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

Performance

FREL vs. O - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.70%
5.32%
FREL
O

Returns By Period

In the year-to-date period, FREL achieves a 9.60% return, which is significantly higher than O's 2.79% return.


FREL

YTD

9.60%

1M

-3.69%

6M

12.99%

1Y

23.74%

5Y (annualized)

3.96%

10Y (annualized)

N/A

O

YTD

2.79%

1M

-12.55%

6M

5.32%

1Y

12.58%

5Y (annualized)

-1.11%

10Y (annualized)

7.16%

Key characteristics


FRELO
Sharpe Ratio1.470.69
Sortino Ratio2.071.07
Omega Ratio1.261.13
Calmar Ratio0.880.47
Martin Ratio5.361.74
Ulcer Index4.42%7.03%
Daily Std Dev16.16%17.68%
Max Drawdown-42.61%-48.45%
Current Drawdown-9.63%-15.08%

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Correlation

-0.50.00.51.00.8

The correlation between FREL and O is 0.78, 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

FREL vs. O - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity MSCI Real Estate Index ETF (FREL) and Realty Income Corporation (O). 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 FREL, currently valued at 1.47, compared to the broader market0.002.004.006.001.470.69
The chart of Sortino ratio for FREL, currently valued at 2.07, compared to the broader market-2.000.002.004.006.008.0010.0012.002.071.07
The chart of Omega ratio for FREL, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.13
The chart of Calmar ratio for FREL, currently valued at 0.88, compared to the broader market0.005.0010.0015.000.880.47
The chart of Martin ratio for FREL, currently valued at 5.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.361.74
FREL
O

The current FREL Sharpe Ratio is 1.47, which is higher than the O Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of FREL and O, 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
1.47
0.69
FREL
O

Dividends

FREL vs. O - Dividend Comparison

FREL's dividend yield for the trailing twelve months is around 3.26%, less than O's 5.53% yield.


TTM20232022202120202019201820172016201520142013
FREL
Fidelity MSCI Real Estate Index ETF
3.26%3.73%3.57%2.34%3.77%3.32%5.54%3.27%4.01%3.80%0.00%0.00%
O
Realty Income Corporation
5.53%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%

Drawdowns

FREL vs. O - Drawdown Comparison

The maximum FREL drawdown since its inception was -42.61%, smaller than the maximum O drawdown of -48.45%. Use the drawdown chart below to compare losses from any high point for FREL and O. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-9.63%
-15.08%
FREL
O

Volatility

FREL vs. O - Volatility Comparison

The current volatility for Fidelity MSCI Real Estate Index ETF (FREL) is 4.98%, while Realty Income Corporation (O) has a volatility of 5.87%. This indicates that FREL experiences smaller price fluctuations and is considered to be less risky than O based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.98%
5.87%
FREL
O