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FDUS vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDUS and SPY is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

FDUS vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidus Investment Corporation (FDUS) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FDUS:

0.79

SPY:

0.66

Sortino Ratio

FDUS:

1.19

SPY:

1.08

Omega Ratio

FDUS:

1.18

SPY:

1.16

Calmar Ratio

FDUS:

0.64

SPY:

0.72

Martin Ratio

FDUS:

2.27

SPY:

2.78

Ulcer Index

FDUS:

6.77%

SPY:

4.88%

Daily Std Dev

FDUS:

19.48%

SPY:

20.26%

Max Drawdown

FDUS:

-69.51%

SPY:

-55.19%

Current Drawdown

FDUS:

-10.51%

SPY:

-2.99%

Returns By Period

In the year-to-date period, FDUS achieves a -0.50% return, which is significantly lower than SPY's 1.46% return. Over the past 10 years, FDUS has outperformed SPY with an annualized return of 13.78%, while SPY has yielded a comparatively lower 12.71% annualized return.


FDUS

YTD

-0.50%

1M

9.87%

6M

3.55%

1Y

15.32%

3Y*

16.18%

5Y*

31.37%

10Y*

13.78%

SPY

YTD

1.46%

1M

12.62%

6M

1.07%

1Y

13.27%

3Y*

16.71%

5Y*

16.68%

10Y*

12.71%

*Annualized

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Fidus Investment Corporation

SPDR S&P 500 ETF

Risk-Adjusted Performance

FDUS vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FDUS
The Risk-Adjusted Performance Rank of FDUS is 7575
Overall Rank
The Sharpe Ratio Rank of FDUS is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of FDUS is 7070
Sortino Ratio Rank
The Omega Ratio Rank of FDUS is 7272
Omega Ratio Rank
The Calmar Ratio Rank of FDUS is 7777
Calmar Ratio Rank
The Martin Ratio Rank of FDUS is 7575
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6666
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7070
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FDUS vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidus Investment Corporation (FDUS) and SPDR S&P 500 ETF (SPY). 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.


The current FDUS Sharpe Ratio is 0.79, which is comparable to the SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of FDUS and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FDUS vs. SPY - Dividend Comparison

FDUS's dividend yield for the trailing twelve months is around 11.33%, more than SPY's 1.21% yield.


TTM20242023202220212020201920182017201620152014
FDUS
Fidus Investment Corporation
11.33%11.51%14.63%10.51%8.90%10.15%8.17%13.69%10.54%10.17%11.66%11.51%
SPY
SPDR S&P 500 ETF
1.21%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

FDUS vs. SPY - Drawdown Comparison

The maximum FDUS drawdown since its inception was -69.51%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FDUS and SPY. For additional features, visit the drawdowns tool.


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Volatility

FDUS vs. SPY - Volatility Comparison

Fidus Investment Corporation (FDUS) has a higher volatility of 6.03% compared to SPDR S&P 500 ETF (SPY) at 4.66%. This indicates that FDUS's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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