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

Correlation

The correlation between FSCO and FSLEX is 0.28, 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.


-0.50.00.51.00.3

Performance

FSCO vs. FSLEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FS Credit Opportunities Corp. (FSCO) and Fidelity Environment and Alternative Energy Fund (FSLEX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember2025
14.65%
7.38%
FSCO
FSLEX

Key characteristics

Sharpe Ratio

FSCO:

2.37

FSLEX:

1.53

Sortino Ratio

FSCO:

3.32

FSLEX:

2.08

Omega Ratio

FSCO:

1.43

FSLEX:

1.26

Calmar Ratio

FSCO:

4.34

FSLEX:

2.15

Martin Ratio

FSCO:

16.57

FSLEX:

9.40

Ulcer Index

FSCO:

2.30%

FSLEX:

2.76%

Daily Std Dev

FSCO:

16.10%

FSLEX:

16.99%

Max Drawdown

FSCO:

-25.13%

FSLEX:

-50.21%

Current Drawdown

FSCO:

-0.14%

FSLEX:

-3.24%

Returns By Period

In the year-to-date period, FSCO achieves a 1.91% return, which is significantly lower than FSLEX's 3.07% return.


FSCO

YTD

1.91%

1M

4.81%

6M

14.65%

1Y

36.73%

5Y*

N/A

10Y*

N/A

FSLEX

YTD

3.07%

1M

-3.22%

6M

7.38%

1Y

26.62%

5Y*

12.32%

10Y*

11.66%

*Annualized

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

FSCO vs. FSLEX — Risk-Adjusted Performance Rank

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

FSCO
The Risk-Adjusted Performance Rank of FSCO is 9595
Overall Rank
The Sharpe Ratio Rank of FSCO is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of FSCO is 9494
Sortino Ratio Rank
The Omega Ratio Rank of FSCO is 9393
Omega Ratio Rank
The Calmar Ratio Rank of FSCO is 9797
Calmar Ratio Rank
The Martin Ratio Rank of FSCO is 9797
Martin Ratio Rank

FSLEX
The Risk-Adjusted Performance Rank of FSLEX is 8484
Overall Rank
The Sharpe Ratio Rank of FSLEX is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of FSLEX is 8383
Sortino Ratio Rank
The Omega Ratio Rank of FSLEX is 8080
Omega Ratio Rank
The Calmar Ratio Rank of FSLEX is 8787
Calmar Ratio Rank
The Martin Ratio Rank of FSLEX is 8888
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.

FSCO vs. FSLEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FS Credit Opportunities Corp. (FSCO) and Fidelity Environment and Alternative Energy Fund (FSLEX). 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 FSCO, currently valued at 2.37, compared to the broader market-2.000.002.002.371.53
The chart of Sortino ratio for FSCO, currently valued at 3.32, compared to the broader market-4.00-2.000.002.004.003.322.08
The chart of Omega ratio for FSCO, currently valued at 1.43, compared to the broader market0.501.001.502.001.431.26
The chart of Calmar ratio for FSCO, currently valued at 4.34, compared to the broader market0.002.004.006.004.342.73
The chart of Martin ratio for FSCO, currently valued at 16.57, compared to the broader market-30.00-20.00-10.000.0010.0020.0016.579.40
FSCO
FSLEX

The current FSCO Sharpe Ratio is 2.37, which is higher than the FSLEX Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of FSCO and FSLEX, 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 Ratio1.001.502.002.503.00AugustSeptemberOctoberNovemberDecember2025
2.37
1.53
FSCO
FSLEX

Dividends

FSCO vs. FSLEX - Dividend Comparison

FSCO's dividend yield for the trailing twelve months is around 10.27%, more than FSLEX's 0.02% yield.


TTM20242023202220212020201920182017201620152014
FSCO
FS Credit Opportunities Corp.
10.27%10.47%11.22%1.95%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FSLEX
Fidelity Environment and Alternative Energy Fund
0.02%0.03%0.39%0.69%0.28%0.87%0.86%1.00%0.83%0.71%3.07%14.89%

Drawdowns

FSCO vs. FSLEX - Drawdown Comparison

The maximum FSCO drawdown since its inception was -25.13%, smaller than the maximum FSLEX drawdown of -50.21%. Use the drawdown chart below to compare losses from any high point for FSCO and FSLEX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-0.14%
-3.24%
FSCO
FSLEX

Volatility

FSCO vs. FSLEX - Volatility Comparison

The current volatility for FS Credit Opportunities Corp. (FSCO) is 4.93%, while Fidelity Environment and Alternative Energy Fund (FSLEX) has a volatility of 6.64%. This indicates that FSCO experiences smaller price fluctuations and is considered to be less risky than FSLEX 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%7.00%8.00%AugustSeptemberOctoberNovemberDecember2025
4.93%
6.64%
FSCO
FSLEX
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 © 2025 PortfoliosLab