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

Correlation

The correlation between MSA and VUG is 0.56, 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.


-0.50.00.51.00.6

Performance

MSA vs. VUG - Performance Comparison

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

750.00%800.00%850.00%900.00%950.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
807.84%
954.56%
MSA
VUG

Key characteristics

Sharpe Ratio

MSA:

0.11

VUG:

2.11

Sortino Ratio

MSA:

0.30

VUG:

2.74

Omega Ratio

MSA:

1.04

VUG:

1.39

Calmar Ratio

MSA:

0.13

VUG:

2.81

Martin Ratio

MSA:

0.26

VUG:

11.02

Ulcer Index

MSA:

8.59%

VUG:

3.31%

Daily Std Dev

MSA:

20.17%

VUG:

17.27%

Max Drawdown

MSA:

-70.32%

VUG:

-50.68%

Current Drawdown

MSA:

-16.79%

VUG:

-2.41%

Returns By Period

In the year-to-date period, MSA achieves a -0.95% return, which is significantly lower than VUG's 34.89% return. Over the past 10 years, MSA has underperformed VUG with an annualized return of 14.02%, while VUG has yielded a comparatively higher 15.88% annualized return.


MSA

YTD

-0.95%

1M

-3.75%

6M

-11.84%

1Y

0.57%

5Y*

6.83%

10Y*

14.02%

VUG

YTD

34.89%

1M

3.42%

6M

12.16%

1Y

35.02%

5Y*

18.91%

10Y*

15.88%

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Risk-Adjusted Performance

MSA vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MSA Safety Incorporated (MSA) 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 MSA, currently valued at 0.11, compared to the broader market-4.00-2.000.002.000.112.11
The chart of Sortino ratio for MSA, currently valued at 0.30, compared to the broader market-4.00-2.000.002.004.000.302.74
The chart of Omega ratio for MSA, currently valued at 1.04, compared to the broader market0.501.001.502.001.041.39
The chart of Calmar ratio for MSA, currently valued at 0.13, compared to the broader market0.002.004.006.000.132.81
The chart of Martin ratio for MSA, currently valued at 0.26, compared to the broader market-5.000.005.0010.0015.0020.0025.000.2611.02
MSA
VUG

The current MSA Sharpe Ratio is 0.11, which is lower than the VUG Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of MSA 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.11
2.11
MSA
VUG

Dividends

MSA vs. VUG - Dividend Comparison

MSA's dividend yield for the trailing twelve months is around 1.21%, more than VUG's 0.33% yield.


TTM20232022202120202019201820172016201520142013
MSA
MSA Safety Incorporated
1.21%1.11%1.26%1.16%1.14%1.30%1.58%1.78%1.89%2.92%2.32%2.30%
VUG
Vanguard Growth ETF
0.33%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

MSA vs. VUG - Drawdown Comparison

The maximum MSA drawdown since its inception was -70.32%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for MSA and VUG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-16.79%
-2.41%
MSA
VUG

Volatility

MSA vs. VUG - Volatility Comparison

MSA Safety Incorporated (MSA) has a higher volatility of 6.63% compared to Vanguard Growth ETF (VUG) at 4.86%. This indicates that MSA'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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
6.63%
4.86%
MSA
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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