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FUMBX vs. FNSOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FUMBXFNSOX
YTD Return2.96%3.64%
1Y Return5.69%6.50%
3Y Return (Ann)0.24%0.70%
5Y Return (Ann)0.84%1.19%
Sharpe Ratio1.862.20
Sortino Ratio2.863.50
Omega Ratio1.391.46
Calmar Ratio0.911.24
Martin Ratio7.4710.09
Ulcer Index0.68%0.58%
Daily Std Dev2.76%2.70%
Max Drawdown-9.07%-8.83%
Current Drawdown-1.38%-1.19%

Correlation

-0.50.00.51.00.9

The correlation between FUMBX and FNSOX is 0.87, 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.

Performance

FUMBX vs. FNSOX - Performance Comparison

In the year-to-date period, FUMBX achieves a 2.96% return, which is significantly lower than FNSOX's 3.64% 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%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.12%
3.46%
FUMBX
FNSOX

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FUMBX vs. FNSOX - Expense Ratio Comparison

Both FUMBX and FNSOX have an expense ratio of 0.03%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


FUMBX
Fidelity Short-Term Treasury Bond Index Fund
Expense ratio chart for FUMBX: 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%
Expense ratio chart for FNSOX: 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

FUMBX vs. FNSOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Short-Term Treasury Bond Index Fund (FUMBX) and Fidelity Short-Term Bond Index Fund (FNSOX). 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.


FUMBX
Sharpe ratio
The chart of Sharpe ratio for FUMBX, currently valued at 1.86, compared to the broader market0.002.004.001.86
Sortino ratio
The chart of Sortino ratio for FUMBX, currently valued at 2.86, compared to the broader market0.005.0010.002.86
Omega ratio
The chart of Omega ratio for FUMBX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for FUMBX, currently valued at 0.91, compared to the broader market0.005.0010.0015.0020.000.91
Martin ratio
The chart of Martin ratio for FUMBX, currently valued at 7.47, compared to the broader market0.0020.0040.0060.0080.00100.007.47
FNSOX
Sharpe ratio
The chart of Sharpe ratio for FNSOX, currently valued at 2.20, compared to the broader market0.002.004.002.20
Sortino ratio
The chart of Sortino ratio for FNSOX, currently valued at 3.50, compared to the broader market0.005.0010.003.50
Omega ratio
The chart of Omega ratio for FNSOX, currently valued at 1.46, compared to the broader market1.002.003.004.001.46
Calmar ratio
The chart of Calmar ratio for FNSOX, currently valued at 1.24, compared to the broader market0.005.0010.0015.0020.001.24
Martin ratio
The chart of Martin ratio for FNSOX, currently valued at 10.09, compared to the broader market0.0020.0040.0060.0080.00100.0010.09

FUMBX vs. FNSOX - Sharpe Ratio Comparison

The current FUMBX Sharpe Ratio is 1.86, which is comparable to the FNSOX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FUMBX and FNSOX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.86
2.20
FUMBX
FNSOX

Dividends

FUMBX vs. FNSOX - Dividend Comparison

FUMBX's dividend yield for the trailing twelve months is around 2.03%, which matches FNSOX's 2.05% yield.


TTM2023202220212020201920182017
FUMBX
Fidelity Short-Term Treasury Bond Index Fund
2.03%1.65%1.12%0.83%1.31%1.88%1.64%0.35%
FNSOX
Fidelity Short-Term Bond Index Fund
2.05%1.75%1.17%0.76%1.45%2.35%2.03%0.34%

Drawdowns

FUMBX vs. FNSOX - Drawdown Comparison

The maximum FUMBX drawdown since its inception was -9.07%, roughly equal to the maximum FNSOX drawdown of -8.83%. Use the drawdown chart below to compare losses from any high point for FUMBX and FNSOX. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.38%
-1.19%
FUMBX
FNSOX

Volatility

FUMBX vs. FNSOX - Volatility Comparison

Fidelity Short-Term Treasury Bond Index Fund (FUMBX) has a higher volatility of 0.63% compared to Fidelity Short-Term Bond Index Fund (FNSOX) at 0.53%. This indicates that FUMBX's price experiences larger fluctuations and is considered to be riskier than FNSOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%0.60%0.70%0.80%0.90%1.00%1.10%JuneJulyAugustSeptemberOctoberNovember
0.63%
0.53%
FUMBX
FNSOX