Novo Nordisk A/S (NVO)

New York Stock Exchange
USD
US6701002056
30 April 1981  –  24 July 2024

Performance

Annualized Return
19.8%
Sharpe Ratio
0.77
Maximum Drawdown
-70.19%

Metrics

Metric Novo Nordisk A/S
Initial Balance $10,000
Final Balance $24,822,228
Returns   [View more details]
Month-To-Date -7.8%
Year-To-Date 27.21%
3M 5.06%
6M 24.75%
Annual Return (3Y) 45.83%
Annual Return (5Y) 44.44%
Annual Return (All) 19.8%
Risk   [View more details]
Annual Volatility 29.2%
Max Drawdown -70.19%
Sharpe Ratio 0.77
Sortino Ratio 1.11
Adjusted Sortino (S/√2) 0.78

  • 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 April 1981.
  • Final balance: The amount of capital we've accrued over time as of July 2024.
  • 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 43 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.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Novo Nordisk A/S 63.97% 45.83% 44.44% 23.74% 26.46% 19.8%

Annual Returns

Year Novo Nordisk A/S
1981 24.61%
1982 12.06%
1983 29.58%
1984 -56.85%
1985 27.24%
1986 15.2%
1987 -34.98%
1988 81.28%
1989 32.22%
1990 27.44%
1991 45.75%
1992 0.46%
1993 12.93%
1994 -3.07%
1995 46.63%
1996 36.5%
1997 55.99%
1998 -4.14%
1999 -0.64%
2000 39.21%
2001 14.61%
2002 -26.92%
2003 44.97%
2004 35.51%
2005 6.86%
2006 55.84%
2007 61.94%
2008 -19.16%
2009 28.53%
2010 80.78%
2011 5.48%
2012 46.69%
2013 17.58%
2014 18.89%
2015 41.43%
2016 -34.8%
2017 59.01%
2018 -9.5%
2019 31.87%
2020 26.06%
2021 66.64%
2022 24.47%
2023 56.83%
2024 27.21%

