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

Performance

FELV vs. FZROX - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.52%
14.00%
FELV
FZROX

Returns By Period

In the year-to-date period, FELV achieves a 23.25% return, which is significantly lower than FZROX's 26.41% return.


FELV

YTD

23.25%

1M

4.51%

6M

14.53%

1Y

31.37%

5Y (annualized)

N/A

10Y (annualized)

N/A

FZROX

YTD

26.41%

1M

4.01%

6M

14.00%

1Y

33.79%

5Y (annualized)

15.33%

10Y (annualized)

N/A

Key characteristics


FELVFZROX
Sharpe Ratio2.962.69
Sortino Ratio4.153.57
Omega Ratio1.541.49
Calmar Ratio5.943.94
Martin Ratio17.9417.13
Ulcer Index1.77%1.97%
Daily Std Dev10.74%12.58%
Max Drawdown-5.34%-34.96%
Current Drawdown0.00%-0.28%

Compare stocks, funds, or ETFs

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FELV vs. FZROX - Expense Ratio Comparison

FELV has a 0.18% expense ratio, which is higher than FZROX's 0.00% 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%.


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

Correlation

-0.50.00.51.00.8

The correlation between FELV and FZROX is 0.78, 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

FELV vs. FZROX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Enhanced Large Cap Value ETF (FELV) and Fidelity ZERO Total Market Index Fund (FZROX). 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 FELV, currently valued at 2.96, compared to the broader market0.002.004.002.962.69
The chart of Sortino ratio for FELV, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.0012.004.153.57
The chart of Omega ratio for FELV, currently valued at 1.54, compared to the broader market0.501.001.502.002.503.001.541.49
The chart of Calmar ratio for FELV, currently valued at 5.94, compared to the broader market0.005.0010.0015.005.943.94
The chart of Martin ratio for FELV, currently valued at 17.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.9417.13
FELV
FZROX

The current FELV Sharpe Ratio is 2.96, which is comparable to the FZROX Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of FELV and FZROX, 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 Ratio2.702.752.802.852.902.9503 AM06 AM09 AM12 PM03 PM06 PM09 PMFri 22
2.96
2.69
FELV
FZROX

Dividends

FELV vs. FZROX - Dividend Comparison

FELV's dividend yield for the trailing twelve months is around 1.48%, more than FZROX's 1.08% yield.


TTM202320222021202020192018
FELV
Fidelity Enhanced Large Cap Value ETF
1.48%0.04%0.00%0.00%0.00%0.00%0.00%
FZROX
Fidelity ZERO Total Market Index Fund
1.08%1.36%1.57%1.08%1.27%1.45%0.63%

Drawdowns

FELV vs. FZROX - Drawdown Comparison

The maximum FELV drawdown since its inception was -5.34%, smaller than the maximum FZROX drawdown of -34.96%. Use the drawdown chart below to compare losses from any high point for FELV and FZROX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.28%
FELV
FZROX

Volatility

FELV vs. FZROX - Volatility Comparison

Fidelity Enhanced Large Cap Value ETF (FELV) and Fidelity ZERO Total Market Index Fund (FZROX) have volatilities of 4.03% and 4.19%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.03%
4.19%
FELV
FZROX