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

Key characteristics


FGENVTSAX
YTD Return-63.29%19.89%
1Y Return-49.74%32.60%
3Y Return (Ann)-71.05%6.78%
5Y Return (Ann)-61.59%14.32%
Sharpe Ratio-0.272.75
Sortino Ratio0.613.65
Omega Ratio1.081.51
Calmar Ratio-0.433.64
Martin Ratio-0.7517.49
Ulcer Index57.01%1.95%
Daily Std Dev155.01%12.40%
Max Drawdown-99.56%-55.34%
Current Drawdown-99.52%-2.51%

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.

Performance

FGEN vs. VTSAX - Performance Comparison

In the year-to-date period, FGEN achieves a -63.29% return, which is significantly lower than VTSAX's 19.89% 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%
10.63%
FGEN
VTSAX

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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.


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
VTSAX
Sharpe ratio
The chart of Sharpe ratio for VTSAX, currently valued at 2.75, compared to the broader market-4.00-2.000.002.002.75
Sortino ratio
The chart of Sortino ratio for VTSAX, currently valued at 3.65, compared to the broader market-4.00-2.000.002.004.003.65
Omega ratio
The chart of Omega ratio for VTSAX, currently valued at 1.51, compared to the broader market0.501.001.502.001.51
Calmar ratio
The chart of Calmar ratio for VTSAX, currently valued at 3.64, compared to the broader market0.002.004.006.003.64
Martin ratio
The chart of Martin ratio for VTSAX, currently valued at 17.49, compared to the broader market-10.000.0010.0020.0030.0017.49

FGEN vs. VTSAX - Sharpe Ratio Comparison

The current FGEN Sharpe Ratio is -0.27, which is lower than the VTSAX Sharpe Ratio of 2.75. 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
-0.27
2.75
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 1.32%.


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
1.32%1.43%1.65%1.20%1.41%1.76%2.03%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
-99.52%
-2.51%
FGEN
VTSAX

Volatility

FGEN vs. VTSAX - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 21.50% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 3.06%. 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
21.50%
3.06%
FGEN
VTSAX