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^SP500TR vs. FNILX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP500TRFNILX
YTD Return19.30%18.99%
1Y Return28.44%28.46%
3Y Return (Ann)9.72%9.42%
5Y Return (Ann)15.27%15.26%
Sharpe Ratio2.112.16
Daily Std Dev12.72%12.94%
Max Drawdown-55.25%-33.75%
Current Drawdown-0.35%-0.59%

Correlation

-0.50.00.51.01.0

The correlation between ^SP500TR and FNILX is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

^SP500TR vs. FNILX - Performance Comparison

The year-to-date returns for both stocks are quite close, with ^SP500TR having a 19.30% return and FNILX slightly lower at 18.99%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


90.00%95.00%100.00%105.00%110.00%115.00%AprilMayJuneJulyAugustSeptember
114.42%
114.07%
^SP500TR
FNILX

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^SP500TR vs. FNILX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Fidelity ZERO Large Cap Index Fund (FNILX). 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.


^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 2.11, compared to the broader market0.001.002.002.11
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.401.501.38
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 2.32, compared to the broader market0.001.002.003.004.005.002.32
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 11.40, compared to the broader market0.005.0010.0015.0020.0011.40
FNILX
Sharpe ratio
The chart of Sharpe ratio for FNILX, currently valued at 2.08, compared to the broader market0.001.002.002.08
Sortino ratio
The chart of Sortino ratio for FNILX, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.80
Omega ratio
The chart of Omega ratio for FNILX, currently valued at 1.37, compared to the broader market0.901.001.101.201.301.401.501.37
Calmar ratio
The chart of Calmar ratio for FNILX, currently valued at 2.18, compared to the broader market0.001.002.003.004.005.002.18
Martin ratio
The chart of Martin ratio for FNILX, currently valued at 11.32, compared to the broader market0.005.0010.0015.0020.0011.32

^SP500TR vs. FNILX - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.11, which roughly equals the FNILX Sharpe Ratio of 2.16. The chart below compares the 12-month rolling Sharpe Ratio of ^SP500TR and FNILX.


Rolling 12-month Sharpe Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.11
2.08
^SP500TR
FNILX

Drawdowns

^SP500TR vs. FNILX - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, which is greater than FNILX's maximum drawdown of -33.75%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and FNILX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.35%
-0.59%
^SP500TR
FNILX

Volatility

^SP500TR vs. FNILX - Volatility Comparison

S&P 500 Total Return (^SP500TR) and Fidelity ZERO Large Cap Index Fund (FNILX) have volatilities of 4.09% and 4.14%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.09%
4.14%
^SP500TR
FNILX