PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FLRG vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FLRGVTI
YTD Return14.48%13.50%
1Y Return25.78%25.22%
3Y Return (Ann)10.82%8.32%
Sharpe Ratio2.392.20
Daily Std Dev10.63%11.62%
Max Drawdown-19.64%-55.45%
Current Drawdown-0.17%-0.40%

Correlation

-0.50.00.51.01.0

The correlation between FLRG and VTI 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

FLRG vs. VTI - Performance Comparison

In the year-to-date period, FLRG achieves a 14.48% return, which is significantly higher than VTI's 13.50% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


45.00%50.00%55.00%60.00%65.00%70.00%2024FebruaryMarchAprilMayJune
70.83%
66.30%
FLRG
VTI

Compare stocks, funds, or ETFs

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


Fidelity U.S. Multifactor ETF

Vanguard Total Stock Market ETF

FLRG vs. VTI - Expense Ratio Comparison

FLRG has a 0.29% expense ratio, which is higher than VTI's 0.03% expense ratio.


FLRG
Fidelity U.S. Multifactor ETF
Expense ratio chart for FLRG: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FLRG vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Multifactor ETF (FLRG) and Vanguard Total Stock Market ETF (VTI). 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.


FLRG
Sharpe ratio
The chart of Sharpe ratio for FLRG, currently valued at 2.39, compared to the broader market0.002.004.006.002.39
Sortino ratio
The chart of Sortino ratio for FLRG, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for FLRG, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.003.501.42
Calmar ratio
The chart of Calmar ratio for FLRG, currently valued at 3.30, compared to the broader market0.005.0010.0015.0020.003.30
Martin ratio
The chart of Martin ratio for FLRG, currently valued at 11.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.85
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.20, compared to the broader market0.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.09, compared to the broader market0.005.0010.003.09
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 1.82, compared to the broader market0.005.0010.0015.0020.001.82
Martin ratio
The chart of Martin ratio for VTI, currently valued at 8.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.03

FLRG vs. VTI - Sharpe Ratio Comparison

The current FLRG Sharpe Ratio is 2.39, which roughly equals the VTI Sharpe Ratio of 2.20. The chart below compares the 12-month rolling Sharpe Ratio of FLRG and VTI.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.39
2.20
FLRG
VTI

Dividends

FLRG vs. VTI - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.24%, less than VTI's 1.32% yield.


TTM20232022202120202019201820172016201520142013
FLRG
Fidelity U.S. Multifactor ETF
1.24%1.39%1.62%1.36%1.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.01%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

FLRG vs. VTI - Drawdown Comparison

The maximum FLRG drawdown since its inception was -19.64%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for FLRG and VTI. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.17%
-0.40%
FLRG
VTI

Volatility

FLRG vs. VTI - Volatility Comparison

The current volatility for Fidelity U.S. Multifactor ETF (FLRG) is 2.12%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 2.50%. This indicates that FLRG experiences smaller price fluctuations and is considered to be less risky than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.12%
2.50%
FLRG
VTI