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EELV vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EELV and FXAIX is 0.64, 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

EELV vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P Emerging Markets Low Volatility ETF (EELV) 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%JulyAugustSeptemberOctoberNovemberDecember
1.76%
8.00%
EELV
FXAIX

Key characteristics

Sharpe Ratio

EELV:

0.38

FXAIX:

2.03

Sortino Ratio

EELV:

0.60

FXAIX:

2.71

Omega Ratio

EELV:

1.07

FXAIX:

1.38

Calmar Ratio

EELV:

0.42

FXAIX:

3.03

Martin Ratio

EELV:

1.31

FXAIX:

13.52

Ulcer Index

EELV:

3.12%

FXAIX:

1.89%

Daily Std Dev

EELV:

10.72%

FXAIX:

12.59%

Max Drawdown

EELV:

-36.35%

FXAIX:

-33.79%

Current Drawdown

EELV:

-9.80%

FXAIX:

-3.54%

Returns By Period

In the year-to-date period, EELV achieves a 1.75% return, which is significantly lower than FXAIX's 24.76% return. Over the past 10 years, EELV has underperformed FXAIX with an annualized return of 2.89%, while FXAIX has yielded a comparatively higher 12.94% annualized return.


EELV

YTD

1.75%

1M

-3.46%

6M

1.53%

1Y

3.83%

5Y*

3.64%

10Y*

2.89%

FXAIX

YTD

24.76%

1M

-0.24%

6M

7.73%

1Y

24.84%

5Y*

14.60%

10Y*

12.94%

Compare stocks, funds, or ETFs

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


EELV vs. FXAIX - Expense Ratio Comparison

EELV has a 0.30% expense ratio, which is higher than FXAIX's 0.02% expense ratio.


EELV
Invesco S&P Emerging Markets Low Volatility ETF
Expense ratio chart for EELV: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

EELV vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Emerging Markets Low Volatility ETF (EELV) 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 EELV, currently valued at 0.38, compared to the broader market0.002.004.000.382.03
The chart of Sortino ratio for EELV, currently valued at 0.60, compared to the broader market-2.000.002.004.006.008.0010.000.602.71
The chart of Omega ratio for EELV, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.38
The chart of Calmar ratio for EELV, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.423.03
The chart of Martin ratio for EELV, currently valued at 1.31, compared to the broader market0.0020.0040.0060.0080.00100.001.3113.52
EELV
FXAIX

The current EELV Sharpe Ratio is 0.38, which is lower than the FXAIX Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of EELV 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.38
2.03
EELV
FXAIX

Dividends

EELV vs. FXAIX - Dividend Comparison

EELV's dividend yield for the trailing twelve months is around 3.10%, more than FXAIX's 0.89% yield.


TTM20232022202120202019201820172016201520142013
EELV
Invesco S&P Emerging Markets Low Volatility ETF
3.10%4.00%3.46%4.34%2.82%3.14%5.50%2.91%2.30%2.53%3.25%2.10%
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

EELV vs. FXAIX - Drawdown Comparison

The maximum EELV drawdown since its inception was -36.35%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for EELV and FXAIX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.80%
-3.54%
EELV
FXAIX

Volatility

EELV vs. FXAIX - Volatility Comparison

The current volatility for Invesco S&P Emerging Markets Low Volatility ETF (EELV) is 2.82%, while Fidelity 500 Index Fund (FXAIX) has a volatility of 3.65%. This indicates that EELV experiences smaller price fluctuations and is considered to be less risky than FXAIX 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%JulyAugustSeptemberOctoberNovemberDecember
2.82%
3.65%
EELV
FXAIX
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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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