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FIDLX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FIDLX and ^GSPC is 0.90, 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.


-0.50.00.51.00.9

Performance

FIDLX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Advisor Large Cap Fund Class Z (FIDLX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.48%
7.20%
FIDLX
^GSPC

Key characteristics

Sharpe Ratio

FIDLX:

1.92

^GSPC:

1.83

Sortino Ratio

FIDLX:

2.69

^GSPC:

2.46

Omega Ratio

FIDLX:

1.38

^GSPC:

1.34

Calmar Ratio

FIDLX:

3.14

^GSPC:

2.72

Martin Ratio

FIDLX:

13.22

^GSPC:

11.89

Ulcer Index

FIDLX:

1.93%

^GSPC:

1.94%

Daily Std Dev

FIDLX:

13.28%

^GSPC:

12.57%

Max Drawdown

FIDLX:

-37.51%

^GSPC:

-56.78%

Current Drawdown

FIDLX:

-4.56%

^GSPC:

-3.66%

Returns By Period

In the year-to-date period, FIDLX achieves a 25.67% return, which is significantly higher than ^GSPC's 23.00% return.


FIDLX

YTD

25.67%

1M

-2.37%

6M

7.48%

1Y

27.45%

5Y*

14.63%

10Y*

N/A

^GSPC

YTD

23.00%

1M

-0.84%

6M

7.20%

1Y

24.88%

5Y*

12.77%

10Y*

10.96%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

FIDLX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Advisor Large Cap Fund Class Z (FIDLX) and S&P 500 (^GSPC). 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 FIDLX, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.001.921.83
The chart of Sortino ratio for FIDLX, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.002.692.46
The chart of Omega ratio for FIDLX, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.003.501.381.34
The chart of Calmar ratio for FIDLX, currently valued at 3.14, compared to the broader market0.002.004.006.008.0010.0012.0014.003.142.72
The chart of Martin ratio for FIDLX, currently valued at 13.22, compared to the broader market0.0020.0040.0060.0013.2211.89
FIDLX
^GSPC

The current FIDLX Sharpe Ratio is 1.92, which is comparable to the ^GSPC Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of FIDLX and ^GSPC, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.92
1.83
FIDLX
^GSPC

Drawdowns

FIDLX vs. ^GSPC - Drawdown Comparison

The maximum FIDLX drawdown since its inception was -37.51%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FIDLX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.56%
-3.66%
FIDLX
^GSPC

Volatility

FIDLX vs. ^GSPC - Volatility Comparison

The current volatility for Fidelity Advisor Large Cap Fund Class Z (FIDLX) is 3.29%, while S&P 500 (^GSPC) has a volatility of 3.62%. This indicates that FIDLX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.29%
3.62%
FIDLX
^GSPC
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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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