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

Correlation

The correlation between FREL and O is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.4

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.

40.00%50.00%60.00%70.00%80.00%90.00%NovemberDecember2025FebruaryMarchApril
56.64%
81.58%
FREL
O

Key characteristics

Sharpe Ratio

FREL:

0.69

O:

0.69

Sortino Ratio

FREL:

1.05

O:

1.05

Omega Ratio

FREL:

1.14

O:

1.13

Calmar Ratio

FREL:

0.50

O:

0.51

Martin Ratio

FREL:

2.36

O:

1.40

Ulcer Index

FREL:

5.32%

O:

9.07%

Daily Std Dev

FREL:

18.14%

O:

18.52%

Max Drawdown

FREL:

-42.61%

O:

-48.45%

Current Drawdown

FREL:

-14.68%

O:

-12.20%

Returns By Period

In the year-to-date period, FREL achieves a -1.49% return, which is significantly lower than O's 8.57% return. Over the past 10 years, FREL has underperformed O with an annualized return of 5.02%, while O has yielded a comparatively higher 6.98% annualized return.


FREL

YTD

-1.49%

1M

-3.58%

6M

-7.44%

1Y

13.04%

5Y*

7.68%

10Y*

5.02%

O

YTD

8.57%

1M

1.05%

6M

-4.56%

1Y

11.82%

5Y*

9.23%

10Y*

6.98%

*Annualized

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Risk-Adjusted Performance

FREL vs. O — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FREL
The Risk-Adjusted Performance Rank of FREL is 6565
Overall Rank
The Sharpe Ratio Rank of FREL is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of FREL is 6767
Sortino Ratio Rank
The Omega Ratio Rank of FREL is 6565
Omega Ratio Rank
The Calmar Ratio Rank of FREL is 6060
Calmar Ratio Rank
The Martin Ratio Rank of FREL is 6464
Martin Ratio Rank

O
The Risk-Adjusted Performance Rank of O is 7070
Overall Rank
The Sharpe Ratio Rank of O is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of O is 6767
Sortino Ratio Rank
The Omega Ratio Rank of O is 6565
Omega Ratio Rank
The Calmar Ratio Rank of O is 7474
Calmar Ratio Rank
The Martin Ratio Rank of O is 6868
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for FREL, currently valued at 0.69, compared to the broader market-1.000.001.002.003.004.00
FREL: 0.69
O: 0.69
The chart of Sortino ratio for FREL, currently valued at 1.05, compared to the broader market-2.000.002.004.006.008.00
FREL: 1.05
O: 1.05
The chart of Omega ratio for FREL, currently valued at 1.14, compared to the broader market0.501.001.502.002.50
FREL: 1.14
O: 1.13
The chart of Calmar ratio for FREL, currently valued at 0.50, compared to the broader market0.002.004.006.008.0010.0012.00
FREL: 0.50
O: 0.51
The chart of Martin ratio for FREL, currently valued at 2.36, compared to the broader market0.0020.0040.0060.00
FREL: 2.36
O: 1.40

The current FREL Sharpe Ratio is 0.69, which is comparable to 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-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.69
0.69
FREL
O

Dividends

FREL vs. O - Dividend Comparison

FREL's dividend yield for the trailing twelve months is around 3.59%, less than O's 5.56% yield.


TTM20242023202220212020201920182017201620152014
FREL
Fidelity MSCI Real Estate Index ETF
3.59%3.48%3.73%3.57%2.34%3.77%3.32%5.54%3.27%4.01%3.80%0.00%
O
Realty Income Corporation
5.56%5.37%5.33%4.68%6.95%4.65%3.69%4.19%4.45%4.19%4.42%4.59%

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.


-20.00%-15.00%-10.00%-5.00%NovemberDecember2025FebruaryMarchApril
-14.68%
-12.20%
FREL
O

Volatility

FREL vs. O - Volatility Comparison

Fidelity MSCI Real Estate Index ETF (FREL) has a higher volatility of 10.47% compared to Realty Income Corporation (O) at 8.32%. This indicates that FREL's price experiences larger fluctuations and is considered to be riskier than O 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%NovemberDecember2025FebruaryMarchApril
10.47%
8.32%
FREL
O