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FFGZX vs. TLT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FFGZXTLT
YTD Return5.97%-3.33%
1Y Return12.19%9.94%
3Y Return (Ann)0.36%-12.43%
5Y Return (Ann)1.55%-4.96%
Sharpe Ratio2.730.49
Sortino Ratio4.210.79
Omega Ratio1.521.09
Calmar Ratio1.260.16
Martin Ratio15.891.23
Ulcer Index0.77%6.00%
Daily Std Dev4.50%15.09%
Max Drawdown-15.28%-48.35%
Current Drawdown-0.98%-39.77%

Correlation

-0.50.00.51.00.4

The correlation between FFGZX and TLT is 0.41, 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.

Performance

FFGZX vs. TLT - Performance Comparison

In the year-to-date period, FFGZX achieves a 5.97% return, which is significantly higher than TLT's -3.33% 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%JuneJulyAugustSeptemberOctoberNovember
5.04%
4.67%
FFGZX
TLT

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FFGZX vs. TLT - Expense Ratio Comparison

FFGZX has a 0.08% expense ratio, which is lower than TLT's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for FFGZX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

FFGZX vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Freedom Index Income Fund Institutional Premium Class (FFGZX) and iShares 20+ Year Treasury Bond ETF (TLT). 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.


FFGZX
Sharpe ratio
The chart of Sharpe ratio for FFGZX, currently valued at 2.73, compared to the broader market0.002.004.002.73
Sortino ratio
The chart of Sortino ratio for FFGZX, currently valued at 4.21, compared to the broader market0.005.0010.004.21
Omega ratio
The chart of Omega ratio for FFGZX, currently valued at 1.52, compared to the broader market1.002.003.004.001.52
Calmar ratio
The chart of Calmar ratio for FFGZX, currently valued at 1.26, compared to the broader market0.005.0010.0015.0020.001.26
Martin ratio
The chart of Martin ratio for FFGZX, currently valued at 15.89, compared to the broader market0.0020.0040.0060.0080.00100.0015.89
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at 0.67, compared to the broader market0.002.004.000.67
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at 1.03, compared to the broader market0.005.0010.001.03
Omega ratio
The chart of Omega ratio for TLT, currently valued at 1.12, compared to the broader market1.002.003.004.001.12
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at 0.22, compared to the broader market0.005.0010.0015.0020.000.22
Martin ratio
The chart of Martin ratio for TLT, currently valued at 1.65, compared to the broader market0.0020.0040.0060.0080.00100.001.65

FFGZX vs. TLT - Sharpe Ratio Comparison

The current FFGZX Sharpe Ratio is 2.73, which is higher than the TLT Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of FFGZX and TLT, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.73
0.67
FFGZX
TLT

Dividends

FFGZX vs. TLT - Dividend Comparison

FFGZX's dividend yield for the trailing twelve months is around 3.32%, less than TLT's 3.98% yield.


TTM20232022202120202019201820172016201520142013
FFGZX
Fidelity Freedom Index Income Fund Institutional Premium Class
3.32%2.88%2.91%1.48%1.29%2.14%2.10%1.59%1.58%1.17%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.98%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

FFGZX vs. TLT - Drawdown Comparison

The maximum FFGZX drawdown since its inception was -15.28%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for FFGZX and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.98%
-39.77%
FFGZX
TLT

Volatility

FFGZX vs. TLT - Volatility Comparison

The current volatility for Fidelity Freedom Index Income Fund Institutional Premium Class (FFGZX) is 1.12%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 5.01%. This indicates that FFGZX experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.12%
5.01%
FFGZX
TLT