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FFLC vs. FMAG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FFLC and FMAG is 0.77, 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.


-0.50.00.51.00.8

Performance

FFLC vs. FMAG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Fundamental Large Cap Core ETF (FFLC) and Fidelity Magellan ETF (FMAG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.40%
5.81%
FFLC
FMAG

Key characteristics

Sharpe Ratio

FFLC:

2.27

FMAG:

1.97

Sortino Ratio

FFLC:

3.08

FMAG:

2.65

Omega Ratio

FFLC:

1.42

FMAG:

1.36

Calmar Ratio

FFLC:

3.40

FMAG:

3.10

Martin Ratio

FFLC:

15.53

FMAG:

12.44

Ulcer Index

FFLC:

1.96%

FMAG:

2.55%

Daily Std Dev

FFLC:

13.40%

FMAG:

16.13%

Max Drawdown

FFLC:

-15.86%

FMAG:

-32.93%

Current Drawdown

FFLC:

-2.63%

FMAG:

-2.80%

Returns By Period

The year-to-date returns for both investments are quite close, with FFLC having a 29.90% return and FMAG slightly higher at 30.97%.


FFLC

YTD

29.90%

1M

-1.12%

6M

7.92%

1Y

30.44%

5Y*

N/A

10Y*

N/A

FMAG

YTD

30.97%

1M

-0.03%

6M

6.81%

1Y

31.47%

5Y*

N/A

10Y*

N/A

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FFLC vs. FMAG - Expense Ratio Comparison

FFLC has a 0.38% expense ratio, which is lower than FMAG's 0.59% expense ratio.


FMAG
Fidelity Magellan ETF
Expense ratio chart for FMAG: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for FFLC: current value at 0.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.38%

Risk-Adjusted Performance

FFLC vs. FMAG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Fundamental Large Cap Core ETF (FFLC) and Fidelity Magellan ETF (FMAG). 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 FFLC, currently valued at 2.27, compared to the broader market0.002.004.002.271.97
The chart of Sortino ratio for FFLC, currently valued at 3.08, compared to the broader market-2.000.002.004.006.008.0010.003.082.65
The chart of Omega ratio for FFLC, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.36
The chart of Calmar ratio for FFLC, currently valued at 3.40, compared to the broader market0.005.0010.0015.003.403.10
The chart of Martin ratio for FFLC, currently valued at 15.53, compared to the broader market0.0020.0040.0060.0080.00100.0015.5312.44
FFLC
FMAG

The current FFLC Sharpe Ratio is 2.27, which is comparable to the FMAG Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of FFLC and FMAG, 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.27
1.97
FFLC
FMAG

Dividends

FFLC vs. FMAG - Dividend Comparison

FFLC's dividend yield for the trailing twelve months is around 0.81%, more than FMAG's 0.17% yield.


TTM2023202220212020
FFLC
Fidelity Fundamental Large Cap Core ETF
0.81%0.57%1.67%1.68%0.89%
FMAG
Fidelity Magellan ETF
0.17%0.34%0.23%0.03%0.00%

Drawdowns

FFLC vs. FMAG - Drawdown Comparison

The maximum FFLC drawdown since its inception was -15.86%, smaller than the maximum FMAG drawdown of -32.93%. Use the drawdown chart below to compare losses from any high point for FFLC and FMAG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.63%
-2.80%
FFLC
FMAG

Volatility

FFLC vs. FMAG - Volatility Comparison

The current volatility for Fidelity Fundamental Large Cap Core ETF (FFLC) is 3.76%, while Fidelity Magellan ETF (FMAG) has a volatility of 4.62%. This indicates that FFLC experiences smaller price fluctuations and is considered to be less risky than FMAG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.76%
4.62%
FFLC
FMAG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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