99%
2009 26.35%
2010 78.51%
2011 3.52%
2012 43.43%
2013 14.79%
2014 16.11%
2015 38.76%
2016 -37.02%
2017 52.95%
2018 -12.97%
2019 28.7%
2020 23.32%
2021 63.47%
2022 -15.04%

Novo Nordisk A/S had 30 positive years and 11 negative years. That's a positive ratio of 73%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1982 -1.6% -2.6% -1.3% 16% -5.2% -2.1% -1.2% 13.8% -2.5% 7.3% -8.9% 1.4% 15.4%
1983 12.3% 4.6% -2.7% 14.7% 4.6% 4.6% -8.3% 14.1% 2.5% -3% -0.6% -13.8% 28.4%
1984 -4.9% -0.9% -7.8% 4.9% -14.7% 2.9% -12.3% -5.1% -10.4% -34.5% 12% -3.1% -74.9%
1985 29% -4.1% -5.1% -8.1% 14.6% 5.5% 9.3% -24.7% -7.8% 6.9% 7% 9.3% 26.8%
1986 0% 5.5% -2.4% 1% 8.7% 0.8% -3.8% -4.7% -4.1% 3.5% 2.1% 6.9% 15.4%
1987 10.2% 2.8% 3% -2.2% -2.7% 9.3% -1.3% -18.9% -5.5% -23% 0% -7% -32.5%
1988 9.9% 11.1% 7.2% 3.2% 0.5% 18.4% 1.1% 2.9% 12.1% 1.6% -1.2% -1.9% 64.5%
1989 8.1% 0.3% 0.3% 2.3% -2.7% 13% 10.7% -15.2% 0.3% -4.8% 8.3% 10.2% 29.1%
1990 -0.8% -0.2% -3.3% -6.7% 6.5% 5.1% 9.3% -1.4% -4.4% 7.6% 7.3% 5.9% 25.1%
1991 5.8% 0.8% -5.4% 4.2% 1.7% 1.3% 4.9% 2.5% 5.4% -0.2% 7.4% 10% 39.2%
1992 -4.1% -4.5% -0.5% 1.4% 11.6% -2.3% 1% 3.4% 0.1% -6.8% 1.6% -0% 1.8%
1993 6.6% -2.3% -4.5% 4.3% -1.5% -4.7% -5.8% 1.9% 7.6% 6.3% -0.9% 5.9% 13.7%
1994 7.1% -1.4% 0.5% 2.4% -5.1% 2.4% 4.3% -14.7% 2.7% -2.1% -2.7% 4.9% -1.1%
1995 -3.2% 9.3% -3% 8.5% 1.9% 0.5% 8.4% -2.2% 7% 5.7% -3.9% 10.5% 39.5%
1996 -0.7% 0.7% -5.8% 1.9% 4% 2.6% 3.2% 8.3% 1.3% 5.7% 10.5% 1.3% 33.5%
1997 -0.3% 3.2% 4.9% 0.7% 8.4% -0% -3.2% -4% 9.1% -2.5% 13.3% 17.4% 46.6%
1998 -0.5% 3.9% 12.4% -3.1% -2.9% -12.3% -4.1% 1.4% -10.7% -2.8% -0.5% 15.2% -1.7%
1999 -7.1% -7.5% -3.8% -8.6% 4.4% 2.9% 3.7% 5% 2.6% -0.4% 10.5% -1.7% 1.4%
2000 -4.2% 2.2% 9.1% -0.9% 20.1% 3.4% 13.8% 5.6% 9.4% -4.2% -9.9% -7.6% 40.7%
2001 12.8% -0.4% 0.4% -0.1% 3.1% 9.9% 0.7% -8.2% 1% -4.8% -2.9% 3.2% 19.9%
2002 -10.8% 9.2% 2.2% -26.3% 9.7% 2.7% -27.8% 27.2% -10.6% 2.2% 9.8% -4.7% -21.1%
2003 -5% 3.2% 17.7% 10.1% -1.5% -3% -3.4% 6.7% 3.2% -3.3% 7.7% 6.7% 40.7%
