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

Correlation

The correlation between FDLO and VOO is 0.92, 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.


-0.50.00.51.00.9

Performance

FDLO vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Low Volatility Factor ETF (FDLO) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.04%
7.93%
FDLO
VOO

Key characteristics

Sharpe Ratio

FDLO:

1.87

VOO:

2.04

Sortino Ratio

FDLO:

2.50

VOO:

2.72

Omega Ratio

FDLO:

1.35

VOO:

1.38

Calmar Ratio

FDLO:

3.74

VOO:

3.02

Martin Ratio

FDLO:

12.04

VOO:

13.60

Ulcer Index

FDLO:

1.40%

VOO:

1.88%

Daily Std Dev

FDLO:

9.00%

VOO:

12.52%

Max Drawdown

FDLO:

-34.35%

VOO:

-33.99%

Current Drawdown

FDLO:

-3.69%

VOO:

-3.52%

Returns By Period

In the year-to-date period, FDLO achieves a 15.95% return, which is significantly lower than VOO's 24.65% return.


FDLO

YTD

15.95%

1M

-1.01%

6M

7.25%

1Y

16.47%

5Y*

10.99%

10Y*

N/A

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

Compare stocks, funds, or ETFs

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


FDLO vs. VOO - Expense Ratio Comparison

FDLO has a 0.29% expense ratio, which is higher than VOO's 0.03% expense ratio.


FDLO
Fidelity Low Volatility Factor ETF
Expense ratio chart for FDLO: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FDLO vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Low Volatility Factor ETF (FDLO) and Vanguard S&P 500 ETF (VOO). 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 FDLO, currently valued at 1.87, compared to the broader market0.002.004.001.872.04
The chart of Sortino ratio for FDLO, currently valued at 2.50, compared to the broader market-2.000.002.004.006.008.0010.002.502.72
The chart of Omega ratio for FDLO, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.38
The chart of Calmar ratio for FDLO, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.743.02
The chart of Martin ratio for FDLO, currently valued at 12.04, compared to the broader market0.0020.0040.0060.0080.00100.0012.0413.60
FDLO
VOO

The current FDLO Sharpe Ratio is 1.87, which is comparable to the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of FDLO and VOO, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.87
2.04
FDLO
VOO

Dividends

FDLO vs. VOO - Dividend Comparison

FDLO's dividend yield for the trailing twelve months is around 1.04%, less than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
FDLO
Fidelity Low Volatility Factor ETF
1.04%1.35%1.49%1.11%1.38%1.55%1.76%1.61%0.55%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FDLO vs. VOO - Drawdown Comparison

The maximum FDLO drawdown since its inception was -34.35%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FDLO and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.69%
-3.52%
FDLO
VOO

Volatility

FDLO vs. VOO - Volatility Comparison

The current volatility for Fidelity Low Volatility Factor ETF (FDLO) is 2.83%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.58%. This indicates that FDLO experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.83%
3.58%
FDLO
VOO
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