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FNIDX vs. GOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FNIDX and GOOG is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

FNIDX vs. GOOG - Performance Comparison

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

0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
37.60%
313.31%
FNIDX
GOOG

Key characteristics

Sharpe Ratio

FNIDX:

0.48

GOOG:

1.40

Sortino Ratio

FNIDX:

0.74

GOOG:

1.93

Omega Ratio

FNIDX:

1.09

GOOG:

1.26

Calmar Ratio

FNIDX:

0.45

GOOG:

1.74

Martin Ratio

FNIDX:

1.76

GOOG:

4.26

Ulcer Index

FNIDX:

3.54%

GOOG:

9.07%

Daily Std Dev

FNIDX:

13.03%

GOOG:

27.64%

Max Drawdown

FNIDX:

-33.17%

GOOG:

-44.60%

Current Drawdown

FNIDX:

-11.23%

GOOG:

-2.62%

Returns By Period

In the year-to-date period, FNIDX achieves a 3.42% return, which is significantly lower than GOOG's 37.41% return.


FNIDX

YTD

3.42%

1M

-3.12%

6M

-2.58%

1Y

4.67%

5Y*

3.28%

10Y*

N/A

GOOG

YTD

37.41%

1M

8.94%

6M

7.31%

1Y

36.57%

5Y*

23.51%

10Y*

22.07%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

FNIDX vs. GOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity International Sustainability Index Fd (FNIDX) and Alphabet Inc. (GOOG). 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 0.48, compared to the broader market-1.000.001.002.003.004.000.481.40
The chart of Sortino ratio for FNIDX, currently valued at 0.74, compared to the broader market-2.000.002.004.006.008.0010.000.741.93
The chart of Omega ratio for FNIDX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.003.501.091.26
The chart of Calmar ratio for FNIDX, currently valued at 0.45, compared to the broader market0.002.004.006.008.0010.0012.0014.000.451.74
The chart of Martin ratio for FNIDX, currently valued at 1.76, compared to the broader market0.0020.0040.0060.001.764.26
FNIDX
GOOG

The current FNIDX Sharpe Ratio is 0.48, which is lower than the GOOG Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of FNIDX and GOOG, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.48
1.40
FNIDX
GOOG

Dividends

FNIDX vs. GOOG - Dividend Comparison

FNIDX has not paid dividends to shareholders, while GOOG's dividend yield for the trailing twelve months is around 0.31%.


TTM2023202220212020201920182017
FNIDX
Fidelity International Sustainability Index Fd
0.00%2.64%2.32%1.94%1.13%2.17%2.28%0.81%
GOOG
Alphabet Inc.
0.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FNIDX vs. GOOG - Drawdown Comparison

The maximum FNIDX drawdown since its inception was -33.17%, smaller than the maximum GOOG drawdown of -44.60%. Use the drawdown chart below to compare losses from any high point for FNIDX and GOOG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.23%
-2.62%
FNIDX
GOOG

Volatility

FNIDX vs. GOOG - Volatility Comparison

The current volatility for Fidelity International Sustainability Index Fd (FNIDX) is 3.97%, while Alphabet Inc. (GOOG) has a volatility of 11.21%. This indicates that FNIDX experiences smaller price fluctuations and is considered to be less risky than GOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
3.97%
11.21%
FNIDX
GOOG
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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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