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ENPH vs. VT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ENPHVT
YTD Return-23.21%18.79%
1Y Return-18.04%32.28%
3Y Return (Ann)-16.36%6.90%
5Y Return (Ann)33.35%12.13%
10Y Return (Ann)23.85%10.10%
Sharpe Ratio-0.292.59
Sortino Ratio-0.003.54
Omega Ratio1.001.47
Calmar Ratio-0.242.10
Martin Ratio-0.9516.39
Ulcer Index19.48%1.92%
Daily Std Dev64.30%12.13%
Max Drawdown-95.97%-50.27%
Current Drawdown-69.80%0.00%

Correlation

-0.50.00.51.00.4

The correlation between ENPH and VT is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

ENPH vs. VT - Performance Comparison

In the year-to-date period, ENPH achieves a -23.21% return, which is significantly lower than VT's 18.79% return. Over the past 10 years, ENPH has outperformed VT with an annualized return of 23.85%, while VT has yielded a comparatively lower 10.10% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%500.00%1,000.00%1,500.00%MayJuneJulyAugustSeptemberOctober
1,282.43%
231.98%
ENPH
VT

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Risk-Adjusted Performance

ENPH vs. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Enphase Energy, Inc. (ENPH) and Vanguard Total World Stock ETF (VT). 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.


ENPH
Sharpe ratio
The chart of Sharpe ratio for ENPH, currently valued at -0.29, compared to the broader market-4.00-2.000.002.004.00-0.29
Sortino ratio
The chart of Sortino ratio for ENPH, currently valued at -0.00, compared to the broader market-4.00-2.000.002.004.00-0.00
Omega ratio
The chart of Omega ratio for ENPH, currently valued at 1.00, compared to the broader market0.501.001.502.001.00
Calmar ratio
The chart of Calmar ratio for ENPH, currently valued at -0.24, compared to the broader market0.002.004.006.00-0.24
Martin ratio
The chart of Martin ratio for ENPH, currently valued at -0.95, compared to the broader market-10.000.0010.0020.0030.00-0.95
VT
Sharpe ratio
The chart of Sharpe ratio for VT, currently valued at 2.59, compared to the broader market-4.00-2.000.002.004.002.59
Sortino ratio
The chart of Sortino ratio for VT, currently valued at 3.54, compared to the broader market-4.00-2.000.002.004.003.54
Omega ratio
The chart of Omega ratio for VT, currently valued at 1.47, compared to the broader market0.501.001.502.001.47
Calmar ratio
The chart of Calmar ratio for VT, currently valued at 2.10, compared to the broader market0.002.004.006.002.10
Martin ratio
The chart of Martin ratio for VT, currently valued at 16.39, compared to the broader market-10.000.0010.0020.0030.0016.39

ENPH vs. VT - Sharpe Ratio Comparison

The current ENPH Sharpe Ratio is -0.29, which is lower than the VT Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of ENPH and VT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-0.29
2.59
ENPH
VT

Dividends

ENPH vs. VT - Dividend Comparison

ENPH has not paid dividends to shareholders, while VT's dividend yield for the trailing twelve months is around 1.84%.


TTM20232022202120202019201820172016201520142013
ENPH
Enphase Energy, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VT
Vanguard Total World Stock ETF
1.84%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

ENPH vs. VT - Drawdown Comparison

The maximum ENPH drawdown since its inception was -95.97%, which is greater than VT's maximum drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for ENPH and VT. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%MayJuneJulyAugustSeptemberOctober
-69.80%
0
ENPH
VT

Volatility

ENPH vs. VT - Volatility Comparison

Enphase Energy, Inc. (ENPH) has a higher volatility of 11.23% compared to Vanguard Total World Stock ETF (VT) at 2.90%. This indicates that ENPH's price experiences larger fluctuations and is considered to be riskier than VT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
11.23%
2.90%
ENPH
VT