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

Performance

FPRO vs. FREL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Real Estate Investment ETF (FPRO) and Fidelity MSCI Real Estate Index ETF (FREL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
19.19%
18.33%
FPRO
FREL

Returns By Period

The year-to-date returns for both stocks are quite close, with FPRO having a 11.05% return and FREL slightly lower at 10.66%.


FPRO

YTD

11.05%

1M

-0.37%

6M

16.88%

1Y

23.21%

5Y (annualized)

N/A

10Y (annualized)

N/A

FREL

YTD

10.66%

1M

-0.78%

6M

15.85%

1Y

24.93%

5Y (annualized)

4.55%

10Y (annualized)

N/A

Key characteristics


FPROFREL
Sharpe Ratio1.461.50
Sortino Ratio2.062.11
Omega Ratio1.251.27
Calmar Ratio0.890.90
Martin Ratio4.935.46
Ulcer Index4.61%4.43%
Daily Std Dev15.51%16.15%
Max Drawdown-32.80%-42.61%
Current Drawdown-7.63%-8.76%

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FPRO vs. FREL - Expense Ratio Comparison

FPRO has a 0.59% expense ratio, which is higher than FREL's 0.08% expense ratio.


FPRO
Fidelity Real Estate Investment ETF
Expense ratio chart for FPRO: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for FREL: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.01.0

The correlation between FPRO and FREL is 0.98, 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.

Risk-Adjusted Performance

FPRO vs. FREL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment ETF (FPRO) and Fidelity MSCI Real Estate Index ETF (FREL). 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 FPRO, currently valued at 1.46, compared to the broader market0.002.004.001.461.50
The chart of Sortino ratio for FPRO, currently valued at 2.06, compared to the broader market-2.000.002.004.006.008.0010.0012.002.062.11
The chart of Omega ratio for FPRO, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.27
The chart of Calmar ratio for FPRO, currently valued at 0.89, compared to the broader market0.005.0010.0015.000.890.90
The chart of Martin ratio for FPRO, currently valued at 4.93, compared to the broader market0.0020.0040.0060.0080.00100.004.935.46
FPRO
FREL

The current FPRO Sharpe Ratio is 1.46, which is comparable to the FREL Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of FPRO and FREL, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.46
1.50
FPRO
FREL

Dividends

FPRO vs. FREL - Dividend Comparison

FPRO's dividend yield for the trailing twelve months is around 2.40%, less than FREL's 3.23% yield.


TTM202320222021202020192018201720162015
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%
FREL
Fidelity MSCI Real Estate Index ETF
3.23%3.73%3.57%2.34%3.77%3.32%5.54%3.27%4.01%3.80%

Drawdowns

FPRO vs. FREL - Drawdown Comparison

The maximum FPRO drawdown since its inception was -32.80%, smaller than the maximum FREL drawdown of -42.61%. Use the drawdown chart below to compare losses from any high point for FPRO and FREL. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-7.63%
-8.76%
FPRO
FREL

Volatility

FPRO vs. FREL - Volatility Comparison

Fidelity Real Estate Investment ETF (FPRO) and Fidelity MSCI Real Estate Index ETF (FREL) have volatilities of 4.87% and 4.71%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.87%
4.71%
FPRO
FREL