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FPRO vs. FR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FPROFR
YTD Return11.13%3.63%
1Y Return28.83%26.85%
3Y Return (Ann)0.03%-1.67%
Sharpe Ratio1.861.30
Sortino Ratio2.661.89
Omega Ratio1.331.24
Calmar Ratio1.050.84
Martin Ratio6.673.96
Ulcer Index4.54%7.05%
Daily Std Dev16.22%21.53%
Max Drawdown-32.80%-95.42%
Current Drawdown-7.56%-13.45%

Correlation

-0.50.00.51.00.8

The correlation between FPRO and FR is 0.81, 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

FPRO vs. FR - Performance Comparison

In the year-to-date period, FPRO achieves a 11.13% return, which is significantly higher than FR's 3.63% 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%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.12%
14.28%
FPRO
FR

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

FPRO vs. FR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment ETF (FPRO) and First Industrial Realty Trust, Inc. (FR). 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.


FPRO
Sharpe ratio
The chart of Sharpe ratio for FPRO, currently valued at 1.86, compared to the broader market-2.000.002.004.006.001.86
Sortino ratio
The chart of Sortino ratio for FPRO, currently valued at 2.66, compared to the broader market0.005.0010.002.66
Omega ratio
The chart of Omega ratio for FPRO, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for FPRO, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.05
Martin ratio
The chart of Martin ratio for FPRO, currently valued at 6.67, compared to the broader market0.0020.0040.0060.0080.00100.006.67
FR
Sharpe ratio
The chart of Sharpe ratio for FR, currently valued at 1.30, compared to the broader market-2.000.002.004.006.001.30
Sortino ratio
The chart of Sortino ratio for FR, currently valued at 1.89, compared to the broader market0.005.0010.001.89
Omega ratio
The chart of Omega ratio for FR, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for FR, currently valued at 0.84, compared to the broader market0.005.0010.0015.000.84
Martin ratio
The chart of Martin ratio for FR, currently valued at 3.96, compared to the broader market0.0020.0040.0060.0080.00100.003.96

FPRO vs. FR - Sharpe Ratio Comparison

The current FPRO Sharpe Ratio is 1.86, which is higher than the FR Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of FPRO and FR, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.86
1.30
FPRO
FR

Dividends

FPRO vs. FR - Dividend Comparison

FPRO's dividend yield for the trailing twelve months is around 2.40%, less than FR's 2.68% yield.


TTM20232022202120202019201820172016201520142013
FPRO
Fidelity Real Estate Investment ETF
2.40%2.83%2.67%1.69%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FR
First Industrial Realty Trust, Inc.
2.68%2.43%2.45%1.63%2.37%2.22%3.02%2.67%2.71%2.31%2.00%1.95%

Drawdowns

FPRO vs. FR - Drawdown Comparison

The maximum FPRO drawdown since its inception was -32.80%, smaller than the maximum FR drawdown of -95.42%. Use the drawdown chart below to compare losses from any high point for FPRO and FR. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-7.56%
-13.45%
FPRO
FR

Volatility

FPRO vs. FR - Volatility Comparison

Fidelity Real Estate Investment ETF (FPRO) and First Industrial Realty Trust, Inc. (FR) have volatilities of 5.29% and 5.16%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.29%
5.16%
FPRO
FR