Novo Nordisk vs Novartis (NVO vs NVS) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: NVO or NVS?

Over the past year, NVS looks like the better investment: it had higher total return (NVS +35.5% vs NVO -37.3%) and a higher Sharpe ratio (NVS 1.40 vs NVO -0.70). On risk, NVS was less volatile (NVS 20.5% vs NVO 52.7%), NVS had a smaller max drawdown (NVS -10.7% vs NVO -56.6%), and NVS had less severe losses on the worst 5% of days (Expected Shortfall of NVS -2.86% vs NVO -9.01%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: NVO or NVS?

Over the past year, NVS outperformed NVO. NVS returned +35.5% compared with NVO’s -37.3%. NVS had the better risk-adjusted return, with a Sharpe ratio of 1.40 versus NVO’s -0.70. NVS was less volatile than NVO, and NVS had a smaller max drawdown than NVO.

Total Return

NVO -37.3%

NVS +35.5%

Sharpe Ratio

NVO -0.70

NVS 1.40

Annualized Volatility

NVO 52.7%

NVS 20.5%

Max Drawdown

NVO -56.6%

NVS -10.7%

Metric winners: Total Return: NVS; Sharpe Ratio: NVS; Annualized Volatility: NVS (less volatile); Max Drawdown: NVS (smaller drawdown).

NVO Total Return

↓ -37.3%

NVS Total Return

↑ +35.5%

Relative Performance of NVO vs NVS (Normalized to 100)

NVO NVS

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: NVO delivered a -37.3% total return, while NVS returned +35.5% over the same period. NVS outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): NVO had a negative Sharpe (-0.70) while NVS was positive (1.40), indicating NVS had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): NVO was more volatile, with 52.7% annualized volatility, versus 20.5% for NVS.
Maximum Drawdown: NVS's maximum drawdown was -10.7%, while NVO experienced a deeper drawdown of -56.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), NVO's VaR was -4.18% and its Expected Shortfall (CVaR) was -9.01%; NVS's were -2.08% and -2.86%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: NVO -2.12 vs NVS -0.24. Excess kurtosis: NVO 13.56 vs NVS 0.66. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): NVO 5/5, NVS 9/6. Worst day: NVO -21.83% (2025-07-29) vs NVS -4.42% (2025-10-28). Best day: NVO +9.92% (2026-02-06) vs NVS +3.34% (2025-09-30).
Risk ratios: Sortino - NVO: -0.89 vs. NVS: 2.09 , Calmar - NVO: -0.66 vs. NVS: 3.33 , Sterling - NVO: -0.74 vs. NVS: 2.94 , Treynor - NVO: -0.25 vs. NVS: 0.70 , Ulcer Index - NVO: 34.38% vs. NVS: 3.93%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

NVO $6,272.41 -37.3%

NVS $13,554.31 +35.5%

Difference: $7,281.9 (NVS ahead)

Novo Nordisk vs Novartis Performance Over Time

Metric	NVO	NVS
30 Days	4.4%	-0.8%
90 Days	-38.1%	3.3%
180 Days	-27.3%	16.6%
1 Year	-37.3%	35.5%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Novo Nordisk vs Novartis Correlation

Average Correlation

moderately correlated

0.31

Current (30-day) 0.26

30-day rolling range -0.12 to +0.71

Novo Nordisk and Novartis are moderately correlated over the past year. With a correlation of 0.31, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.26
Average (full period)	0.31
Minimum (30-day rolling)	-0.12
Maximum (30-day rolling)	0.71

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

NVO

-56.6%

NVS

-10.7%

Novo Nordisk experienced its maximum drawdown of -56.6% from 2025-06-12 to 2026-03-27. It has not yet recovered to its previous peak.

Novartis experienced its maximum drawdown of -10.7% from 2026-02-27 to 2026-03-20. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Novo Nordisk vs Novartis Volatility (NVO vs NVS)

NVO Volatility

52.7%

±3.32% 1-day vol

NVS Volatility

20.5%

±1.29% 1-day vol

1-day volatility (1σ)

NVO

±3.32%

NVS

±1.29%

Novo Nordisk's 52.7% annualized volatility translates to about ±3.32% one-standard-deviation daily volatility.

Novartis's 20.5% annualized volatility translates to about ±1.29% one-standard-deviation daily volatility.

NVO had the wider volatility profile over this window. That means its day-to-day return distribution was broader; NVS was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of NVO and NVS

Sharpe Ratio: NVO vs. NVS

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. NVO had a negative Sharpe (-0.70) while NVS was positive (1.40), indicating NVS had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of NVO and NVS

Sortino Ratio: NVO vs. NVS

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). NVS had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: NVO 41.6% vs NVS 13.7%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of NVO and NVS

Calmar Ratio: NVO vs. NVS

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. NVS posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of NVO and NVS

Sterling Ratio: NVO vs. NVS

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). NVS posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of NVO and NVS

Treynor Ratio: NVO vs. NVS

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. NVS posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of NVO and NVS

Ulcer Index: NVO vs. NVS

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. NVS had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Novo Nordisk vs. Novartis

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: NVO vs. NVS (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	NVO	NVS
5% VaR (daily log return)	-4.18%	-2.08%
5% Expected Shortfall (CVaR)	-9.01% (worst 13 days)	-2.86% (worst 13 days)
Skew	-2.12	-0.24
Excess kurtosis	13.56	0.66
2σ tail days (down / up)	5 / 5	9 / 6
Worst day	-21.83% (2025-07-29)	-4.42% (2025-10-28)
Best day	+9.92% (2026-02-06)	+3.34% (2025-09-30)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: NVO vs. NVS (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both NVO and NVS crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both NVO and NVS had a big down day (2σ)

None in this window.

