PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CR vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CR and FXAIX is 0.50, 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

CR vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Crane Co. (CR) and Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
5.69%
8.06%
CR
FXAIX

Key characteristics

Sharpe Ratio

CR:

1.13

FXAIX:

1.97

Sortino Ratio

CR:

1.70

FXAIX:

2.63

Omega Ratio

CR:

1.21

FXAIX:

1.37

Calmar Ratio

CR:

2.01

FXAIX:

2.93

Martin Ratio

CR:

7.89

FXAIX:

12.99

Ulcer Index

CR:

4.44%

FXAIX:

1.90%

Daily Std Dev

CR:

31.08%

FXAIX:

12.58%

Max Drawdown

CR:

-17.44%

FXAIX:

-33.79%

Current Drawdown

CR:

-17.44%

FXAIX:

-3.62%

Returns By Period

In the year-to-date period, CR achieves a 29.82% return, which is significantly higher than FXAIX's 24.65% return.


CR

YTD

29.82%

1M

-14.40%

6M

7.17%

1Y

36.21%

5Y*

N/A

10Y*

N/A

FXAIX

YTD

24.65%

1M

-0.72%

6M

7.90%

1Y

26.58%

5Y*

14.57%

10Y*

12.79%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

CR vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Crane Co. (CR) and Fidelity 500 Index Fund (FXAIX). 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 CR, currently valued at 1.13, compared to the broader market-4.00-2.000.002.001.131.97
The chart of Sortino ratio for CR, currently valued at 1.70, compared to the broader market-4.00-2.000.002.004.001.702.63
The chart of Omega ratio for CR, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.37
The chart of Calmar ratio for CR, currently valued at 2.01, compared to the broader market0.002.004.006.002.012.93
The chart of Martin ratio for CR, currently valued at 7.89, compared to the broader market0.0010.0020.007.8912.99
CR
FXAIX

The current CR Sharpe Ratio is 1.13, which is lower than the FXAIX Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of CR and FXAIX, 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
1.13
1.97
CR
FXAIX

Dividends

CR vs. FXAIX - Dividend Comparison

CR's dividend yield for the trailing twelve months is around 0.54%, less than FXAIX's 0.89% yield.


TTM20232022202120202019201820172016201520142013
CR
Crane Co.
0.54%0.46%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FXAIX
Fidelity 500 Index Fund
0.89%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

CR vs. FXAIX - Drawdown Comparison

The maximum CR drawdown since its inception was -17.44%, smaller than the maximum FXAIX drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for CR and FXAIX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.44%
-3.62%
CR
FXAIX

Volatility

CR vs. FXAIX - Volatility Comparison

Crane Co. (CR) has a higher volatility of 6.87% compared to Fidelity 500 Index Fund (FXAIX) at 3.62%. This indicates that CR's price experiences larger fluctuations and is considered to be riskier than FXAIX 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
6.87%
3.62%
CR
FXAIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab