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ESNT vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESNT and VUG is 0.42, 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.


-0.50.00.51.00.4

Performance

ESNT vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Essent Group Ltd. (ESNT) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
-6.25%
13.27%
ESNT
VUG

Key characteristics

Sharpe Ratio

ESNT:

0.19

VUG:

2.11

Sortino Ratio

ESNT:

0.41

VUG:

2.74

Omega Ratio

ESNT:

1.05

VUG:

1.39

Calmar Ratio

ESNT:

0.24

VUG:

2.81

Martin Ratio

ESNT:

0.65

VUG:

11.02

Ulcer Index

ESNT:

6.87%

VUG:

3.31%

Daily Std Dev

ESNT:

23.36%

VUG:

17.27%

Max Drawdown

ESNT:

-64.72%

VUG:

-50.68%

Current Drawdown

ESNT:

-17.54%

VUG:

-2.41%

Returns By Period

In the year-to-date period, ESNT achieves a 2.95% return, which is significantly lower than VUG's 34.89% return. Over the past 10 years, ESNT has underperformed VUG with an annualized return of 8.88%, while VUG has yielded a comparatively higher 15.88% annualized return.


ESNT

YTD

2.95%

1M

-3.93%

6M

-5.04%

1Y

2.87%

5Y*

2.09%

10Y*

8.88%

VUG

YTD

34.89%

1M

3.42%

6M

12.16%

1Y

35.02%

5Y*

18.91%

10Y*

15.88%

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Risk-Adjusted Performance

ESNT vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Essent Group Ltd. (ESNT) 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.


Sharpe ratio
The chart of Sharpe ratio for ESNT, currently valued at 0.19, compared to the broader market-4.00-2.000.002.000.192.11
The chart of Sortino ratio for ESNT, currently valued at 0.41, compared to the broader market-4.00-2.000.002.004.000.412.74
The chart of Omega ratio for ESNT, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.39
The chart of Calmar ratio for ESNT, currently valued at 0.24, compared to the broader market0.002.004.006.000.242.81
The chart of Martin ratio for ESNT, currently valued at 0.65, compared to the broader market-5.000.005.0010.0015.0020.0025.000.6511.02
ESNT
VUG

The current ESNT Sharpe Ratio is 0.19, which is lower than the VUG Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of ESNT 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.19
2.11
ESNT
VUG

Dividends

ESNT vs. VUG - Dividend Comparison

ESNT's dividend yield for the trailing twelve months is around 2.10%, more than VUG's 0.33% yield.


TTM20232022202120202019201820172016201520142013
ESNT
Essent Group Ltd.
2.10%1.90%2.21%1.54%1.48%0.58%0.00%0.00%0.00%0.00%0.00%0.00%
VUG
Vanguard Growth ETF
0.33%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

ESNT vs. VUG - Drawdown Comparison

The maximum ESNT drawdown since its inception was -64.72%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for ESNT and VUG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.54%
-2.41%
ESNT
VUG

Volatility

ESNT vs. VUG - Volatility Comparison

Essent Group Ltd. (ESNT) has a higher volatility of 5.99% compared to Vanguard Growth ETF (VUG) at 4.86%. This indicates that ESNT's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.99%
4.86%
ESNT
VUG
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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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