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

Key characteristics


FPROSPY
YTD Return10.69%26.83%
1Y Return23.23%34.88%
3Y Return (Ann)-0.10%10.16%
Sharpe Ratio1.813.08
Sortino Ratio2.594.10
Omega Ratio1.321.58
Calmar Ratio1.154.46
Martin Ratio6.4620.22
Ulcer Index4.56%1.85%
Daily Std Dev16.23%12.18%
Max Drawdown-32.80%-55.19%
Current Drawdown-7.93%-0.26%

Correlation

-0.50.00.51.00.6

The correlation between FPRO and SPY is 0.64, 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.

Performance

FPRO vs. SPY - Performance Comparison

In the year-to-date period, FPRO achieves a 10.69% return, which is significantly lower than SPY's 26.83% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
15.13%
13.44%
FPRO
SPY

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FPRO vs. SPY - Expense Ratio Comparison

FPRO has a 0.59% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FPRO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment ETF (FPRO) and SPDR S&P 500 ETF (SPY). 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 1.81, compared to the broader market-2.000.002.004.006.001.81
Sortino ratio
The chart of Sortino ratio for FPRO, currently valued at 2.59, compared to the broader market-2.000.002.004.006.008.0010.0012.002.59
Omega ratio
The chart of Omega ratio for FPRO, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for FPRO, currently valued at 1.15, compared to the broader market0.005.0010.0015.001.15
Martin ratio
The chart of Martin ratio for FPRO, currently valued at 6.46, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.46
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.22

FPRO vs. SPY - Sharpe Ratio Comparison

The current FPRO Sharpe Ratio is 1.81, which is lower than the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of FPRO and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.81
3.08
FPRO
SPY

Dividends

FPRO vs. SPY - Dividend Comparison

FPRO's dividend yield for the trailing twelve months is around 2.41%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
FPRO
Fidelity Real Estate Investment ETF
2.41%2.83%2.67%1.69%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FPRO vs. SPY - Drawdown Comparison

The maximum FPRO drawdown since its inception was -32.80%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FPRO and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.93%
-0.26%
FPRO
SPY

Volatility

FPRO vs. SPY - Volatility Comparison

Fidelity Real Estate Investment ETF (FPRO) has a higher volatility of 5.33% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that FPRO's price experiences larger fluctuations and is considered to be riskier than SPY 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%JuneJulyAugustSeptemberOctoberNovember
5.33%
3.77%
FPRO
SPY