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

Performance

FPRO vs. XLRE - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
23.13%
22.42%
FPRO
XLRE

Returns By Period

The year-to-date returns for both investments are quite close, with FPRO having a 13.95% return and XLRE slightly higher at 14.23%.


FPRO

YTD

13.95%

1M

1.51%

6M

22.48%

1Y

25.50%

5Y (annualized)

N/A

10Y (annualized)

N/A

XLRE

YTD

14.23%

1M

1.38%

6M

21.69%

1Y

27.33%

5Y (annualized)

6.41%

10Y (annualized)

N/A

Key characteristics


FPROXLRE
Sharpe Ratio1.641.68
Sortino Ratio2.282.33
Omega Ratio1.281.29
Calmar Ratio1.001.07
Martin Ratio5.526.50
Ulcer Index4.62%4.21%
Daily Std Dev15.57%16.29%
Max Drawdown-32.80%-38.83%
Current Drawdown-5.21%-5.33%

Compare stocks, funds, or ETFs

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


FPRO vs. XLRE - Expense Ratio Comparison

FPRO has a 0.59% expense ratio, which is higher than XLRE's 0.13% 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 XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Correlation

The correlation between FPRO and XLRE 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.


-0.50.00.51.01.0

Risk-Adjusted Performance

FPRO vs. XLRE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment ETF (FPRO) and Real Estate Select Sector SPDR Fund (XLRE). 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 1.64, compared to the broader market-2.000.002.004.006.001.641.68
The chart of Sortino ratio for FPRO, currently valued at 2.28, compared to the broader market-2.000.002.004.006.008.0010.0012.002.282.33
The chart of Omega ratio for FPRO, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.29
The chart of Calmar ratio for FPRO, currently valued at 1.00, compared to the broader market0.005.0010.0015.001.001.07
The chart of Martin ratio for FPRO, currently valued at 5.52, compared to the broader market0.0020.0040.0060.0080.00100.005.526.50
FPRO
XLRE

The current FPRO Sharpe Ratio is 1.64, which is comparable to the XLRE Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of FPRO and XLRE, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.64
1.68
FPRO
XLRE

Dividends

FPRO vs. XLRE - Dividend Comparison

FPRO's dividend yield for the trailing twelve months is around 2.34%, less than XLRE's 3.10% yield.


TTM202320222021202020192018201720162015
FPRO
Fidelity Real Estate Investment ETF
2.34%2.83%2.67%1.69%0.00%0.00%0.00%0.00%0.00%0.00%
XLRE
Real Estate Select Sector SPDR Fund
3.10%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%

Drawdowns

FPRO vs. XLRE - Drawdown Comparison

The maximum FPRO drawdown since its inception was -32.80%, smaller than the maximum XLRE drawdown of -38.83%. Use the drawdown chart below to compare losses from any high point for FPRO and XLRE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-5.21%
-5.33%
FPRO
XLRE

Volatility

FPRO vs. XLRE - Volatility Comparison

The current volatility for Fidelity Real Estate Investment ETF (FPRO) is 4.93%, while Real Estate Select Sector SPDR Fund (XLRE) has a volatility of 5.39%. This indicates that FPRO experiences smaller price fluctuations and is considered to be less risky than XLRE based on this measure. 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
4.93%
5.39%
FPRO
XLRE
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab