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

Correlation

The correlation between ENPH and VT is 0.38, 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.


-0.50.00.51.00.4

Performance

ENPH vs. VT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Enphase Energy, Inc. (ENPH) and Vanguard Total World Stock ETF (VT). The values are adjusted to include any dividend payments, if applicable.

0.00%500.00%1,000.00%1,500.00%JulyAugustSeptemberOctoberNovemberDecember
873.43%
227.33%
ENPH
VT

Key characteristics

Sharpe Ratio

ENPH:

-0.70

VT:

1.65

Sortino Ratio

ENPH:

-0.85

VT:

2.25

Omega Ratio

ENPH:

0.91

VT:

1.30

Calmar Ratio

ENPH:

-0.54

VT:

2.41

Martin Ratio

ENPH:

-1.73

VT:

10.48

Ulcer Index

ENPH:

25.54%

VT:

1.87%

Daily Std Dev

ENPH:

63.55%

VT:

11.85%

Max Drawdown

ENPH:

-95.97%

VT:

-50.27%

Current Drawdown

ENPH:

-78.74%

VT:

-3.31%

Returns By Period

In the year-to-date period, ENPH achieves a -45.93% return, which is significantly lower than VT's 17.12% return. Over the past 10 years, ENPH has outperformed VT with an annualized return of 17.41%, while VT has yielded a comparatively lower 9.28% annualized return.


ENPH

YTD

-45.93%

1M

12.73%

6M

-33.02%

1Y

-46.62%

5Y*

22.50%

10Y*

17.41%

VT

YTD

17.12%

1M

-0.90%

6M

6.21%

1Y

17.87%

5Y*

10.16%

10Y*

9.28%

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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.


Sharpe ratio
The chart of Sharpe ratio for ENPH, currently valued at -0.70, compared to the broader market-4.00-2.000.002.00-0.701.65
The chart of Sortino ratio for ENPH, currently valued at -0.85, compared to the broader market-4.00-2.000.002.004.00-0.852.25
The chart of Omega ratio for ENPH, currently valued at 0.91, compared to the broader market0.501.001.502.000.911.30
The chart of Calmar ratio for ENPH, currently valued at -0.54, compared to the broader market0.002.004.006.00-0.542.41
The chart of Martin ratio for ENPH, currently valued at -1.73, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.7310.48
ENPH
VT

The current ENPH Sharpe Ratio is -0.70, which is lower than the VT Sharpe Ratio of 1.65. 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.70
1.65
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 1.94%.


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
1.94%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%JulyAugustSeptemberOctoberNovemberDecember
-78.74%
-3.31%
ENPH
VT

Volatility

ENPH vs. VT - Volatility Comparison

Enphase Energy, Inc. (ENPH) has a higher volatility of 18.87% compared to Vanguard Total World Stock ETF (VT) at 3.66%. 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%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
18.87%
3.66%
ENPH
VT
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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