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ES vs. VWNAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ESVWNAX
YTD Return-0.83%6.77%
1Y Return-18.70%21.66%
3Y Return (Ann)-8.11%7.54%
5Y Return (Ann)-0.12%13.06%
10Y Return (Ann)6.13%10.52%
Sharpe Ratio-0.731.85
Daily Std Dev26.11%12.32%
Max Drawdown-65.47%-57.51%
Current Drawdown-31.23%-1.94%

Correlation

-0.50.00.51.00.4

The correlation between ES and VWNAX is 0.41, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

ES vs. VWNAX - Performance Comparison

In the year-to-date period, ES achieves a -0.83% return, which is significantly lower than VWNAX's 6.77% return. Over the past 10 years, ES has underperformed VWNAX with an annualized return of 6.13%, while VWNAX has yielded a comparatively higher 10.52% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%450.00%500.00%550.00%600.00%650.00%NovemberDecember2024FebruaryMarchApril
607.61%
511.82%
ES
VWNAX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Eversource Energy

Vanguard Windsor II Fund Admiral Shares

Risk-Adjusted Performance

ES vs. VWNAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eversource Energy (ES) and Vanguard Windsor II Fund Admiral Shares (VWNAX). 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.


ES
Sharpe ratio
The chart of Sharpe ratio for ES, currently valued at -0.73, compared to the broader market-2.00-1.000.001.002.003.004.00-0.73
Sortino ratio
The chart of Sortino ratio for ES, currently valued at -0.93, compared to the broader market-4.00-2.000.002.004.006.00-0.93
Omega ratio
The chart of Omega ratio for ES, currently valued at 0.89, compared to the broader market0.501.001.500.89
Calmar ratio
The chart of Calmar ratio for ES, currently valued at -0.46, compared to the broader market0.002.004.006.00-0.46
Martin ratio
The chart of Martin ratio for ES, currently valued at -0.97, compared to the broader market0.0010.0020.0030.00-0.97
VWNAX
Sharpe ratio
The chart of Sharpe ratio for VWNAX, currently valued at 1.85, compared to the broader market-2.00-1.000.001.002.003.004.001.85
Sortino ratio
The chart of Sortino ratio for VWNAX, currently valued at 2.72, compared to the broader market-4.00-2.000.002.004.006.002.72
Omega ratio
The chart of Omega ratio for VWNAX, currently valued at 1.34, compared to the broader market0.501.001.501.34
Calmar ratio
The chart of Calmar ratio for VWNAX, currently valued at 1.95, compared to the broader market0.002.004.006.001.95
Martin ratio
The chart of Martin ratio for VWNAX, currently valued at 7.33, compared to the broader market0.0010.0020.0030.007.33

ES vs. VWNAX - Sharpe Ratio Comparison

The current ES Sharpe Ratio is -0.73, which is lower than the VWNAX Sharpe Ratio of 1.85. The chart below compares the 12-month rolling Sharpe Ratio of ES and VWNAX.


Rolling 12-month Sharpe Ratio-1.000.001.002.00NovemberDecember2024FebruaryMarchApril
-0.73
1.85
ES
VWNAX

Dividends

ES vs. VWNAX - Dividend Comparison

ES's dividend yield for the trailing twelve months is around 4.53%, less than VWNAX's 4.86% yield.


TTM20232022202120202019201820172016201520142013
ES
Eversource Energy
4.53%4.37%3.04%2.65%2.62%2.52%3.11%3.01%3.22%3.27%2.93%3.47%
VWNAX
Vanguard Windsor II Fund Admiral Shares
4.86%5.19%7.36%7.92%7.39%10.15%11.48%8.47%8.17%8.05%9.42%4.25%

Drawdowns

ES vs. VWNAX - Drawdown Comparison

The maximum ES drawdown since its inception was -65.47%, which is greater than VWNAX's maximum drawdown of -57.51%. Use the drawdown chart below to compare losses from any high point for ES and VWNAX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-31.23%
-1.94%
ES
VWNAX

Volatility

ES vs. VWNAX - Volatility Comparison

Eversource Energy (ES) has a higher volatility of 5.70% compared to Vanguard Windsor II Fund Admiral Shares (VWNAX) at 3.10%. This indicates that ES's price experiences larger fluctuations and is considered to be riskier than VWNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2024FebruaryMarchApril
5.70%
3.10%
ES
VWNAX