2004 -2.3% 17% 0.3% 3.3% -3.8% 12.5% -1.6% 4.9% 2.2% -8.8% 6.2% 2.3% 32.2%
2005 -1.5% 4.9% 0.7% -8.9% 1.5% -1.2% 1.8% -0.1% -4.3% 4% 4.1% 4.9% 7.3%
2006 -0.8% 5.4% 6.8% 3.6% -3.4% 2.3% -3.3% 20% 1% 0.9% 3% 8% 43.1%
2007 2.6% -0.4% 7% 8.7% 6.9% 3.2% -3.4% 6.6% 8.3% 3% 2.2% 1.8% 48.7%
2008 -3.3% 9% 2.3% -0.8% -4.9% 1.1% -3.8% -12.5% -7.8% 4.5% -4.5% 0.6% -13.2%
2009 3.4% -8.9% 0.8% -1% 9.6% 4.6% 7.2% 4.5% 3.2% -1.3% 7.4% -4.3% 28.4%
2010 5.6% 5.5% 9.8% 6.5% -6.4% 5.5% 6.2% -0.5% 15% 6.5% -5.1% 13.2% 61.5%
2011 0.5% 12% -0% 1.7% -1.1% -0.6% -2.6% -12.6% -6.7% 6.8% 6.8% 1.5% 8.1%
2012 3.4% 17.7% 0.1% 6% -9% 8.6% 6.3% 1.7% 0.4% 1.6% -1% 2.9% 39.2%
2013 13% -5.1% -6.4% 9.4% -8.8% -3.8% 9% -1.2% 1.4% -1.5% 7.2% 3.4% 16.9%
2014 7.4% 19.8% -2.6% -0.6% -6.9% 9.2% -0.3% -0.2% 3.6% -5.1% 0.6% -6.9% 17.3%
2015 5.3% 7.2% 13% 5.4% 0.4% -3% 7.7% -6.3% -1.9% -2% 3.4% 5.7% 35.8%
2016 -3.8% -8% 6.8% 3% 0.4% -4% 5.9% -17.4% -11% -14.5% -5.5% 6.7% -41.8%
2017 0.9% -2.3% -1.6% 12.8% 9.5% 1.2% -1.1% 13.1% 1.1% 3.4% 4% 3.7% 45.2%
2018 3.4% -7.2% -3% -4.7% 1.3% -3% 7.9% -1.2% -4.1% -8.4% 8% -1.2% -11.1%
2019 2.1% 4.1% 8.5% -6.3% -3.7% 8.1% -6.1% 9.7% -0.8% 6.8% 1.7% 3.1% 27.3%
2020 5.1% -4.4% 5% 5.2% 4.1% -0.7% -0.2% 1.9% 5.1% -8% 5.1% 4.1% 25.9%
2021 -0.4% 2.4% -4.1% 9.7% 6.7% 6.2% 10.5% 8.5% -4% 14.7% -3% 4.8% 52.2%
2022 -15% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -16.1%
Pos 52.5% 60% 55% 65% 57.5% 67.5% 52.5% 52.5% 60% 47.5% 65% 72.5% 78%
Avg 2.1% 2.5% 1.4% 1.8% 1.4% 2.7% 1% 0.3% 0.2% -1.1% 2.7% 3.1% 18.5%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Novo Nordisk A/S

start valley end Drawdown days
1983-09-21 1987-10-19 1991-02-06 -71.75% 2695
2001-08-07 2002-08-05 2004-02-09 -51.38% 916
2015-08-04 2016-11-23 2018-01-19 -46.53% 899
1998-05-05 1999-03-22 2000-05-26 -42.92% 752
2008-04-09 2009-04-15 2010-02-16 -41.56% 678

The Novo Nordisk A/S took approximately 40 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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