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

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.

-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-71.56%
14.56%
FGEN
VUG

Returns By Period

In the year-to-date period, FGEN achieves a -60.51% return, which is significantly lower than VUG's 30.27% return. Over the past 10 years, FGEN has underperformed VUG with an annualized return of -34.20%, while VUG has yielded a comparatively higher 15.55% annualized return.


FGEN

YTD

-60.51%

1M

-6.54%

6M

-71.54%

1Y

-28.47%

5Y (annualized)

-61.05%

10Y (annualized)

-34.20%

VUG

YTD

30.27%

1M

2.44%

6M

14.56%

1Y

36.37%

5Y (annualized)

19.10%

10Y (annualized)

15.55%

Key characteristics


FGENVUG
Sharpe Ratio-0.222.14
Sortino Ratio0.732.79
Omega Ratio1.091.39
Calmar Ratio-0.342.77
Martin Ratio-0.5710.94
Ulcer Index59.73%3.29%
Daily Std Dev152.58%16.84%
Max Drawdown-99.56%-50.68%
Current Drawdown-99.48%-1.30%

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Correlation

-0.50.00.51.00.4

The correlation between FGEN and VUG is 0.39, 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.

Risk-Adjusted Performance

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 -0.22, compared to the broader market-4.00-2.000.002.004.00-0.222.14
The chart of Sortino ratio for FGEN, currently valued at 0.73, compared to the broader market-4.00-2.000.002.004.000.732.79
The chart of Omega ratio for FGEN, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.39
The chart of Calmar ratio for FGEN, currently valued at -0.34, compared to the broader market0.002.004.006.00-0.342.77
The chart of Martin ratio for FGEN, currently valued at -0.57, compared to the broader market-10.000.0010.0020.0030.00-0.5710.94
FGEN
VUG

The current FGEN Sharpe Ratio is -0.22, which is lower than the VUG Sharpe Ratio of 2.14. 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.22
2.14
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 0.49%.


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%
VUG
Vanguard Growth ETF
0.49%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

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%JuneJulyAugustSeptemberOctoberNovember
-99.48%
-1.30%
FGEN
VUG

Volatility

FGEN vs. VUG - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 30.62% compared to Vanguard Growth ETF (VUG) at 5.55%. 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%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
30.62%
5.55%
FGEN
VUG