PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FPRO vs. WM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FPRO vs. WM - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.88%
4.99%
FPRO
WM

Returns By Period

In the year-to-date period, FPRO achieves a 11.05% return, which is significantly lower than WM's 23.49% return.


FPRO

YTD

11.05%

1M

-0.37%

6M

16.88%

1Y

23.21%

5Y (annualized)

N/A

10Y (annualized)

N/A

WM

YTD

23.49%

1M

3.29%

6M

4.99%

1Y

29.36%

5Y (annualized)

16.58%

10Y (annualized)

18.70%

Key characteristics


FPROWM
Sharpe Ratio1.461.66
Sortino Ratio2.062.18
Omega Ratio1.251.36
Calmar Ratio0.892.51
Martin Ratio4.937.21
Ulcer Index4.61%4.12%
Daily Std Dev15.51%17.96%
Max Drawdown-32.80%-77.85%
Current Drawdown-7.63%-3.06%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.4

The correlation between FPRO and WM is 0.43, 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.

Risk-Adjusted Performance

FPRO vs. WM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment ETF (FPRO) and Waste Management, Inc. (WM). 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 market0.002.004.001.461.66
The chart of Sortino ratio for FPRO, currently valued at 2.06, compared to the broader market-2.000.002.004.006.008.0010.0012.002.062.18
The chart of Omega ratio for FPRO, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.36
The chart of Calmar ratio for FPRO, currently valued at 0.89, compared to the broader market0.005.0010.0015.000.892.51
The chart of Martin ratio for FPRO, currently valued at 4.93, compared to the broader market0.0020.0040.0060.0080.00100.004.937.21
FPRO
WM

The current FPRO Sharpe Ratio is 1.46, which is comparable to the WM Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of FPRO and WM, 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
1.66
FPRO
WM

Dividends

FPRO vs. WM - Dividend Comparison

FPRO's dividend yield for the trailing twelve months is around 2.40%, more than WM's 1.35% 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%
WM
Waste Management, Inc.
1.35%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%3.25%

Drawdowns

FPRO vs. WM - Drawdown Comparison

The maximum FPRO drawdown since its inception was -32.80%, smaller than the maximum WM drawdown of -77.85%. Use the drawdown chart below to compare losses from any high point for FPRO and WM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.63%
-3.06%
FPRO
WM

Volatility

FPRO vs. WM - Volatility Comparison

The current volatility for Fidelity Real Estate Investment ETF (FPRO) is 4.87%, while Waste Management, Inc. (WM) has a volatility of 6.95%. This indicates that FPRO experiences smaller price fluctuations and is considered to be less risky than WM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.87%
6.95%
FPRO
WM