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FIOOX vs. DODGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FIOOXDODGX
YTD Return20.73%21.88%
1Y Return33.64%34.41%
3Y Return (Ann)8.00%9.70%
5Y Return (Ann)10.77%14.60%
10Y Return (Ann)9.51%11.58%
Sharpe Ratio3.183.30
Sortino Ratio4.464.57
Omega Ratio1.581.62
Calmar Ratio4.265.90
Martin Ratio20.3125.28
Ulcer Index1.72%1.43%
Daily Std Dev10.99%10.89%
Max Drawdown-38.31%-63.25%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between FIOOX and DODGX is 0.95, 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.

Performance

FIOOX vs. DODGX - Performance Comparison

In the year-to-date period, FIOOX achieves a 20.73% return, which is significantly lower than DODGX's 21.88% return. Over the past 10 years, FIOOX has underperformed DODGX with an annualized return of 9.51%, while DODGX has yielded a comparatively higher 11.58% annualized 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
12.35%
12.89%
FIOOX
DODGX

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FIOOX vs. DODGX - Expense Ratio Comparison

FIOOX has a 0.00% expense ratio, which is lower than DODGX's 0.51% expense ratio.


DODGX
Dodge & Cox Stock Fund Class I
Expense ratio chart for DODGX: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%
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%

Risk-Adjusted Performance

FIOOX vs. DODGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Series Large Cap Value Index Fund (FIOOX) and Dodge & Cox Stock Fund Class I (DODGX). 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.


FIOOX
Sharpe ratio
The chart of Sharpe ratio for FIOOX, currently valued at 3.18, compared to the broader market0.002.004.003.18
Sortino ratio
The chart of Sortino ratio for FIOOX, currently valued at 4.46, compared to the broader market0.005.0010.004.46
Omega ratio
The chart of Omega ratio for FIOOX, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for FIOOX, currently valued at 4.26, compared to the broader market0.005.0010.0015.0020.004.26
Martin ratio
The chart of Martin ratio for FIOOX, currently valued at 20.31, compared to the broader market0.0020.0040.0060.0080.00100.0020.31
DODGX
Sharpe ratio
The chart of Sharpe ratio for DODGX, currently valued at 3.30, compared to the broader market0.002.004.003.30
Sortino ratio
The chart of Sortino ratio for DODGX, currently valued at 4.57, compared to the broader market0.005.0010.004.57
Omega ratio
The chart of Omega ratio for DODGX, currently valued at 1.62, compared to the broader market1.002.003.004.001.62
Calmar ratio
The chart of Calmar ratio for DODGX, currently valued at 5.90, compared to the broader market0.005.0010.0015.0020.005.90
Martin ratio
The chart of Martin ratio for DODGX, currently valued at 25.28, compared to the broader market0.0020.0040.0060.0080.00100.0025.28

FIOOX vs. DODGX - Sharpe Ratio Comparison

The current FIOOX Sharpe Ratio is 3.18, which is comparable to the DODGX Sharpe Ratio of 3.30. The chart below compares the historical Sharpe Ratios of FIOOX and DODGX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.18
3.30
FIOOX
DODGX

Dividends

FIOOX vs. DODGX - Dividend Comparison

FIOOX's dividend yield for the trailing twelve months is around 1.87%, more than DODGX's 1.38% 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%
DODGX
Dodge & Cox Stock Fund Class I
1.38%1.45%1.43%1.25%1.74%1.88%1.68%1.53%1.64%1.51%3.17%1.25%

Drawdowns

FIOOX vs. DODGX - Drawdown Comparison

The maximum FIOOX drawdown since its inception was -38.31%, smaller than the maximum DODGX drawdown of -63.25%. Use the drawdown chart below to compare losses from any high point for FIOOX and DODGX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
FIOOX
DODGX

Volatility

FIOOX vs. DODGX - Volatility Comparison

The current volatility for Fidelity Series Large Cap Value Index Fund (FIOOX) is 3.69%, while Dodge & Cox Stock Fund Class I (DODGX) has a volatility of 4.03%. This indicates that FIOOX experiences smaller price fluctuations and is considered to be less risky than DODGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.69%
4.03%
FIOOX
DODGX