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

Key characteristics


FDRRVOO
YTD Return19.24%21.37%
1Y Return30.63%33.27%
3Y Return (Ann)8.36%8.64%
5Y Return (Ann)12.02%15.10%
Sharpe Ratio3.013.04
Sortino Ratio4.104.03
Omega Ratio1.561.57
Calmar Ratio4.024.39
Martin Ratio20.2120.12
Ulcer Index1.71%1.84%
Daily Std Dev11.46%12.19%
Max Drawdown-36.52%-33.99%
Current Drawdown-2.78%-2.31%

Correlation

-0.50.00.51.00.9

The correlation between FDRR and VOO is 0.93, 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

FDRR vs. VOO - Performance Comparison

In the year-to-date period, FDRR achieves a 19.24% return, which is significantly lower than VOO's 21.37% 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%JuneJulyAugustSeptemberOctoberNovember
13.66%
11.32%
FDRR
VOO

Compare stocks, funds, or ETFs

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


FDRR vs. VOO - Expense Ratio Comparison

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


FDRR
Fidelity Dividend ETF for Rising Rates
Expense ratio chart for FDRR: 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

FDRR vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Dividend ETF for Rising Rates (FDRR) 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.


FDRR
Sharpe ratio
The chart of Sharpe ratio for FDRR, currently valued at 3.01, compared to the broader market-2.000.002.004.006.003.01
Sortino ratio
The chart of Sortino ratio for FDRR, currently valued at 4.10, compared to the broader market0.005.0010.004.10
Omega ratio
The chart of Omega ratio for FDRR, currently valued at 1.55, compared to the broader market1.001.502.002.503.003.501.56
Calmar ratio
The chart of Calmar ratio for FDRR, currently valued at 4.02, compared to the broader market0.005.0010.0015.0020.004.02
Martin ratio
The chart of Martin ratio for FDRR, currently valued at 20.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.21
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.12

FDRR vs. VOO - Sharpe Ratio Comparison

The current FDRR Sharpe Ratio is 3.01, which is comparable to the VOO Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of FDRR 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.01
3.04
FDRR
VOO

Dividends

FDRR vs. VOO - Dividend Comparison

FDRR's dividend yield for the trailing twelve months is around 2.23%, more than VOO's 1.29% yield.


TTM20232022202120202019201820172016201520142013
FDRR
Fidelity Dividend ETF for Rising Rates
2.23%2.93%2.75%2.09%2.85%2.89%3.20%2.89%0.61%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FDRR vs. VOO - Drawdown Comparison

The maximum FDRR drawdown since its inception was -36.52%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FDRR and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.78%
-2.31%
FDRR
VOO

Volatility

FDRR vs. VOO - Volatility Comparison

The current volatility for Fidelity Dividend ETF for Rising Rates (FDRR) is 2.60%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.28%. This indicates that FDRR 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.60%
3.28%
FDRR
VOO