Novo Nordisk A/S had 35 positive years and 9 negative years. That's a positive ratio of 80%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1981 - - - 0% 18% 6.6% -11.5% -9.1% 0.8% 23.4% -2.8% 1.9% 24.6%
1982 -2.2% -2.6% -1.3% 18.1% -5.2% -2.1% -1.2% 13.8% -2.5% 7.3% -9% 1.5% 12.1%
1983 12.3% 4.6% -2.7% 16.5% 4.6% 4.6% -8.4% 14.1% 2.5% -3% -0.6% -13.9% 29.6%
1984 -4.9% -0.9% -7.8% 6.7% -14.7% 2.9% -12.3% -5.1% -10.4% -34.5% 12% -3.1% -56.9%
1985 29% -4.1% -5.1% -5.4% 14.6% 5.5% 9.3% -24.7% -7.8% 6.9% 7% 9.3% 27.2%
1986 0% 5.5% -2.4% 2.9% 8.7% 0.8% -3.8% -4.7% -4.1% 3.4% 2.1% 6.9% 15.2%
1987 10.3% 2.8% 3% -3.3% -2.7% 9.3% -1.3% -18.9% -5.5% -23% 0% -7.1% -35%
1988 9.9% 11.2% 7.2% 1.3% 0.4% 18.4% 1.1% 2.9% 12.1% 1.6% -1.3% -1.9% 81.3%
1989 8.1% 0.3% 0.3% 3.4% -2.6% 13% 10.7% -15.2% 0.3% -4.8% 8.3% 10.2% 32.2%
1990 -0.8% -0.3% -3.3% -5.6% 6.5% 5% 9.4% -1.4% -4.5% 7.6% 7.3% 6% 27.4%
1991 5.8% 0.8% -5.5% 5% 1.7% 1.3% 4.9% 2.5% 5.4% -0.2% 7.4% 10% 45.8%
1992 -4.1% -4.5% -0.5% 2.1% 11.6% -2.3% 1% 3.5% 0.1% -6.8% 1.6% -0% 0.5%
1993 6.6% -2.3% -4.5% 5% -1.5% -4.7% -5.8% 1.9% 7.6% 6.3% -0.9% 5.9% 12.9%
1994 7.1% -1.4% 0.5% 2.9% -5.1% 2.5% 4.3% -14.8% 2.7% -2.1% -2.7% 5% -3.1%
1995 -3.2% 9.2% -3% 9.5% 1.9% 0.5% 8.4% -2.2% 7% 5.7% -3.9% 10.5% 46.6%
1996 -5.1% 5.4% -6.6% 2.3% 5.7% 3.3% 1.4% 6.2% 2.6% 5.4% 10.8% 1.4% 36.5%
1997 -0.3% 3.2% 4.9% 1.4% 8.4% -0% -3.2% -4% 9% -2.4% 13.3% 17.4% 56%
1998 -0.5% 3.9% 16.4% -3.1% -2.9% -12.3% -4.1% 1.4% -10.7% -2.8% -0.5% 15.2% -4.1%
1999 -7.1% -7.5% -2.5% -8.6% 4.4% 2.9% 3.7% 5% 2.6% -0.4% 10.5% -1.7% -0.6%
2000 -4.2% 2.2% 10.2% -0.9% 20.9% 2.8% 13.8% 5.6% 9.4% -4.3% -9.9% -7.6% 39.2%
2001 12.8% -0.4% 1% -0.1% 3.1% 9.9% 0.7% -8.2% 1% -4.8% -2.9% 3.2% 14.6%
2002 -10.9% 9.2% 2.8% -26.3% 9.7% 2.7% -27.8% 27.2% -10.6% 2.2% 9.8% -4.7% -26.9%
2003 -5% 3.2% 19% 10.1% -1.5% -3% -3.4% 6.7% 3.2% -3.3% 7.7% 6.7% 45%
2004 -2.3% 17% 1.5% 3.3% -3.8% 12.6% -1.6% 4.9% 2.2% -8.8% 6.2% 2.3% 35.5%
2005 -1.5% 4.9% 2.6% -8.9% 1.5% -1.2% 1.8% -0.1% -4.3% 4% 4.1% 4.9% 6.9%
2006 -0.8% 5.5% 10.7% 3.6% -3.4% 2.3% -3.3% 20% 1% 0.9% 3% 8% 55.8%
2007 2.6% -0.4% 10.5% 8.7% 6.9% 3.2% -3.4% 6.6% 8.3% 3% 2.2% 1.8% 61.9%
2008 -3.3% 9% 3.3% -0.8% -4.9% 1.1% -3.8% -12.5% -7.9% 4.5% -4.5% 0.6% -19.2%
2009 3.4% -8.9% 2.5% -1% 9.6% 4.6% 7.2% 4.5% 3.2% -1.3% 7.4% -4.3% 28.5%
2010 5.6% 5.5% 11.2% 6.5% -6.4% 5.5% 6.2% -0.5% 15% 6.5% -5.1% 13.2% 80.8%
2011 0.5% 12% 1.9% 1.7% -1.1% -0.6% -2.6% -12.6% -6.7% 6.8% 6.8% 1.5% 5.5%
2012 3.4% 17.8% 2.4% 6% -9% 8.6% 6.3% 1.7% 0.5% 1.6% -1% 2.9% 46.7%
2013 13% -5.1% -4.2% 9.4% -8.8% -3.8% 9% -1.2% 1.4% -1.5% 7.2% 3.4% 17.6%
2014 7.4% 19.8% -0.3% -0.6% -6.9% 9.3% -0.3% -0.2% 3.6% -5.1% 0.6% -6.9% 18.9%
2015 5.3% 7.2% 15.2% 5.4% 0.4% -3.1% 7.7% -6.3% -1.9% -2% 3.4% 5.7% 41.4%
2016 -3.8% -8% 9.2% 3% 0.5% -4% 5.9% -16.4% -11% -14.6% -5.5% 6.7% -34.8%
2017 0.9% -2.3% 1% 12.8% 9.5% 1.2% -1.1% 14.7% 1.1% 3.4% 4% 3.7% 59%
2018 3.4% -7.2% -1.1% -4.7% 1.3% -3% 7.9% 0.7% -4.1% -8.4% 8% -1.2% -9.5%
2019 2.1% 4.1% 10.2% -6.3% -3.7% 8.1% -6.1% 10.7% -0.8% 6.8% 1.7% 3.1% 31.9%
2020 5.1% -4.4% 6.5% 5.2% 4.1% -0.7% -0.2% 2.7% 5.1% -8% 5.1% 4.1% 26.1%
2021 -0.4% 2.4% -2.7% 9.7% 6.7% 6.2% 10.5% 9.1% -4% 14.7% -3% 4.8% 66.6%
2022 -10.8% 3.1% 9.9% 2.7% -3.2% 0.9% 4.2% -7.6% -6.1% 9.2% 14.5% 8.6% 24.5%
2023 2.5% 1.6% 14.7% 5% -4% 0.9% -0.5% 16.3% -2% 6.2% 5.5% 1.6% 56.8%
2024 10.9% 4.4% 7.2% -0.1% 5.4% 5.5% -7.8% - - - - - 27.2%
Pos 54.8% 62.8% 62.8% 65.1% 56.8% 72.1% 50% 53.5% 58.1% 51.2% 64.3% 76.2% 79.5%
Avg 2.3% 2.7% 3.1% 2.2% 1.7% 2.8% 0.5% 0.4% 0.1% -0.1% 2.9% 3.2% 23.8%

Other Return Metrics

Metric Novo Nordisk A/S
Cumulative Return 248122.28%
Enh Ann Return 24.38%
Best Year 81.28%
Worst Year -56.85%
Best Month 28.95%
Worst Month -34.46%
Best Day 17.86%
Worst Day -26.14%
Win Ratio (Yearly) 79.55%
Win Ratio (Quarterly) 70.11%
Win Ratio (Monthly) 60.42%
Win Ratio (Daily) 51.69%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Novo Nordisk A/S 32.6% 30.52% 29.12% 26.99% 27.53% 29.2%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Novo Nordisk A/S 1.68 1.39 1.41 0.93 0.99 0.77

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 days Drawdown
1983-09-21 1987-10-19 1991-01-31 2689 -70.19%
2001-08-07 2002-08-05 2004-02-06 913 -51.07%
2015-08-04 2016-11-23 2017-12-28 877 -44.65%
1998-05-05 1999-03-22 2000-05-25 751 -42.91%
2008-04-09 2009-03-09 2010-02-03 665 -40.93%

The Novo Nordisk A/S took approximately 39 months on average to recover from a major drawdown. The longest drawdown lasted 90 months.

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.

Other Risk Metrics

Metric Novo Nordisk A/S
Sharpe Ratio 0.77
Sortino Ratio 1.11
Adjusted Sortino (S/√2) 0.78
Calmar Ratio 0.28
Omega Ratio 1.15
Gain to Pain Ratio 0.15
Winckel Ratio 63.64
Ulcer Index 0.23
Kelly Criterion 6.85%
Skew -0.57
Kurtosis 16.43
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