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

Key characteristics


FSDAXFSPGX
YTD Return16.50%27.59%
1Y Return35.71%47.86%
3Y Return (Ann)12.75%9.87%
5Y Return (Ann)7.16%19.51%
Sharpe Ratio2.612.94
Sortino Ratio3.413.73
Omega Ratio1.471.53
Calmar Ratio5.483.50
Martin Ratio17.5614.58
Ulcer Index2.19%3.33%
Daily Std Dev14.70%16.49%
Max Drawdown-60.20%-32.66%
Current Drawdown-5.09%-0.45%

Correlation

-0.50.00.51.00.6

The correlation between FSDAX and FSPGX is 0.55, 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

FSDAX vs. FSPGX - Performance Comparison

In the year-to-date period, FSDAX achieves a 16.50% return, which is significantly lower than FSPGX's 27.59% 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%JuneJulyAugustSeptemberOctober
12.87%
20.03%
FSDAX
FSPGX

Compare stocks, funds, or ETFs

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


FSDAX vs. FSPGX - Expense Ratio Comparison

FSDAX has a 0.74% expense ratio, which is higher than FSPGX's 0.04% expense ratio.


FSDAX
Fidelity Select Defense & Aerospace Portfolio
Expense ratio chart for FSDAX: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for FSPGX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

FSDAX vs. FSPGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Select Defense & Aerospace Portfolio (FSDAX) and Fidelity Large Cap Growth Index Fund (FSPGX). 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.


FSDAX
Sharpe ratio
The chart of Sharpe ratio for FSDAX, currently valued at 2.61, compared to the broader market-2.000.002.004.002.61
Sortino ratio
The chart of Sortino ratio for FSDAX, currently valued at 3.41, compared to the broader market0.005.0010.003.41
Omega ratio
The chart of Omega ratio for FSDAX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for FSDAX, currently valued at 5.48, compared to the broader market0.005.0010.0015.0020.005.48
Martin ratio
The chart of Martin ratio for FSDAX, currently valued at 17.56, compared to the broader market0.0020.0040.0060.0080.0017.56
FSPGX
Sharpe ratio
The chart of Sharpe ratio for FSPGX, currently valued at 2.94, compared to the broader market-2.000.002.004.002.94
Sortino ratio
The chart of Sortino ratio for FSPGX, currently valued at 3.73, compared to the broader market0.005.0010.003.73
Omega ratio
The chart of Omega ratio for FSPGX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for FSPGX, currently valued at 3.50, compared to the broader market0.005.0010.0015.0020.003.50
Martin ratio
The chart of Martin ratio for FSPGX, currently valued at 14.58, compared to the broader market0.0020.0040.0060.0080.0014.58

FSDAX vs. FSPGX - Sharpe Ratio Comparison

The current FSDAX Sharpe Ratio is 2.61, which is comparable to the FSPGX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of FSDAX and FSPGX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctober
2.61
2.94
FSDAX
FSPGX

Dividends

FSDAX vs. FSPGX - Dividend Comparison

FSDAX's dividend yield for the trailing twelve months is around 6.65%, more than FSPGX's 0.44% yield.


TTM20232022202120202019201820172016201520142013
FSDAX
Fidelity Select Defense & Aerospace Portfolio
6.65%6.47%8.87%8.38%2.11%2.62%11.45%3.64%4.87%6.55%6.78%5.67%
FSPGX
Fidelity Large Cap Growth Index Fund
0.44%0.73%0.86%2.22%1.76%1.04%1.47%1.22%0.29%0.00%0.00%0.00%

Drawdowns

FSDAX vs. FSPGX - Drawdown Comparison

The maximum FSDAX drawdown since its inception was -60.20%, which is greater than FSPGX's maximum drawdown of -32.66%. Use the drawdown chart below to compare losses from any high point for FSDAX and FSPGX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-5.09%
-0.45%
FSDAX
FSPGX

Volatility

FSDAX vs. FSPGX - Volatility Comparison

Fidelity Select Defense & Aerospace Portfolio (FSDAX) has a higher volatility of 4.42% compared to Fidelity Large Cap Growth Index Fund (FSPGX) at 3.44%. This indicates that FSDAX's price experiences larger fluctuations and is considered to be riskier than FSPGX 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%8.00%9.00%JuneJulyAugustSeptemberOctober
4.42%
3.44%
FSDAX
FSPGX