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FBIOX vs. XBI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FBIOXXBI
YTD Return19.92%12.72%
1Y Return48.95%49.62%
3Y Return (Ann)-0.56%-7.37%
5Y Return (Ann)1.14%3.83%
10Y Return (Ann)1.38%6.25%
Sharpe Ratio2.371.90
Sortino Ratio3.222.64
Omega Ratio1.381.31
Calmar Ratio0.960.82
Martin Ratio10.456.54
Ulcer Index4.72%7.70%
Daily Std Dev20.82%26.44%
Max Drawdown-71.96%-63.89%
Current Drawdown-27.55%-42.12%

Correlation

-0.50.00.51.00.9

The correlation between FBIOX and XBI is 0.94, 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

FBIOX vs. XBI - Performance Comparison

In the year-to-date period, FBIOX achieves a 19.92% return, which is significantly higher than XBI's 12.72% return. Over the past 10 years, FBIOX has underperformed XBI with an annualized return of 1.38%, while XBI has yielded a comparatively higher 6.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.45%
10.87%
FBIOX
XBI

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FBIOX vs. XBI - Expense Ratio Comparison

FBIOX has a 0.69% expense ratio, which is higher than XBI's 0.35% expense ratio.


FBIOX
Fidelity Select Biotechnology Portfolio
Expense ratio chart for FBIOX: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for XBI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

FBIOX vs. XBI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Select Biotechnology Portfolio (FBIOX) and SPDR S&P Biotech ETF (XBI). 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.


FBIOX
Sharpe ratio
The chart of Sharpe ratio for FBIOX, currently valued at 2.37, compared to the broader market0.002.004.002.37
Sortino ratio
The chart of Sortino ratio for FBIOX, currently valued at 3.22, compared to the broader market0.005.0010.003.22
Omega ratio
The chart of Omega ratio for FBIOX, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for FBIOX, currently valued at 0.96, compared to the broader market0.005.0010.0015.0020.0025.000.96
Martin ratio
The chart of Martin ratio for FBIOX, currently valued at 10.45, compared to the broader market0.0020.0040.0060.0080.00100.0010.45
XBI
Sharpe ratio
The chart of Sharpe ratio for XBI, currently valued at 1.90, compared to the broader market0.002.004.001.90
Sortino ratio
The chart of Sortino ratio for XBI, currently valued at 2.64, compared to the broader market0.005.0010.002.64
Omega ratio
The chart of Omega ratio for XBI, currently valued at 1.31, compared to the broader market1.002.003.004.001.31
Calmar ratio
The chart of Calmar ratio for XBI, currently valued at 0.82, compared to the broader market0.005.0010.0015.0020.0025.000.82
Martin ratio
The chart of Martin ratio for XBI, currently valued at 6.54, compared to the broader market0.0020.0040.0060.0080.00100.006.54

FBIOX vs. XBI - Sharpe Ratio Comparison

The current FBIOX Sharpe Ratio is 2.37, which is comparable to the XBI Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of FBIOX and XBI, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.37
1.90
FBIOX
XBI

Dividends

FBIOX vs. XBI - Dividend Comparison

FBIOX's dividend yield for the trailing twelve months is around 0.67%, more than XBI's 0.14% yield.


TTM20232022202120202019201820172016201520142013
FBIOX
Fidelity Select Biotechnology Portfolio
0.67%0.45%0.00%0.17%0.26%0.15%0.00%0.00%0.00%6.71%10.77%0.25%
XBI
SPDR S&P Biotech ETF
0.14%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%

Drawdowns

FBIOX vs. XBI - Drawdown Comparison

The maximum FBIOX drawdown since its inception was -71.96%, which is greater than XBI's maximum drawdown of -63.89%. Use the drawdown chart below to compare losses from any high point for FBIOX and XBI. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%-35.00%-30.00%-25.00%JuneJulyAugustSeptemberOctoberNovember
-27.55%
-42.12%
FBIOX
XBI

Volatility

FBIOX vs. XBI - Volatility Comparison

Fidelity Select Biotechnology Portfolio (FBIOX) and SPDR S&P Biotech ETF (XBI) have volatilities of 5.68% and 5.89%, 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.


4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.68%
5.89%
FBIOX
XBI