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

Correlation

The correlation between FUMIX and VOO 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

FUMIX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity SAI U.S. Momentum Index Fund (FUMIX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FUMIX:

0.63

VOO:

0.69

Sortino Ratio

FUMIX:

1.05

VOO:

1.10

Omega Ratio

FUMIX:

1.15

VOO:

1.16

Calmar Ratio

FUMIX:

0.67

VOO:

0.73

Martin Ratio

FUMIX:

2.68

VOO:

2.79

Ulcer Index

FUMIX:

5.75%

VOO:

4.89%

Daily Std Dev

FUMIX:

23.19%

VOO:

19.37%

Max Drawdown

FUMIX:

-39.68%

VOO:

-33.99%

Current Drawdown

FUMIX:

-4.10%

VOO:

-3.00%

Returns By Period

In the year-to-date period, FUMIX achieves a 9.21% return, which is significantly higher than VOO's 1.48% return.


FUMIX

YTD

9.21%

1M

15.42%

6M

5.42%

1Y

14.62%

3Y*

12.67%

5Y*

6.72%

10Y*

N/A

VOO

YTD

1.48%

1M

12.60%

6M

1.07%

1Y

13.35%

3Y*

16.79%

5Y*

16.77%

10Y*

12.78%

*Annualized

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Vanguard S&P 500 ETF

FUMIX vs. VOO - Expense Ratio Comparison

FUMIX has a 0.11% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Risk-Adjusted Performance

FUMIX vs. VOO — Risk-Adjusted Performance Rank

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

FUMIX
The Risk-Adjusted Performance Rank of FUMIX is 6767
Overall Rank
The Sharpe Ratio Rank of FUMIX is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of FUMIX is 6565
Sortino Ratio Rank
The Omega Ratio Rank of FUMIX is 6767
Omega Ratio Rank
The Calmar Ratio Rank of FUMIX is 7171
Calmar Ratio Rank
The Martin Ratio Rank of FUMIX is 6969
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6868
Overall Rank
The Sharpe Ratio Rank of VOO is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6767
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7070
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7070
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6969
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.

FUMIX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity SAI U.S. Momentum Index Fund (FUMIX) 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.


The current FUMIX Sharpe Ratio is 0.63, which is comparable to the VOO Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of FUMIX 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.


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Dividends

FUMIX vs. VOO - Dividend Comparison

FUMIX's dividend yield for the trailing twelve months is around 0.45%, less than VOO's 1.28% yield.


TTM20242023202220212020201920182017201620152014
FUMIX
Fidelity SAI U.S. Momentum Index Fund
0.45%0.50%0.80%2.10%0.61%1.06%1.54%1.02%0.53%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.28%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

FUMIX vs. VOO - Drawdown Comparison

The maximum FUMIX drawdown since its inception was -39.68%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FUMIX and VOO. For additional features, visit the drawdowns tool.


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Volatility

FUMIX vs. VOO - Volatility Comparison

Fidelity SAI U.S. Momentum Index Fund (FUMIX) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.63% and 4.63%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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