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

Correlation

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.


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.

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Key characteristics

Sharpe Ratio

FGEN:

-0.61

VUG:

0.63

Sortino Ratio

FGEN:

-0.64

VUG:

1.08

Omega Ratio

FGEN:

0.92

VUG:

1.15

Calmar Ratio

FGEN:

-0.73

VUG:

0.73

Martin Ratio

FGEN:

-1.15

VUG:

2.48

Ulcer Index

FGEN:

63.15%

VUG:

6.77%

Daily Std Dev

FGEN:

119.36%

VUG:

25.20%

Max Drawdown

FGEN:

-99.62%

VUG:

-50.68%

Current Drawdown

FGEN:

-99.51%

VUG:

-4.62%

Returns By Period

In the year-to-date period, FGEN achieves a -37.30% return, which is significantly lower than VUG's -0.63% return. Over the past 10 years, FGEN has underperformed VUG with an annualized return of -32.92%, while VUG has yielded a comparatively higher 15.01% annualized return.


FGEN

YTD

-37.30%

1M

15.80%

6M

-5.14%

1Y

-72.10%

3Y*

-66.20%

5Y*

-61.00%

10Y*

-32.92%

VUG

YTD

-0.63%

1M

18.95%

6M

1.22%

1Y

15.69%

3Y*

21.97%

5Y*

17.27%

10Y*

15.01%

*Annualized

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FibroGen, Inc.

Vanguard Growth ETF

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 1717
Overall Rank
The Sharpe Ratio Rank of FGEN is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of FGEN is 1919
Sortino Ratio Rank
The Omega Ratio Rank of FGEN is 2020
Omega Ratio Rank
The Calmar Ratio Rank of FGEN is 88
Calmar Ratio Rank
The Martin Ratio Rank of FGEN is 2121
Martin Ratio Rank

VUG
The Risk-Adjusted Performance Rank of VUG is 6565
Overall Rank
The Sharpe Ratio Rank of VUG is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VUG is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VUG is 6666
Omega Ratio Rank
The Calmar Ratio Rank of VUG is 7070
Calmar Ratio Rank
The Martin Ratio Rank of VUG is 6363
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.


The current FGEN Sharpe Ratio is -0.61, which is lower than the VUG Sharpe Ratio of 0.63. 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.


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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 0.48%.


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
0.48%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 -99.62%, 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.


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Volatility

FGEN vs. VUG - Volatility Comparison

FibroGen, Inc. (FGEN) has a higher volatility of 20.67% compared to Vanguard Growth ETF (VUG) at 6.11%. 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.


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