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FGEN vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FGENSCHD
YTD Return-63.29%13.91%
1Y Return-49.74%24.71%
3Y Return (Ann)-71.05%6.00%
5Y Return (Ann)-61.59%12.22%
Sharpe Ratio-0.272.32
Sortino Ratio0.613.34
Omega Ratio1.081.41
Calmar Ratio-0.432.39
Martin Ratio-0.7512.61
Ulcer Index57.01%2.04%
Daily Std Dev155.01%11.09%
Max Drawdown-99.56%-33.37%
Current Drawdown-99.52%-2.36%

Correlation

-0.50.00.51.00.3

The correlation between FGEN and SCHD is 0.31, 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

FGEN vs. SCHD - Performance Comparison

In the year-to-date period, FGEN achieves a -63.29% return, which is significantly lower than SCHD's 13.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-71.92%
10.13%
FGEN
SCHD

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Risk-Adjusted Performance

FGEN vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FibroGen, Inc. (FGEN) and Schwab US Dividend Equity ETF (SCHD). 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.


FGEN
Sharpe ratio
The chart of Sharpe ratio for FGEN, currently valued at -0.27, compared to the broader market-4.00-2.000.002.00-0.27
Sortino ratio
The chart of Sortino ratio for FGEN, currently valued at 0.61, compared to the broader market-4.00-2.000.002.004.000.61
Omega ratio
The chart of Omega ratio for FGEN, currently valued at 1.08, compared to the broader market0.501.001.502.001.08
Calmar ratio
The chart of Calmar ratio for FGEN, currently valued at -0.43, compared to the broader market0.002.004.006.00-0.43
Martin ratio
The chart of Martin ratio for FGEN, currently valued at -0.75, compared to the broader market-10.000.0010.0020.0030.00-0.75
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.32, compared to the broader market-4.00-2.000.002.002.32
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.34, compared to the broader market-4.00-2.000.002.004.003.34
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.41, compared to the broader market0.501.001.502.001.41
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 12.61, compared to the broader market-10.000.0010.0020.0030.0012.61

FGEN vs. SCHD - Sharpe Ratio Comparison

The current FGEN Sharpe Ratio is -0.27, which is lower than the SCHD Sharpe Ratio of 2.32. The chart below compares the historical Sharpe Ratios of FGEN and SCHD, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.27
2.32
FGEN
SCHD

Dividends

FGEN vs. SCHD - Dividend Comparison

FGEN has not paid dividends to shareholders, while SCHD's dividend yield for the trailing twelve months is around 3.47%.


TTM20232022202120202019201820172016201520142013
FGEN
FibroGen, 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%
SCHD
Schwab US Dividend Equity ETF
3.47%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

FGEN vs. SCHD - Drawdown Comparison

The maximum FGEN drawdown since its inception was -99.56%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for FGEN and SCHD. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.52%
-2.36%
FGEN
SCHD

Volatility

FGEN vs. SCHD - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 21.50% compared to Schwab US Dividend Equity ETF (SCHD) at 2.75%. This indicates that FGEN's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
21.50%
2.75%
FGEN
SCHD