Days when NVO had a big down day

Date (interval)	NVO	NVS
2025-07-29	-21.83%	+0.90%
2025-07-30	-7.25%	-0.50%
2026-02-03	-14.64%	-0.78%
2026-02-05	-8.16%	+0.68%
2026-02-20 → 2026-02-23	-16.43%	+1.25%

Days when NVS had a big down day

Date (interval)	NVO	NVS
2025-07-17	-2.61%	-3.25%
2025-07-31	-5.92%	-2.48%
2025-08-06	-3.90%	-3.59%
2025-09-12	+1.05%	-2.80%
2025-10-28	-1.59%	-4.42%
2025-11-18	-1.88%	-2.69%
2026-01-28	-4.07%	-2.86%
2026-03-05	+1.48%	-2.51%
2026-03-18	-2.55%	-3.25%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Novo Nordisk vs. Novartis (1-Year)

Metric	NVO	NVS
Total Return	-37.3%	+35.5%
Annualized Volatility	52.7%	20.5%
Sharpe Ratio	-0.70	1.40
Sortino Ratio	-0.89	2.09
Calmar Ratio	-0.66	3.33
Sterling Ratio	-0.74	2.94
Treynor Ratio	-0.25	0.70
Ulcer Index	34.38%	3.93%
Max Drawdown	-56.6%	-10.7%
Avg Correlation to S&P 500	0.33	0.19
5% VaR (daily log return)	-4.18%	-2.08%
5% Expected Shortfall (CVaR)	-9.01%	-2.86%
Skew	-2.12	-0.24
Excess kurtosis	13.56	0.66
2σ tail days (down / up)	5 / 5	9 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): NVO: 252 days/year; NVS: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

NVO: 4.17% over 2025-04-25 → 2026-04-23.

NVS: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

NVO: ≈ -13.9%/yr

NVS: ≈ -2.1%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Novo Nordisk vs Novartis: Frequently Asked Questions

Which has higher volatility: NVO or NVS?

NVO showed higher volatility at 52.7% annualized, compared to 20.5% for NVS Over the past year. Higher volatility means larger price swings in both directions.

Does NVO provide diversification when held with NVS?

NVO and NVS are moderately correlated over the past year, with an average correlation of 0.31. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for NVO vs NVS?

Over the past year, NVO's 5% VaR was -4.18% and its 5% Expected Shortfall was -9.01% (worst 13 days). NVS's were -2.08% and -2.86% (worst 13 days).

Do NVO and NVS crash together on bad days?

On shared dates (n=249), when NVS has a 2σ down day, NVO also does 0.0% (0/9 days). In the other direction, when NVO has one, NVS also does 0.0% (0/5 days).

Which has better risk-adjusted returns: NVO or NVS?

NVO had a negative Sharpe (-0.70) while NVS was positive (1.40) Over the past year, indicating NVS had meaningfully better risk-adjusted performance.

Can NVO and NVS be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. NVO's higher volatility (52.7%) means even small allocations can materially impact overall portfolio risk.

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Which is a better investment: NVO or NVS?

Share This Comparison of NVO vs NVS

Relative Performance of NVO vs NVS (Normalized to 100)

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Key Takeaways

Investment Comparison

Novo Nordisk vs Novartis Performance Over Time

Novo Nordisk vs Novartis Correlation

Drawdown

Novo Nordisk vs Novartis Volatility (NVO vs NVS)

Risk-adjusted ratios

Sharpe Ratio of NVO and NVS

Sharpe Ratio: NVO vs. NVS

Sortino Ratio of NVO and NVS

Sortino Ratio: NVO vs. NVS

Calmar Ratio of NVO and NVS

Calmar Ratio: NVO vs. NVS

Sterling Ratio of NVO and NVS

Sterling Ratio: NVO vs. NVS

Treynor Ratio of NVO and NVS

Treynor Ratio: NVO vs. NVS

Ulcer Index of NVO and NVS

Ulcer Index: NVO vs. NVS

Tail Risk & Distribution Shape (1-Year): Novo Nordisk vs. Novartis

Tail Risk & Distribution Shape: NVO vs. NVS (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: NVO vs. NVS (2σ)

Days when both NVO and NVS had a big down day (2σ)

Days when NVO had a big down day

Days when NVS had a big down day

Full Comparison of Novo Nordisk vs. Novartis (1-Year)

Inputs & conventions

Formulas

Novo Nordisk vs Novartis: Frequently Asked Questions

Which has higher volatility: NVO or NVS?

Does NVO provide diversification when held with NVS?

How bad are the worst 5% days for NVO vs NVS?

Do NVO and NVS crash together on bad days?

Which has better risk-adjusted returns: NVO or NVS?

Can NVO and NVS be combined in a portfolio?