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FDRR vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FDRRVYM
YTD Return19.24%16.65%
1Y Return30.63%26.67%
3Y Return (Ann)8.36%8.52%
5Y Return (Ann)12.02%10.48%
Sharpe Ratio3.012.87
Sortino Ratio4.104.04
Omega Ratio1.561.52
Calmar Ratio4.024.15
Martin Ratio20.2118.69
Ulcer Index1.71%1.62%
Daily Std Dev11.46%10.55%
Max Drawdown-36.52%-56.98%
Current Drawdown-2.78%-3.00%

Correlation

-0.50.00.51.00.9

The correlation between FDRR and VYM is 0.91, 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. VYM - Performance Comparison

In the year-to-date period, FDRR achieves a 19.24% return, which is significantly higher than VYM's 16.65% 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%
9.88%
FDRR
VYM

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FDRR vs. VYM - Expense Ratio Comparison

FDRR has a 0.29% expense ratio, which is higher than VYM's 0.06% 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 VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

FDRR vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Dividend ETF for Rising Rates (FDRR) and Vanguard High Dividend Yield ETF (VYM). 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
VYM
Sharpe ratio
The chart of Sharpe ratio for VYM, currently valued at 2.87, compared to the broader market-2.000.002.004.006.002.87
Sortino ratio
The chart of Sortino ratio for VYM, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for VYM, currently valued at 1.52, compared to the broader market1.001.502.002.503.003.501.52
Calmar ratio
The chart of Calmar ratio for VYM, currently valued at 4.15, compared to the broader market0.005.0010.0015.0020.004.15
Martin ratio
The chart of Martin ratio for VYM, currently valued at 18.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.69

FDRR vs. VYM - Sharpe Ratio Comparison

The current FDRR Sharpe Ratio is 3.01, which is comparable to the VYM Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of FDRR and VYM, 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
2.87
FDRR
VYM

Dividends

FDRR vs. VYM - Dividend Comparison

FDRR's dividend yield for the trailing twelve months is around 2.23%, less than VYM's 2.85% 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%
VYM
Vanguard High Dividend Yield ETF
2.85%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

FDRR vs. VYM - Drawdown Comparison

The maximum FDRR drawdown since its inception was -36.52%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for FDRR and VYM. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.78%
-3.00%
FDRR
VYM

Volatility

FDRR vs. VYM - Volatility Comparison

The current volatility for Fidelity Dividend ETF for Rising Rates (FDRR) is 2.60%, while Vanguard High Dividend Yield ETF (VYM) has a volatility of 2.75%. This indicates that FDRR experiences smaller price fluctuations and is considered to be less risky than VYM 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%
2.75%
FDRR
VYM