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

Correlation

The correlation between IBN and VUG is 0.49, 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.


-0.50.00.51.00.5

Performance

IBN vs. VUG - Performance Comparison

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

800.00%900.00%1,000.00%1,100.00%1,200.00%1,300.00%1,400.00%JulyAugustSeptemberOctoberNovemberDecember
1,330.95%
941.41%
IBN
VUG

Key characteristics

Sharpe Ratio

IBN:

1.03

VUG:

1.95

Sortino Ratio

IBN:

1.53

VUG:

2.55

Omega Ratio

IBN:

1.21

VUG:

1.36

Calmar Ratio

IBN:

2.64

VUG:

2.60

Martin Ratio

IBN:

7.00

VUG:

10.22

Ulcer Index

IBN:

3.39%

VUG:

3.30%

Daily Std Dev

IBN:

23.12%

VUG:

17.30%

Max Drawdown

IBN:

-86.09%

VUG:

-50.68%

Current Drawdown

IBN:

-5.61%

VUG:

-3.63%

Returns By Period

In the year-to-date period, IBN achieves a 27.38% return, which is significantly lower than VUG's 33.21% return. Over the past 10 years, IBN has underperformed VUG with an annualized return of 12.25%, while VUG has yielded a comparatively higher 15.76% annualized return.


IBN

YTD

27.38%

1M

1.21%

6M

12.52%

1Y

24.00%

5Y*

15.22%

10Y*

12.25%

VUG

YTD

33.21%

1M

3.24%

6M

9.92%

1Y

32.99%

5Y*

18.66%

10Y*

15.76%

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Risk-Adjusted Performance

IBN vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ICICI Bank Limited (IBN) 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 IBN, currently valued at 1.03, compared to the broader market-4.00-2.000.002.001.031.95
The chart of Sortino ratio for IBN, currently valued at 1.53, compared to the broader market-4.00-2.000.002.004.001.532.55
The chart of Omega ratio for IBN, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.36
The chart of Calmar ratio for IBN, currently valued at 2.64, compared to the broader market0.002.004.006.002.642.60
The chart of Martin ratio for IBN, currently valued at 7.00, compared to the broader market0.0010.0020.007.0010.22
IBN
VUG

The current IBN Sharpe Ratio is 1.03, which is lower than the VUG Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of IBN 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.03
1.95
IBN
VUG

Dividends

IBN vs. VUG - Dividend Comparison

IBN's dividend yield for the trailing twelve months is around 0.79%, more than VUG's 0.48% yield.


TTM20232022202120202019201820172016201520142013
IBN
ICICI Bank Limited
0.79%0.82%0.58%0.27%0.00%0.19%0.84%0.72%1.99%4.21%1.32%2.02%
VUG
Vanguard Growth ETF
0.48%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

IBN vs. VUG - Drawdown Comparison

The maximum IBN drawdown since its inception was -86.09%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for IBN and VUG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.61%
-3.63%
IBN
VUG

Volatility

IBN vs. VUG - Volatility Comparison

ICICI Bank Limited (IBN) has a higher volatility of 6.72% compared to Vanguard Growth ETF (VUG) at 4.86%. This indicates that IBN'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.72%
4.86%
IBN
VUG
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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.

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