PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FGEN vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FGEN and VUG is 0.38, 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.


-0.50.00.51.00.4

Performance

FGEN vs. VUG - Performance Comparison

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

-20.00%0.00%20.00%40.00%60.00%80.00%100.00%SeptemberOctoberNovemberDecember2025February
75.41%
12.89%
FGEN
VUG

Key characteristics

Sharpe Ratio

FGEN:

-0.50

VUG:

1.61

Sortino Ratio

FGEN:

-0.17

VUG:

2.16

Omega Ratio

FGEN:

0.98

VUG:

1.29

Calmar Ratio

FGEN:

-0.61

VUG:

2.18

Martin Ratio

FGEN:

-0.86

VUG:

8.29

Ulcer Index

FGEN:

70.74%

VUG:

3.41%

Daily Std Dev

FGEN:

122.14%

VUG:

17.63%

Max Drawdown

FGEN:

-99.56%

VUG:

-50.68%

Current Drawdown

FGEN:

-98.95%

VUG:

-0.51%

Returns By Period

In the year-to-date period, FGEN achieves a 33.31% return, which is significantly higher than VUG's 3.65% return. Over the past 10 years, FGEN has underperformed VUG with an annualized return of -31.50%, while VUG has yielded a comparatively higher 15.66% annualized return.


FGEN

YTD

33.31%

1M

40.06%

6M

75.55%

1Y

-62.65%

5Y*

-56.62%

10Y*

-31.50%

VUG

YTD

3.65%

1M

1.68%

6M

14.18%

1Y

29.99%

5Y*

17.45%

10Y*

15.66%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

FGEN vs. VUG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FGEN
The Risk-Adjusted Performance Rank of FGEN is 2323
Overall Rank
The Sharpe Ratio Rank of FGEN is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of FGEN is 2828
Sortino Ratio Rank
The Omega Ratio Rank of FGEN is 2828
Omega Ratio Rank
The Calmar Ratio Rank of FGEN is 1212
Calmar Ratio Rank
The Martin Ratio Rank of FGEN is 2727
Martin Ratio Rank

VUG
The Risk-Adjusted Performance Rank of VUG is 6767
Overall Rank
The Sharpe Ratio Rank of VUG is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VUG is 6363
Sortino Ratio Rank
The Omega Ratio Rank of VUG is 6767
Omega Ratio Rank
The Calmar Ratio Rank of VUG is 6868
Calmar Ratio Rank
The Martin Ratio Rank of VUG is 6868
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FGEN vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FibroGen, Inc. (FGEN) 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 FGEN, currently valued at -0.50, compared to the broader market-2.000.002.00-0.501.69
The chart of Sortino ratio for FGEN, currently valued at -0.17, compared to the broader market-4.00-2.000.002.004.006.00-0.172.25
The chart of Omega ratio for FGEN, currently valued at 0.98, compared to the broader market0.501.001.502.000.981.31
The chart of Calmar ratio for FGEN, currently valued at -0.61, compared to the broader market0.002.004.006.00-0.612.28
The chart of Martin ratio for FGEN, currently valued at -0.86, compared to the broader market-10.000.0010.0020.0030.00-0.868.68
FGEN
VUG

The current FGEN Sharpe Ratio is -0.50, which is lower than the VUG Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of FGEN 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 Ratio-1.000.001.002.003.00SeptemberOctoberNovemberDecember2025February
-0.50
1.69
FGEN
VUG

Dividends

FGEN vs. VUG - Dividend Comparison

FGEN has not paid dividends to shareholders, while VUG's dividend yield for the trailing twelve months is around 0.45%.


TTM20242023202220212020201920182017201620152014
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%
VUG
Vanguard Growth ETF
0.45%0.47%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%

Drawdowns

FGEN vs. VUG - Drawdown Comparison

The maximum FGEN drawdown since its inception was -99.56%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for FGEN and VUG. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%SeptemberOctoberNovemberDecember2025February
-98.95%
-0.51%
FGEN
VUG

Volatility

FGEN vs. VUG - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 39.58% compared to Vanguard Growth ETF (VUG) at 4.57%. This indicates that FGEN'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.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%SeptemberOctoberNovemberDecember2025February
39.58%
4.57%
FGEN
VUG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab