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FLRG vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.9

Performance

FLRG vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity U.S. Multifactor ETF (FLRG) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.10%
9.67%
FLRG
VTI

Key characteristics

Sharpe Ratio

FLRG:

2.07

VTI:

2.07

Sortino Ratio

FLRG:

2.81

VTI:

2.76

Omega Ratio

FLRG:

1.38

VTI:

1.38

Calmar Ratio

FLRG:

3.92

VTI:

3.09

Martin Ratio

FLRG:

13.71

VTI:

13.22

Ulcer Index

FLRG:

1.84%

VTI:

2.00%

Daily Std Dev

FLRG:

12.19%

VTI:

12.77%

Max Drawdown

FLRG:

-19.64%

VTI:

-55.45%

Current Drawdown

FLRG:

-4.65%

VTI:

-3.35%

Returns By Period

The year-to-date returns for both investments are quite close, with FLRG having a 23.75% return and VTI slightly higher at 24.48%.


FLRG

YTD

23.75%

1M

-2.29%

6M

8.10%

1Y

24.38%

5Y*

N/A

10Y*

N/A

VTI

YTD

24.48%

1M

-0.18%

6M

9.50%

1Y

26.46%

5Y*

14.02%

10Y*

12.50%

Compare stocks, funds, or ETFs

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


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.


Sharpe ratio
The chart of Sharpe ratio for FLRG, currently valued at 2.07, compared to the broader market0.002.004.002.072.07
The chart of Sortino ratio for FLRG, currently valued at 2.81, compared to the broader market-2.000.002.004.006.008.0010.002.812.76
The chart of Omega ratio for FLRG, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.38
The chart of Calmar ratio for FLRG, currently valued at 3.92, compared to the broader market0.005.0010.0015.003.923.09
The chart of Martin ratio for FLRG, currently valued at 13.71, compared to the broader market0.0020.0040.0060.0080.00100.0013.7113.22
FLRG
VTI

The current FLRG Sharpe Ratio is 2.07, which is comparable to the VTI Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of FLRG and VTI, 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
2.07
2.07
FLRG
VTI

Dividends

FLRG vs. VTI - Dividend Comparison

FLRG's dividend yield for the trailing twelve months is around 1.00%, less than VTI's 1.28% yield.


TTM20232022202120202019201820172016201520142013
FLRG
Fidelity U.S. Multifactor ETF
1.00%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
0.94%1.44%1.67%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.65%
-3.35%
FLRG
VTI

Volatility

FLRG vs. VTI - Volatility Comparison

Fidelity U.S. Multifactor ETF (FLRG) and Vanguard Total Stock Market ETF (VTI) have volatilities of 3.97% and 3.91%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.97%
3.91%
FLRG
VTI
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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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