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FNSOX vs. FXNAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNSOXFXNAX
YTD Return3.43%1.92%
1Y Return6.39%9.21%
3Y Return (Ann)0.73%-2.26%
5Y Return (Ann)1.20%-0.27%
Sharpe Ratio2.241.43
Sortino Ratio3.602.15
Omega Ratio1.481.26
Calmar Ratio1.280.53
Martin Ratio11.025.12
Ulcer Index0.55%1.62%
Daily Std Dev2.73%5.95%
Max Drawdown-8.45%-18.64%
Current Drawdown-1.39%-8.70%

Correlation

-0.50.00.51.00.8

The correlation between FNSOX and FXNAX is 0.83, 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.

Performance

FNSOX vs. FXNAX - Performance Comparison

In the year-to-date period, FNSOX achieves a 3.43% return, which is significantly higher than FXNAX's 1.92% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctober
3.46%
4.24%
FNSOX
FXNAX

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FNSOX vs. FXNAX - Expense Ratio Comparison

FNSOX has a 0.03% expense ratio, which is higher than FXNAX's 0.03% 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%.


FNSOX
Fidelity Short-Term Bond Index Fund
Expense ratio chart for FNSOX: 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%
Expense ratio chart for FXNAX: 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

FNSOX vs. FXNAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Short-Term Bond Index Fund (FNSOX) and Fidelity U.S. Bond Index Fund (FXNAX). 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.


FNSOX
Sharpe ratio
The chart of Sharpe ratio for FNSOX, currently valued at 2.24, compared to the broader market0.002.004.002.24
Sortino ratio
The chart of Sortino ratio for FNSOX, currently valued at 3.60, compared to the broader market0.005.0010.003.60
Omega ratio
The chart of Omega ratio for FNSOX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for FNSOX, currently valued at 1.28, compared to the broader market0.005.0010.0015.0020.001.28
Martin ratio
The chart of Martin ratio for FNSOX, currently valued at 11.02, compared to the broader market0.0020.0040.0060.0080.0011.02
FXNAX
Sharpe ratio
The chart of Sharpe ratio for FXNAX, currently valued at 1.43, compared to the broader market0.002.004.001.43
Sortino ratio
The chart of Sortino ratio for FXNAX, currently valued at 2.15, compared to the broader market0.005.0010.002.15
Omega ratio
The chart of Omega ratio for FXNAX, currently valued at 1.26, compared to the broader market1.002.003.004.001.26
Calmar ratio
The chart of Calmar ratio for FXNAX, currently valued at 0.53, compared to the broader market0.005.0010.0015.0020.000.53
Martin ratio
The chart of Martin ratio for FXNAX, currently valued at 5.12, compared to the broader market0.0020.0040.0060.0080.005.12

FNSOX vs. FXNAX - Sharpe Ratio Comparison

The current FNSOX Sharpe Ratio is 2.24, which is higher than the FXNAX Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of FNSOX and FXNAX, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctober
2.24
1.43
FNSOX
FXNAX

Dividends

FNSOX vs. FXNAX - Dividend Comparison

FNSOX's dividend yield for the trailing twelve months is around 1.84%, less than FXNAX's 3.01% yield.


TTM20232022202120202019201820172016201520142013
FNSOX
Fidelity Short-Term Bond Index Fund
1.84%1.74%1.16%0.93%1.93%2.61%2.02%0.34%0.00%0.00%0.00%0.00%
FXNAX
Fidelity U.S. Bond Index Fund
3.01%2.91%2.43%2.06%3.07%2.67%2.73%2.58%2.54%2.75%2.59%2.39%

Drawdowns

FNSOX vs. FXNAX - Drawdown Comparison

The maximum FNSOX drawdown since its inception was -8.45%, smaller than the maximum FXNAX drawdown of -18.64%. Use the drawdown chart below to compare losses from any high point for FNSOX and FXNAX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-1.39%
-8.70%
FNSOX
FXNAX

Volatility

FNSOX vs. FXNAX - Volatility Comparison

The current volatility for Fidelity Short-Term Bond Index Fund (FNSOX) is 0.62%, while Fidelity U.S. Bond Index Fund (FXNAX) has a volatility of 1.28%. This indicates that FNSOX experiences smaller price fluctuations and is considered to be less risky than FXNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%2.00%JuneJulyAugustSeptemberOctober
0.62%
1.28%
FNSOX
FXNAX