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FELG vs. FELV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FELG vs. FELV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Enhanced Large Cap Growth ETF (FELG) and Fidelity Enhanced Large Cap Value ETF (FELV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.72%
14.52%
FELG
FELV

Returns By Period

In the year-to-date period, FELG achieves a 32.13% return, which is significantly higher than FELV's 23.25% return.


FELG

YTD

32.13%

1M

3.26%

6M

13.72%

1Y

37.30%

5Y (annualized)

N/A

10Y (annualized)

N/A

FELV

YTD

23.25%

1M

4.38%

6M

14.53%

1Y

31.75%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FELGFELV
Sharpe Ratio2.202.96
Sortino Ratio2.874.15
Omega Ratio1.401.54
Calmar Ratio2.815.94
Martin Ratio11.0417.94
Ulcer Index3.38%1.77%
Daily Std Dev16.94%10.74%
Max Drawdown-13.29%-5.34%
Current Drawdown-1.57%0.00%

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FELG vs. FELV - Expense Ratio Comparison

Both FELG and FELV have an expense ratio of 0.18%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


FELG
Fidelity Enhanced Large Cap Growth ETF
Expense ratio chart for FELG: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for FELV: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.5

The correlation between FELG and FELV is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

FELG vs. FELV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Enhanced Large Cap Growth ETF (FELG) and Fidelity Enhanced Large Cap Value ETF (FELV). 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 FELG, currently valued at 2.20, compared to the broader market0.002.004.002.202.96
The chart of Sortino ratio for FELG, currently valued at 2.87, compared to the broader market-2.000.002.004.006.008.0010.0012.002.874.15
The chart of Omega ratio for FELG, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.54
The chart of Calmar ratio for FELG, currently valued at 2.81, compared to the broader market0.005.0010.0015.0020.002.815.94
The chart of Martin ratio for FELG, currently valued at 11.04, compared to the broader market0.0020.0040.0060.0080.00100.0011.0417.94
FELG
FELV

The current FELG Sharpe Ratio is 2.20, which is comparable to the FELV Sharpe Ratio of 2.96. The chart below compares the historical Sharpe Ratios of FELG and FELV, 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 Ratio2.202.402.602.803.0003 AM06 AM09 AM12 PM03 PM06 PM09 PMFri 22
2.20
2.96
FELG
FELV

Dividends

FELG vs. FELV - Dividend Comparison

FELG's dividend yield for the trailing twelve months is around 0.40%, less than FELV's 1.48% yield.


TTM2023
FELG
Fidelity Enhanced Large Cap Growth ETF
0.40%0.11%
FELV
Fidelity Enhanced Large Cap Value ETF
1.48%0.04%

Drawdowns

FELG vs. FELV - Drawdown Comparison

The maximum FELG drawdown since its inception was -13.29%, which is greater than FELV's maximum drawdown of -5.34%. Use the drawdown chart below to compare losses from any high point for FELG and FELV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.57%
0
FELG
FELV

Volatility

FELG vs. FELV - Volatility Comparison

Fidelity Enhanced Large Cap Growth ETF (FELG) has a higher volatility of 5.47% compared to Fidelity Enhanced Large Cap Value ETF (FELV) at 4.03%. This indicates that FELG's price experiences larger fluctuations and is considered to be riskier than FELV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.47%
4.03%
FELG
FELV