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

Correlation

The correlation between FNIDX and FITLX is 0.76, 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.


-0.50.00.51.00.8

Performance

FNIDX vs. FITLX - Performance Comparison

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

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
38.06%
181.41%
FNIDX
FITLX

Key characteristics

Sharpe Ratio

FNIDX:

0.49

FITLX:

1.66

Sortino Ratio

FNIDX:

0.76

FITLX:

2.25

Omega Ratio

FNIDX:

1.09

FITLX:

1.31

Calmar Ratio

FNIDX:

0.46

FITLX:

2.44

Martin Ratio

FNIDX:

1.88

FITLX:

10.14

Ulcer Index

FNIDX:

3.40%

FITLX:

2.29%

Daily Std Dev

FNIDX:

13.09%

FITLX:

14.00%

Max Drawdown

FNIDX:

-33.17%

FITLX:

-34.35%

Current Drawdown

FNIDX:

-10.93%

FITLX:

-5.36%

Returns By Period

In the year-to-date period, FNIDX achieves a 3.76% return, which is significantly lower than FITLX's 22.21% return.


FNIDX

YTD

3.76%

1M

-3.04%

6M

-2.72%

1Y

5.47%

5Y*

3.35%

10Y*

N/A

FITLX

YTD

22.21%

1M

-2.07%

6M

4.84%

1Y

22.62%

5Y*

14.47%

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.


FNIDX vs. FITLX - Expense Ratio Comparison

FNIDX has a 0.20% expense ratio, which is higher than FITLX's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FNIDX
Fidelity International Sustainability Index Fd
Expense ratio chart for FNIDX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

FNIDX vs. FITLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Sustainability Index Fd (FNIDX) and Fidelity US Sustainability Index Fund (FITLX). 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 FNIDX, currently valued at 0.49, compared to the broader market-1.000.001.002.003.004.000.491.66
The chart of Sortino ratio for FNIDX, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.762.25
The chart of Omega ratio for FNIDX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.003.501.091.31
The chart of Calmar ratio for FNIDX, currently valued at 0.46, compared to the broader market0.005.0010.0015.000.462.44
The chart of Martin ratio for FNIDX, currently valued at 1.88, compared to the broader market0.0020.0040.0060.001.8810.14
FNIDX
FITLX

The current FNIDX Sharpe Ratio is 0.49, which is lower than the FITLX Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of FNIDX and FITLX, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.49
1.66
FNIDX
FITLX

Dividends

FNIDX vs. FITLX - Dividend Comparison

Neither FNIDX nor FITLX has paid dividends to shareholders.


TTM2023202220212020201920182017
FNIDX
Fidelity International Sustainability Index Fd
0.00%2.64%2.32%1.94%1.13%2.17%2.28%0.81%
FITLX
Fidelity US Sustainability Index Fund
0.00%1.12%1.49%0.81%1.01%1.27%1.37%0.71%

Drawdowns

FNIDX vs. FITLX - Drawdown Comparison

The maximum FNIDX drawdown since its inception was -33.17%, roughly equal to the maximum FITLX drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for FNIDX and FITLX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.93%
-5.36%
FNIDX
FITLX

Volatility

FNIDX vs. FITLX - Volatility Comparison

The current volatility for Fidelity International Sustainability Index Fd (FNIDX) is 3.98%, while Fidelity US Sustainability Index Fund (FITLX) has a volatility of 4.35%. This indicates that FNIDX experiences smaller price fluctuations and is considered to be less risky than FITLX 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
3.98%
4.35%
FNIDX
FITLX
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