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FNILX vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FNILX and ^SP500TR is 0.99, 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.


-0.50.00.51.01.0

Performance

FNILX vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity ZERO Large Cap Index Fund (FNILX) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.70%
9.25%
FNILX
^SP500TR

Key characteristics

Sharpe Ratio

FNILX:

2.13

^SP500TR:

2.23

Sortino Ratio

FNILX:

2.84

^SP500TR:

2.97

Omega Ratio

FNILX:

1.39

^SP500TR:

1.42

Calmar Ratio

FNILX:

3.15

^SP500TR:

3.31

Martin Ratio

FNILX:

13.80

^SP500TR:

14.64

Ulcer Index

FNILX:

1.97%

^SP500TR:

1.91%

Daily Std Dev

FNILX:

12.77%

^SP500TR:

12.52%

Max Drawdown

FNILX:

-33.75%

^SP500TR:

-55.25%

Current Drawdown

FNILX:

-3.70%

^SP500TR:

-2.57%

Returns By Period

The year-to-date returns for both investments are quite close, with FNILX having a 25.28% return and ^SP500TR slightly higher at 26.03%.


FNILX

YTD

25.28%

1M

-0.61%

6M

8.70%

1Y

25.91%

5Y*

14.69%

10Y*

N/A

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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Risk-Adjusted Performance

FNILX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity ZERO Large Cap Index Fund (FNILX) and S&P 500 Total Return (^SP500TR). 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 FNILX, currently valued at 2.13, compared to the broader market-1.000.001.002.003.004.002.132.23
The chart of Sortino ratio for FNILX, currently valued at 2.84, compared to the broader market-2.000.002.004.006.008.0010.002.842.97
The chart of Omega ratio for FNILX, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.003.501.391.42
The chart of Calmar ratio for FNILX, currently valued at 3.15, compared to the broader market0.002.004.006.008.0010.0012.0014.003.153.31
The chart of Martin ratio for FNILX, currently valued at 13.80, compared to the broader market0.0020.0040.0060.0013.8014.64
FNILX
^SP500TR

The current FNILX Sharpe Ratio is 2.13, which is comparable to the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of FNILX and ^SP500TR, 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
2.13
2.23
FNILX
^SP500TR

Drawdowns

FNILX vs. ^SP500TR - Drawdown Comparison

The maximum FNILX drawdown since its inception was -33.75%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for FNILX and ^SP500TR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.70%
-2.57%
FNILX
^SP500TR

Volatility

FNILX vs. ^SP500TR - Volatility Comparison

Fidelity ZERO Large Cap Index Fund (FNILX) has a higher volatility of 4.08% compared to S&P 500 Total Return (^SP500TR) at 3.79%. This indicates that FNILX's price experiences larger fluctuations and is considered to be riskier than ^SP500TR 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%JulyAugustSeptemberOctoberNovemberDecember
4.08%
3.79%
FNILX
^SP500TR
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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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