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MGV vs. EPD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MGV and EPD is 0.47, 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

MGV vs. EPD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Mega Cap Value ETF (MGV) and Enterprise Products Partners L.P. (EPD). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%500.00%550.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
286.94%
529.15%
MGV
EPD

Key characteristics

Sharpe Ratio

MGV:

1.88

EPD:

2.13

Sortino Ratio

MGV:

2.68

EPD:

3.02

Omega Ratio

MGV:

1.34

EPD:

1.39

Calmar Ratio

MGV:

2.70

EPD:

2.43

Martin Ratio

MGV:

10.56

EPD:

10.79

Ulcer Index

MGV:

1.80%

EPD:

2.60%

Daily Std Dev

MGV:

10.14%

EPD:

13.15%

Max Drawdown

MGV:

-56.31%

EPD:

-58.78%

Current Drawdown

MGV:

-6.02%

EPD:

-9.99%

Returns By Period

In the year-to-date period, MGV achieves a 16.75% return, which is significantly lower than EPD's 26.49% return. Over the past 10 years, MGV has outperformed EPD with an annualized return of 10.16%, while EPD has yielded a comparatively lower 5.82% annualized return.


MGV

YTD

16.75%

1M

-3.30%

6M

6.16%

1Y

17.98%

5Y*

10.23%

10Y*

10.16%

EPD

YTD

26.49%

1M

-2.52%

6M

12.45%

1Y

27.51%

5Y*

10.36%

10Y*

5.82%

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Risk-Adjusted Performance

MGV vs. EPD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Mega Cap Value ETF (MGV) and Enterprise Products Partners L.P. (EPD). 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 MGV, currently valued at 1.88, compared to the broader market0.002.004.001.882.13
The chart of Sortino ratio for MGV, currently valued at 2.68, compared to the broader market-2.000.002.004.006.008.0010.002.683.02
The chart of Omega ratio for MGV, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.39
The chart of Calmar ratio for MGV, currently valued at 2.70, compared to the broader market0.005.0010.0015.002.702.43
The chart of Martin ratio for MGV, currently valued at 10.56, compared to the broader market0.0020.0040.0060.0080.00100.0010.5610.79
MGV
EPD

The current MGV Sharpe Ratio is 1.88, which is comparable to the EPD Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of MGV and EPD, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.88
2.13
MGV
EPD

Dividends

MGV vs. EPD - Dividend Comparison

MGV's dividend yield for the trailing twelve months is around 1.72%, less than EPD's 6.71% yield.


TTM20232022202120202019201820172016201520142013
MGV
Vanguard Mega Cap Value ETF
1.72%2.48%2.45%2.17%2.47%2.69%2.65%2.34%2.53%2.59%2.26%2.29%
EPD
Enterprise Products Partners L.P.
6.71%7.51%7.79%8.20%9.09%6.24%6.98%6.29%5.88%5.90%3.96%4.07%

Drawdowns

MGV vs. EPD - Drawdown Comparison

The maximum MGV drawdown since its inception was -56.31%, roughly equal to the maximum EPD drawdown of -58.78%. Use the drawdown chart below to compare losses from any high point for MGV and EPD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.02%
-9.99%
MGV
EPD

Volatility

MGV vs. EPD - Volatility Comparison

The current volatility for Vanguard Mega Cap Value ETF (MGV) is 3.52%, while Enterprise Products Partners L.P. (EPD) has a volatility of 6.85%. This indicates that MGV experiences smaller price fluctuations and is considered to be less risky than EPD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.52%
6.85%
MGV
EPD
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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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