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FITLX vs. VFTAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FITLX and VFTAX is 0.98, 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.


-0.50.00.51.01.0

Performance

FITLX vs. VFTAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity US Sustainability Index Fund (FITLX) and Vanguard FTSE Social Index Fund Admiral Shares (VFTAX). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
141.69%
145.43%
FITLX
VFTAX

Key characteristics

Sharpe Ratio

FITLX:

1.83

VFTAX:

2.11

Sortino Ratio

FITLX:

2.46

VFTAX:

2.79

Omega Ratio

FITLX:

1.34

VFTAX:

1.39

Calmar Ratio

FITLX:

2.68

VFTAX:

3.10

Martin Ratio

FITLX:

10.93

VFTAX:

13.24

Ulcer Index

FITLX:

2.33%

VFTAX:

2.19%

Daily Std Dev

FITLX:

13.95%

VFTAX:

13.74%

Max Drawdown

FITLX:

-34.35%

VFTAX:

-34.20%

Current Drawdown

FITLX:

-4.45%

VFTAX:

-2.75%

Returns By Period

In the year-to-date period, FITLX achieves a 23.39% return, which is significantly lower than VFTAX's 26.98% return.


FITLX

YTD

23.39%

1M

-1.69%

6M

6.11%

1Y

24.09%

5Y*

14.67%

10Y*

N/A

VFTAX

YTD

26.98%

1M

0.71%

6M

9.97%

1Y

27.43%

5Y*

14.80%

10Y*

N/A

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. VFTAX - Expense Ratio Comparison

FITLX has a 0.11% expense ratio, which is lower than VFTAX's 0.14% 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%.


VFTAX
Vanguard FTSE Social Index Fund Admiral Shares
Expense ratio chart for VFTAX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
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. VFTAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity US Sustainability Index Fund (FITLX) and Vanguard FTSE Social Index Fund Admiral Shares (VFTAX). 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-1.000.001.002.003.004.001.832.11
The chart of Sortino ratio for FITLX, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.0010.002.462.79
The chart of Omega ratio for FITLX, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.003.501.341.39
The chart of Calmar ratio for FITLX, currently valued at 2.68, compared to the broader market0.002.004.006.008.0010.0012.0014.002.683.10
The chart of Martin ratio for FITLX, currently valued at 10.93, compared to the broader market0.0020.0040.0060.0010.9313.24
FITLX
VFTAX

The current FITLX Sharpe Ratio is 1.83, which is comparable to the VFTAX Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of FITLX and VFTAX, 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
1.83
2.11
FITLX
VFTAX

Dividends

FITLX vs. VFTAX - Dividend Comparison

FITLX has not paid dividends to shareholders, while VFTAX's dividend yield for the trailing twelve months is around 0.73%.


TTM2023202220212020201920182017
FITLX
Fidelity US Sustainability Index Fund
0.00%1.12%1.49%0.81%1.01%1.27%1.37%0.71%
VFTAX
Vanguard FTSE Social Index Fund Admiral Shares
0.73%1.10%1.34%0.94%1.21%1.44%0.00%0.00%

Drawdowns

FITLX vs. VFTAX - Drawdown Comparison

The maximum FITLX drawdown since its inception was -34.35%, roughly equal to the maximum VFTAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for FITLX and VFTAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.45%
-2.75%
FITLX
VFTAX

Volatility

FITLX vs. VFTAX - Volatility Comparison

Fidelity US Sustainability Index Fund (FITLX) has a higher volatility of 4.44% compared to Vanguard FTSE Social Index Fund Admiral Shares (VFTAX) at 4.09%. This indicates that FITLX's price experiences larger fluctuations and is considered to be riskier than VFTAX 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%
4.09%
FITLX
VFTAX
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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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