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ESE.PA vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ESE.PAVUG
YTD Return26.21%26.93%
1Y Return39.30%50.63%
3Y Return (Ann)11.88%8.46%
5Y Return (Ann)15.94%18.99%
10Y Return (Ann)14.94%15.52%
Sharpe Ratio3.283.09
Sortino Ratio4.293.90
Omega Ratio1.671.56
Calmar Ratio4.352.78
Martin Ratio19.8215.69
Ulcer Index1.83%3.26%
Daily Std Dev11.06%16.60%
Max Drawdown-36.74%-50.68%
Current Drawdown-0.37%-0.19%

Correlation

-0.50.00.51.00.5

The correlation between ESE.PA and VUG is 0.48, 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

ESE.PA vs. VUG - Performance Comparison

The year-to-date returns for both investments are quite close, with ESE.PA having a 26.21% return and VUG slightly higher at 26.93%. Both investments have delivered pretty close results over the past 10 years, with ESE.PA having a 14.94% annualized return and VUG not far ahead at 15.52%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
15.48%
19.48%
ESE.PA
VUG

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ESE.PA vs. VUG - Expense Ratio Comparison

ESE.PA has a 0.15% expense ratio, which is higher than VUG's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ESE.PA
BNP Paribas Easy S&P 500 UCITS ETF
Expense ratio chart for ESE.PA: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

ESE.PA vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BNP Paribas Easy S&P 500 UCITS ETF (ESE.PA) and Vanguard Growth ETF (VUG). 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.


ESE.PA
Sharpe ratio
The chart of Sharpe ratio for ESE.PA, currently valued at 3.23, compared to the broader market-2.000.002.004.006.003.23
Sortino ratio
The chart of Sortino ratio for ESE.PA, currently valued at 4.47, compared to the broader market0.005.0010.004.47
Omega ratio
The chart of Omega ratio for ESE.PA, currently valued at 1.64, compared to the broader market1.001.502.002.503.001.64
Calmar ratio
The chart of Calmar ratio for ESE.PA, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ESE.PA, currently valued at 19.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.84
VUG
Sharpe ratio
The chart of Sharpe ratio for VUG, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Sortino ratio
The chart of Sortino ratio for VUG, currently valued at 3.23, compared to the broader market0.005.0010.003.23
Omega ratio
The chart of Omega ratio for VUG, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for VUG, currently valued at 3.12, compared to the broader market0.005.0010.0015.003.12
Martin ratio
The chart of Martin ratio for VUG, currently valued at 12.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.36

ESE.PA vs. VUG - Sharpe Ratio Comparison

The current ESE.PA Sharpe Ratio is 3.28, which is comparable to the VUG Sharpe Ratio of 3.09. The chart below compares the historical Sharpe Ratios of ESE.PA and VUG, 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 Ratio1.502.002.503.003.504.00MayJuneJulyAugustSeptemberOctober
3.23
2.48
ESE.PA
VUG

Dividends

ESE.PA vs. VUG - Dividend Comparison

ESE.PA has not paid dividends to shareholders, while VUG's dividend yield for the trailing twelve months is around 0.50%.


TTM20232022202120202019201820172016201520142013
ESE.PA
BNP Paribas Easy S&P 500 UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VUG
Vanguard Growth ETF
0.50%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

ESE.PA vs. VUG - Drawdown Comparison

The maximum ESE.PA drawdown since its inception was -36.74%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for ESE.PA and VUG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.68%
-0.19%
ESE.PA
VUG

Volatility

ESE.PA vs. VUG - Volatility Comparison

The current volatility for BNP Paribas Easy S&P 500 UCITS ETF (ESE.PA) is 1.68%, while Vanguard Growth ETF (VUG) has a volatility of 3.60%. This indicates that ESE.PA experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%MayJuneJulyAugustSeptemberOctober
1.68%
3.60%
ESE.PA
VUG