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FDIS vs. XRT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDISXRT
YTD Return21.83%11.03%
1Y Return32.31%29.35%
3Y Return (Ann)3.05%-6.36%
5Y Return (Ann)16.54%14.02%
10Y Return (Ann)14.25%7.33%
Sharpe Ratio2.091.62
Sortino Ratio2.832.39
Omega Ratio1.361.28
Calmar Ratio1.840.93
Martin Ratio10.658.06
Ulcer Index3.48%4.44%
Daily Std Dev17.73%22.01%
Max Drawdown-39.16%-65.82%
Current Drawdown-0.63%-19.19%

Correlation

-0.50.00.51.00.8

The correlation between FDIS and XRT is 0.78, 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

FDIS vs. XRT - Performance Comparison

In the year-to-date period, FDIS achieves a 21.83% return, which is significantly higher than XRT's 11.03% return. Over the past 10 years, FDIS has outperformed XRT with an annualized return of 14.25%, while XRT has yielded a comparatively lower 7.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.76%
3.43%
FDIS
XRT

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FDIS vs. XRT - Expense Ratio Comparison

FDIS has a 0.08% expense ratio, which is lower than XRT's 0.35% expense ratio.


XRT
SPDR S&P Retail ETF
Expense ratio chart for XRT: 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%
Expense ratio chart for FDIS: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

FDIS vs. XRT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity MSCI Consumer Discretionary Index ETF (FDIS) and SPDR S&P Retail ETF (XRT). 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.


FDIS
Sharpe ratio
The chart of Sharpe ratio for FDIS, currently valued at 2.09, compared to the broader market-2.000.002.004.002.09
Sortino ratio
The chart of Sortino ratio for FDIS, currently valued at 2.83, compared to the broader market-2.000.002.004.006.008.0010.0012.002.83
Omega ratio
The chart of Omega ratio for FDIS, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for FDIS, currently valued at 1.84, compared to the broader market0.005.0010.0015.001.84
Martin ratio
The chart of Martin ratio for FDIS, currently valued at 10.65, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.65
XRT
Sharpe ratio
The chart of Sharpe ratio for XRT, currently valued at 1.62, compared to the broader market-2.000.002.004.001.62
Sortino ratio
The chart of Sortino ratio for XRT, currently valued at 2.39, compared to the broader market-2.000.002.004.006.008.0010.0012.002.39
Omega ratio
The chart of Omega ratio for XRT, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for XRT, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.93
Martin ratio
The chart of Martin ratio for XRT, currently valued at 8.06, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.06

FDIS vs. XRT - Sharpe Ratio Comparison

The current FDIS Sharpe Ratio is 2.09, which is comparable to the XRT Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of FDIS and XRT, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.09
1.62
FDIS
XRT

Dividends

FDIS vs. XRT - Dividend Comparison

FDIS's dividend yield for the trailing twelve months is around 0.69%, less than XRT's 1.22% yield.


TTM20232022202120202019201820172016201520142013
FDIS
Fidelity MSCI Consumer Discretionary Index ETF
0.69%0.78%1.00%0.58%0.59%1.14%1.29%1.00%1.62%1.25%1.01%0.28%
XRT
SPDR S&P Retail ETF
1.22%1.40%2.15%1.55%1.01%1.57%1.51%1.52%1.36%1.29%0.74%0.60%

Drawdowns

FDIS vs. XRT - Drawdown Comparison

The maximum FDIS drawdown since its inception was -39.16%, smaller than the maximum XRT drawdown of -65.82%. Use the drawdown chart below to compare losses from any high point for FDIS and XRT. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.63%
-19.19%
FDIS
XRT

Volatility

FDIS vs. XRT - Volatility Comparison

Fidelity MSCI Consumer Discretionary Index ETF (FDIS) has a higher volatility of 6.01% compared to SPDR S&P Retail ETF (XRT) at 4.59%. This indicates that FDIS's price experiences larger fluctuations and is considered to be riskier than XRT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
6.01%
4.59%
FDIS
XRT