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

Performance

FELG vs. SCHG - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.72%
14.88%
FELG
SCHG

Returns By Period

The year-to-date returns for both investments are quite close, with FELG having a 32.13% return and SCHG slightly higher at 32.97%.


FELG

YTD

32.13%

1M

3.26%

6M

13.72%

1Y

37.30%

5Y (annualized)

N/A

10Y (annualized)

N/A

SCHG

YTD

32.97%

1M

4.60%

6M

14.88%

1Y

38.45%

5Y (annualized)

20.43%

10Y (annualized)

16.46%

Key characteristics


FELGSCHG
Sharpe Ratio2.202.26
Sortino Ratio2.872.95
Omega Ratio1.401.41
Calmar Ratio2.813.11
Martin Ratio11.0412.34
Ulcer Index3.38%3.12%
Daily Std Dev16.94%16.99%
Max Drawdown-13.29%-34.59%
Current Drawdown-1.57%-1.19%

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FELG vs. SCHG - Expense Ratio Comparison

FELG has a 0.18% expense ratio, which is higher than SCHG's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually 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 SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.01.0

The correlation between FELG and SCHG is 0.99, 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.

Risk-Adjusted Performance

FELG vs. SCHG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Enhanced Large Cap Growth ETF (FELG) and Schwab U.S. Large-Cap Growth ETF (SCHG). 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 market0.002.004.002.202.26
The chart of Sortino ratio for FELG, currently valued at 2.87, compared to the broader market-2.000.002.004.006.008.0010.0012.002.872.95
The chart of Omega ratio for FELG, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.41
The chart of Calmar ratio for FELG, currently valued at 2.81, compared to the broader market0.005.0010.0015.002.813.11
The chart of Martin ratio for FELG, currently valued at 11.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.0412.34
FELG
SCHG

The current FELG Sharpe Ratio is 2.20, which is comparable to the SCHG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of FELG and SCHG, 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 Ratio2.202.222.242.262.2803 AM06 AM09 AM12 PM03 PM06 PM09 PMFri 22
2.20
2.26
FELG
SCHG

Dividends

FELG vs. SCHG - Dividend Comparison

FELG's dividend yield for the trailing twelve months is around 0.40%, which matches SCHG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
FELG
Fidelity Enhanced Large Cap Growth ETF
0.40%0.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

FELG vs. SCHG - Drawdown Comparison

The maximum FELG drawdown since its inception was -13.29%, smaller than the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for FELG and SCHG. 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%
-1.19%
FELG
SCHG

Volatility

FELG vs. SCHG - Volatility Comparison

Fidelity Enhanced Large Cap Growth ETF (FELG) and Schwab U.S. Large-Cap Growth ETF (SCHG) have volatilities of 5.47% and 5.49%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.47%
5.49%
FELG
SCHG