PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FIOOX vs. DFLVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FIOOX vs. DFLVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Series Large Cap Value Index Fund (FIOOX) and DFA U.S. Large Cap Value Portfolio (DFLVX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.87%
11.11%
FIOOX
DFLVX

Returns By Period

The year-to-date returns for both stocks are quite close, with FIOOX having a 20.53% return and DFLVX slightly lower at 20.11%. Both investments have delivered pretty close results over the past 10 years, with FIOOX having a 9.33% annualized return and DFLVX not far behind at 9.24%.


FIOOX

YTD

20.53%

1M

2.49%

6M

12.87%

1Y

28.77%

5Y (annualized)

10.61%

10Y (annualized)

9.33%

DFLVX

YTD

20.11%

1M

3.07%

6M

11.11%

1Y

28.49%

5Y (annualized)

10.64%

10Y (annualized)

9.24%

Key characteristics


FIOOXDFLVX
Sharpe Ratio2.702.42
Sortino Ratio3.783.46
Omega Ratio1.491.44
Calmar Ratio5.394.71
Martin Ratio16.8813.76
Ulcer Index1.74%2.11%
Daily Std Dev10.87%12.00%
Max Drawdown-38.31%-65.65%
Current Drawdown-0.17%-0.53%

Compare stocks, funds, or ETFs

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


FIOOX vs. DFLVX - Expense Ratio Comparison

FIOOX has a 0.00% expense ratio, which is lower than DFLVX's 0.22% 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%.


DFLVX
DFA U.S. Large Cap Value Portfolio
Expense ratio chart for DFLVX: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for FIOOX: 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

-0.50.00.51.01.0

The correlation between FIOOX and DFLVX is 0.97, 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

FIOOX vs. DFLVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Series Large Cap Value Index Fund (FIOOX) and DFA U.S. Large Cap Value Portfolio (DFLVX). 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 FIOOX, currently valued at 2.70, compared to the broader market-1.000.001.002.003.004.005.002.702.42
The chart of Sortino ratio for FIOOX, currently valued at 3.78, compared to the broader market0.005.0010.003.783.46
The chart of Omega ratio for FIOOX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.44
The chart of Calmar ratio for FIOOX, currently valued at 5.39, compared to the broader market0.005.0010.0015.0020.0025.005.394.71
The chart of Martin ratio for FIOOX, currently valued at 16.88, compared to the broader market0.0020.0040.0060.0080.00100.0016.8813.76
FIOOX
DFLVX

The current FIOOX Sharpe Ratio is 2.70, which is comparable to the DFLVX Sharpe Ratio of 2.42. The chart below compares the historical Sharpe Ratios of FIOOX and DFLVX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.70
2.42
FIOOX
DFLVX

Dividends

FIOOX vs. DFLVX - Dividend Comparison

FIOOX's dividend yield for the trailing twelve months is around 1.87%, more than DFLVX's 1.73% yield.


TTM20232022202120202019201820172016201520142013
FIOOX
Fidelity Series Large Cap Value Index Fund
1.87%2.24%2.38%1.95%2.18%2.54%2.99%2.36%1.63%3.16%5.87%0.34%
DFLVX
DFA U.S. Large Cap Value Portfolio
1.73%1.99%2.05%1.54%1.97%1.93%2.22%1.80%1.90%2.14%1.72%1.44%

Drawdowns

FIOOX vs. DFLVX - Drawdown Comparison

The maximum FIOOX drawdown since its inception was -38.31%, smaller than the maximum DFLVX drawdown of -65.65%. Use the drawdown chart below to compare losses from any high point for FIOOX and DFLVX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.17%
-0.53%
FIOOX
DFLVX

Volatility

FIOOX vs. DFLVX - Volatility Comparison

The current volatility for Fidelity Series Large Cap Value Index Fund (FIOOX) is 3.80%, while DFA U.S. Large Cap Value Portfolio (DFLVX) has a volatility of 4.74%. This indicates that FIOOX experiences smaller price fluctuations and is considered to be less risky than DFLVX 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%JuneJulyAugustSeptemberOctoberNovember
3.80%
4.74%
FIOOX
DFLVX