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FLTB vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FLTB vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Limited Term Bond ETF (FLTB) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.62%
13.19%
FLTB
SPY

Returns By Period

In the year-to-date period, FLTB achieves a 4.50% return, which is significantly lower than SPY's 26.47% return. Over the past 10 years, FLTB has underperformed SPY with an annualized return of 2.03%, while SPY has yielded a comparatively higher 13.14% annualized return.


FLTB

YTD

4.50%

1M

-0.28%

6M

3.62%

1Y

7.03%

5Y (annualized)

1.72%

10Y (annualized)

2.03%

SPY

YTD

26.47%

1M

3.03%

6M

13.19%

1Y

32.65%

5Y (annualized)

15.68%

10Y (annualized)

13.14%

Key characteristics


FLTBSPY
Sharpe Ratio2.902.69
Sortino Ratio4.653.59
Omega Ratio1.581.50
Calmar Ratio1.783.88
Martin Ratio15.9517.47
Ulcer Index0.44%1.87%
Daily Std Dev2.42%12.14%
Max Drawdown-9.37%-55.19%
Current Drawdown-1.09%-0.54%

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FLTB vs. SPY - Expense Ratio Comparison

FLTB has a 0.36% expense ratio, which is higher than SPY's 0.09% expense ratio.


FLTB
Fidelity Limited Term Bond ETF
Expense ratio chart for FLTB: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.1

The correlation between FLTB and SPY is 0.06, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

FLTB vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Limited Term Bond ETF (FLTB) and SPDR S&P 500 ETF (SPY). 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 FLTB, currently valued at 2.90, compared to the broader market0.002.004.002.902.69
The chart of Sortino ratio for FLTB, currently valued at 4.65, compared to the broader market-2.000.002.004.006.008.0010.0012.004.653.59
The chart of Omega ratio for FLTB, currently valued at 1.58, compared to the broader market0.501.001.502.002.503.001.581.50
The chart of Calmar ratio for FLTB, currently valued at 1.78, compared to the broader market0.005.0010.0015.0020.001.783.88
The chart of Martin ratio for FLTB, currently valued at 15.95, compared to the broader market0.0020.0040.0060.0080.00100.0015.9517.47
FLTB
SPY

The current FLTB Sharpe Ratio is 2.90, which is comparable to the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of FLTB and SPY, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.90
2.69
FLTB
SPY

Dividends

FLTB vs. SPY - Dividend Comparison

FLTB's dividend yield for the trailing twelve months is around 3.96%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
FLTB
Fidelity Limited Term Bond ETF
3.96%3.20%1.63%0.89%1.56%2.67%2.50%1.78%1.59%1.63%0.35%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FLTB vs. SPY - Drawdown Comparison

The maximum FLTB drawdown since its inception was -9.37%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FLTB and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.09%
-0.54%
FLTB
SPY

Volatility

FLTB vs. SPY - Volatility Comparison

The current volatility for Fidelity Limited Term Bond ETF (FLTB) is 0.49%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that FLTB experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.49%
3.98%
FLTB
SPY