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

Performance

FIOOX vs. SFLNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Series Large Cap Value Index Fund (FIOOX) and Schwab Fundamental US Large Company Index Fund (SFLNX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.67%
10.11%
FIOOX
SFLNX

Returns By Period

In the year-to-date period, FIOOX achieves a 18.83% return, which is significantly lower than SFLNX's 19.78% return. Over the past 10 years, FIOOX has underperformed SFLNX with an annualized return of 9.18%, while SFLNX has yielded a comparatively higher 11.59% annualized return.


FIOOX

YTD

18.83%

1M

-0.11%

6M

9.33%

1Y

27.31%

5Y (annualized)

10.39%

10Y (annualized)

9.18%

SFLNX

YTD

19.78%

1M

0.38%

6M

9.66%

1Y

27.63%

5Y (annualized)

14.56%

10Y (annualized)

11.59%

Key characteristics


FIOOXSFLNX
Sharpe Ratio2.572.55
Sortino Ratio3.623.50
Omega Ratio1.461.47
Calmar Ratio5.124.39
Martin Ratio16.0516.56
Ulcer Index1.73%1.71%
Daily Std Dev10.82%11.11%
Max Drawdown-38.31%-60.01%
Current Drawdown-1.58%-1.69%

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FIOOX vs. SFLNX - Expense Ratio Comparison

FIOOX has a 0.00% expense ratio, which is lower than SFLNX's 0.25% 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%.


SFLNX
Schwab Fundamental US Large Company Index Fund
Expense ratio chart for SFLNX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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 SFLNX 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. SFLNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Series Large Cap Value Index Fund (FIOOX) and Schwab Fundamental US Large Company Index Fund (SFLNX). 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 2.57, compared to the broader market0.002.004.002.572.55
The chart of Sortino ratio for FIOOX, currently valued at 3.62, compared to the broader market0.005.0010.003.623.50
The chart of Omega ratio for FIOOX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.47
The chart of Calmar ratio for FIOOX, currently valued at 5.12, compared to the broader market0.005.0010.0015.0020.0025.005.124.39
The chart of Martin ratio for FIOOX, currently valued at 16.05, compared to the broader market0.0020.0040.0060.0080.00100.0016.0516.56
FIOOX
SFLNX

The current FIOOX Sharpe Ratio is 2.57, which is comparable to the SFLNX Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of FIOOX and SFLNX, 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
2.57
2.55
FIOOX
SFLNX

Dividends

FIOOX vs. SFLNX - Dividend Comparison

FIOOX's dividend yield for the trailing twelve months is around 1.90%, more than SFLNX's 1.55% yield.


TTM20232022202120202019201820172016201520142013
FIOOX
Fidelity Series Large Cap Value Index Fund
1.90%2.24%2.38%1.95%2.18%2.54%2.99%2.36%1.63%3.16%5.87%0.34%
SFLNX
Schwab Fundamental US Large Company Index Fund
1.55%1.86%2.09%1.74%2.43%2.39%2.86%2.10%2.25%2.42%1.73%1.51%

Drawdowns

FIOOX vs. SFLNX - Drawdown Comparison

The maximum FIOOX drawdown since its inception was -38.31%, smaller than the maximum SFLNX drawdown of -60.01%. Use the drawdown chart below to compare losses from any high point for FIOOX and SFLNX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.58%
-1.69%
FIOOX
SFLNX

Volatility

FIOOX vs. SFLNX - Volatility Comparison

The current volatility for Fidelity Series Large Cap Value Index Fund (FIOOX) is 3.67%, while Schwab Fundamental US Large Company Index Fund (SFLNX) has a volatility of 3.89%. This indicates that FIOOX experiences smaller price fluctuations and is considered to be less risky than SFLNX 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
3.67%
3.89%
FIOOX
SFLNX