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

Correlation

The correlation between FITLX and FEDDX is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

FITLX vs. FEDDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity US Sustainability Index Fund (FITLX) and Fidelity Emerging Markets Discovery Fund (FEDDX). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
184.12%
37.37%
FITLX
FEDDX

Key characteristics

Sharpe Ratio

FITLX:

1.83

FEDDX:

-0.17

Sortino Ratio

FITLX:

2.46

FEDDX:

-0.14

Omega Ratio

FITLX:

1.34

FEDDX:

0.98

Calmar Ratio

FITLX:

2.68

FEDDX:

-0.16

Martin Ratio

FITLX:

10.93

FEDDX:

-0.51

Ulcer Index

FITLX:

2.33%

FEDDX:

4.50%

Daily Std Dev

FITLX:

13.95%

FEDDX:

13.57%

Max Drawdown

FITLX:

-34.35%

FEDDX:

-42.95%

Current Drawdown

FITLX:

-4.45%

FEDDX:

-13.25%

Returns By Period

In the year-to-date period, FITLX achieves a 23.39% return, which is significantly higher than FEDDX's -6.33% return.


FITLX

YTD

23.39%

1M

-1.69%

6M

6.11%

1Y

24.09%

5Y*

14.67%

10Y*

N/A

FEDDX

YTD

-6.33%

1M

-4.82%

6M

-7.40%

1Y

-3.27%

5Y*

4.85%

10Y*

5.37%

Compare stocks, funds, or ETFs

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


FITLX vs. FEDDX - Expense Ratio Comparison

FITLX has a 0.11% expense ratio, which is lower than FEDDX's 1.19% expense ratio.


FEDDX
Fidelity Emerging Markets Discovery Fund
Expense ratio chart for FEDDX: current value at 1.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.19%
Expense ratio chart for FITLX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

FITLX vs. FEDDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity US Sustainability Index Fund (FITLX) and Fidelity Emerging Markets Discovery Fund (FEDDX). 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 FITLX, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.001.83-0.17
The chart of Sortino ratio for FITLX, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.0010.002.46-0.14
The chart of Omega ratio for FITLX, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.003.501.340.98
The chart of Calmar ratio for FITLX, currently valued at 2.68, compared to the broader market0.002.004.006.008.0010.0012.0014.002.68-0.16
The chart of Martin ratio for FITLX, currently valued at 10.93, compared to the broader market0.0020.0040.0060.0010.93-0.51
FITLX
FEDDX

The current FITLX Sharpe Ratio is 1.83, which is higher than the FEDDX Sharpe Ratio of -0.17. The chart below compares the historical Sharpe Ratios of FITLX and FEDDX, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.83
-0.17
FITLX
FEDDX

Dividends

FITLX vs. FEDDX - Dividend Comparison

Neither FITLX nor FEDDX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
FITLX
Fidelity US Sustainability Index Fund
0.00%1.12%1.49%0.81%1.01%1.27%1.37%0.71%0.00%0.00%0.00%0.00%
FEDDX
Fidelity Emerging Markets Discovery Fund
0.00%2.05%1.69%2.59%0.59%1.05%1.82%0.74%0.80%0.81%0.00%3.87%

Drawdowns

FITLX vs. FEDDX - Drawdown Comparison

The maximum FITLX drawdown since its inception was -34.35%, smaller than the maximum FEDDX drawdown of -42.95%. Use the drawdown chart below to compare losses from any high point for FITLX and FEDDX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.45%
-13.25%
FITLX
FEDDX

Volatility

FITLX vs. FEDDX - Volatility Comparison

The current volatility for Fidelity US Sustainability Index Fund (FITLX) is 4.44%, while Fidelity Emerging Markets Discovery Fund (FEDDX) has a volatility of 5.14%. This indicates that FITLX experiences smaller price fluctuations and is considered to be less risky than FEDDX 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.44%
5.14%
FITLX
FEDDX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab