DSEFX vs. FITLX

Last updated Jun 24, 2026

DSEFX (Domini Impact Equity Fund) and FITLX (Fidelity U.S. Sustainability Index Fund) are both mutual funds - DSEFX is a Large Cap Growth Equities fund managed by Domini, while FITLX is a Large Cap Blend Equities fund tracking the MSCI USA ESG Leaders Index. Over the past 5 years, DSEFX returned 9.41%/yr vs 13.51%/yr for FITLX. With a 0.96 correlation, they move nearly in lockstep. DSEFX charges 1.09%/yr vs 0.11%/yr for FITLX.

Performance

DSEFX vs. FITLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Domini Impact Equity Fund (DSEFX) and Fidelity U.S. Sustainability Index Fund (FITLX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with DSEFX having a 9.17% return and FITLX slightly lower at 8.80%.

DSEFX

• 1D: -0.19%
• 1M: 0.20%
• YTD: 9.17%
• 6M: 8.39%
• 1Y: 22.21%
• 3Y*: 17.69%
• 5Y*: 9.41%
• 10Y*: 13.40%

FITLX

• 1D: -0.54%
• 1M: -0.09%
• YTD: 8.80%
• 6M: 7.56%
• 1Y: 26.05%
• 3Y*: 21.42%
• 5Y*: 13.51%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DSEFX vs. FITLX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DSEFX Domini Impact Equity Fund	9.17%	11.51%	21.68%	28.43%	-25.70%	21.44%	30.06%	31.66%	-9.25%	8.26%
FITLX Fidelity U.S. Sustainability Index Fund	8.80%	18.77%	23.59%	29.04%	-20.28%	31.55%	18.69%	31.54%	-3.32%	13.07%

Correlation

The correlation between DSEFX and FITLX is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since May 9, 2017	0.96

The correlation between DSEFX and FITLX has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

Return for Risk

DSEFX vs. FITLX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DSEFX

DSEFX Risk / Return Rank: 43
DSEFX Sharpe Ratio Rank: 44
DSEFX Sortino Ratio Rank: 41
DSEFX Omega Ratio Rank: 41
DSEFX Calmar Ratio Rank: 38
DSEFX Martin Ratio Rank: 49

FITLX

FITLX Risk / Return Rank: 53
FITLX Sharpe Ratio Rank: 58
FITLX Sortino Ratio Rank: 54
FITLX Omega Ratio Rank: 54
FITLX Calmar Ratio Rank: 46
FITLX Martin Ratio Rank: 56

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DSEFX vs. FITLX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Domini Impact Equity Fund (DSEFX) and Fidelity U.S. Sustainability Index Fund (FITLX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DSEFX	FITLX	Difference
Sharpe ratio: Return per unit of total volatility	1.81	2.07	-0.26
Sortino ratio: Return per unit of downside risk	2.49	2.84	-0.35
Omega ratio: Gain probability vs. loss probability	1.32	1.37	-0.05
Calmar ratio: Return relative to maximum drawdown	2.23	2.48	-0.25
Martin ratio: Return relative to average drawdown	9.59	10.60	-1.00

DSEFX vs. FITLX - Sharpe Ratio Comparison

The current DSEFX Sharpe Ratio is 1.81, which is comparable to the FITLX Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of DSEFX and FITLX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DSEFX vs. FITLX - Drawdown Comparison

The maximum DSEFX drawdown since its inception was -57.66%, which is greater than FITLX's maximum drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for DSEFX and FITLX.

Drawdown Indicators

	DSEFX	FITLX	Difference
Max Drawdown Largest peak-to-trough decline	-57.66%	-34.35%	-23.31%
Max Drawdown (1Y) Largest decline over 1 year	-10.49%	-11.15%	+0.66%
Max Drawdown (3Y) Largest decline over 3 years	-20.32%	-19.99%	-0.33%
Max Drawdown (5Y) Largest decline over 5 years	-30.86%	-26.91%	-3.95%
Max Drawdown (10Y) Largest decline over 10 years	-31.09%	—	—
Current Drawdown Current decline from peak	-2.37%	-1.95%	-0.42%
Average Drawdown Average peak-to-trough decline	-10.90%	-5.05%	-5.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.43%	2.60%	-0.17%

Volatility

DSEFX vs. FITLX - Volatility Comparison

Domini Impact Equity Fund (DSEFX) and Fidelity U.S. Sustainability Index Fund (FITLX) have volatilities of 4.99% and 5.00%, 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.

Volatility by Period

	DSEFX	FITLX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.99%	5.00%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	10.42%	10.67%	-0.25%
Volatility (1Y) Calculated over the trailing 1-year period	12.93%	13.38%	-0.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.11%	17.68%	+0.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.69%	19.11%	-0.42%

DSEFX vs. FITLX - Expense Ratio Comparison

DSEFX has a 1.09% expense ratio, which is higher than FITLX's 0.11% expense ratio.

Dividends

DSEFX vs. FITLX - Dividend Comparison

DSEFX's dividend yield for the trailing twelve months is around 10.29%, more than FITLX's 1.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DSEFX Domini Impact Equity Fund	10.29%	11.18%	5.18%	1.01%	1.83%	6.00%	2.29%	2.42%	14.44%	5.31%	2.67%	6.44%
FITLX Fidelity U.S. Sustainability Index Fund	1.02%	1.11%	1.29%	1.12%	1.49%	0.99%	1.01%	1.41%	1.58%	0.76%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DSEFX and FITLX in my portfolio?

With a correlation of 0.94, DSEFX and FITLX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DSEFX or FITLX?

FITLX has higher volatility (5.00%) compared to DSEFX (4.99%). In terms of maximum drawdown, DSEFX dropped -57.66% vs FITLX's -34.35%.

Which has better risk-adjusted returns?

FITLX currently has the higher Sharpe Ratio (2.07 vs 1.81), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.