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

Performance

FGEN vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FibroGen, Inc. (FGEN) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-69.54%
14.03%
FGEN
VTSAX

Returns By Period

In the year-to-date period, FGEN achieves a -55.39% return, which is significantly lower than VTSAX's 26.28% return. Over the past 10 years, FGEN has underperformed VTSAX with an annualized return of -33.62%, while VTSAX has yielded a comparatively higher 12.73% annualized return.


FGEN

YTD

-55.39%

1M

23.56%

6M

-69.58%

1Y

-17.33%

5Y (annualized)

-60.02%

10Y (annualized)

-33.62%

VTSAX

YTD

26.28%

1M

4.04%

6M

14.03%

1Y

33.65%

5Y (annualized)

15.20%

10Y (annualized)

12.73%

Key characteristics


FGENVTSAX
Sharpe Ratio-0.112.68
Sortino Ratio0.973.57
Omega Ratio1.131.49
Calmar Ratio-0.173.93
Martin Ratio-0.2917.10
Ulcer Index60.21%1.97%
Daily Std Dev152.71%12.56%
Max Drawdown-99.56%-55.34%
Current Drawdown-99.41%-0.28%

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Correlation

-0.50.00.51.00.4

The correlation between FGEN and VTSAX 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.

Risk-Adjusted Performance

FGEN vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FibroGen, Inc. (FGEN) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 FGEN, currently valued at -0.11, compared to the broader market-4.00-2.000.002.004.00-0.112.68
The chart of Sortino ratio for FGEN, currently valued at 0.97, compared to the broader market-4.00-2.000.002.004.000.973.57
The chart of Omega ratio for FGEN, currently valued at 1.13, compared to the broader market0.501.001.502.001.131.49
The chart of Calmar ratio for FGEN, currently valued at -0.17, compared to the broader market0.002.004.006.00-0.173.93
The chart of Martin ratio for FGEN, currently valued at -0.29, compared to the broader market0.0010.0020.0030.00-0.2917.10
FGEN
VTSAX

The current FGEN Sharpe Ratio is -0.11, which is lower than the VTSAX Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of FGEN and VTSAX, 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
-0.11
2.68
FGEN
VTSAX

Dividends

FGEN vs. VTSAX - Dividend Comparison

FGEN has not paid dividends to shareholders, while VTSAX's dividend yield for the trailing twelve months is around 1.25%.


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%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.25%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

FGEN vs. VTSAX - Drawdown Comparison

The maximum FGEN drawdown since its inception was -99.56%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for FGEN and VTSAX. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.41%
-0.28%
FGEN
VTSAX

Volatility

FGEN vs. VTSAX - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 30.68% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 4.18%. This indicates that FGEN's price experiences larger fluctuations and is considered to be riskier than VTSAX 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
30.68%
4.18%
FGEN
VTSAX