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FRESX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FRESXVOO
YTD Return11.72%27.15%
1Y Return30.88%39.90%
3Y Return (Ann)0.25%10.28%
5Y Return (Ann)4.47%16.00%
10Y Return (Ann)6.16%13.43%
Sharpe Ratio1.753.15
Sortino Ratio2.504.19
Omega Ratio1.311.59
Calmar Ratio1.024.60
Martin Ratio6.3021.00
Ulcer Index4.59%1.85%
Daily Std Dev16.53%12.34%
Max Drawdown-75.98%-33.99%
Current Drawdown-6.36%0.00%

Correlation

-0.50.00.51.00.6

The correlation between FRESX and VOO is 0.62, 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

FRESX vs. VOO - Performance Comparison

In the year-to-date period, FRESX achieves a 11.72% return, which is significantly lower than VOO's 27.15% return. Over the past 10 years, FRESX has underperformed VOO with an annualized return of 6.16%, while VOO has yielded a comparatively higher 13.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.79%
15.64%
FRESX
VOO

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FRESX vs. VOO - Expense Ratio Comparison

FRESX has a 0.71% expense ratio, which is higher than VOO's 0.03% expense ratio.


FRESX
Fidelity Real Estate Investment Portfolio
Expense ratio chart for FRESX: current value at 0.71% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.71%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

FRESX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Real Estate Investment Portfolio (FRESX) and Vanguard S&P 500 ETF (VOO). 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.


FRESX
Sharpe ratio
The chart of Sharpe ratio for FRESX, currently valued at 1.75, compared to the broader market0.002.004.001.75
Sortino ratio
The chart of Sortino ratio for FRESX, currently valued at 2.50, compared to the broader market0.005.0010.002.50
Omega ratio
The chart of Omega ratio for FRESX, currently valued at 1.31, compared to the broader market1.002.003.004.001.31
Calmar ratio
The chart of Calmar ratio for FRESX, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.0025.001.02
Martin ratio
The chart of Martin ratio for FRESX, currently valued at 6.30, compared to the broader market0.0020.0040.0060.0080.00100.006.30
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.0021.00

FRESX vs. VOO - Sharpe Ratio Comparison

The current FRESX Sharpe Ratio is 1.75, which is lower than the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of FRESX and VOO, 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
1.75
3.15
FRESX
VOO

Dividends

FRESX vs. VOO - Dividend Comparison

FRESX's dividend yield for the trailing twelve months is around 2.00%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
FRESX
Fidelity Real Estate Investment Portfolio
2.00%2.31%1.71%0.78%2.93%2.36%2.57%1.80%1.73%5.54%1.66%3.08%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FRESX vs. VOO - Drawdown Comparison

The maximum FRESX drawdown since its inception was -75.98%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FRESX and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.36%
0
FRESX
VOO

Volatility

FRESX vs. VOO - Volatility Comparison

Fidelity Real Estate Investment Portfolio (FRESX) has a higher volatility of 5.17% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that FRESX's price experiences larger fluctuations and is considered to be riskier than VOO 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
5.17%
3.95%
FRESX
VOO