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FZFLX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FZFLXSPY
YTD Return17.42%26.77%
1Y Return36.77%37.43%
3Y Return (Ann)4.28%10.15%
5Y Return (Ann)11.72%15.86%
Sharpe Ratio2.283.06
Sortino Ratio3.164.08
Omega Ratio1.391.58
Calmar Ratio2.084.44
Martin Ratio12.1120.11
Ulcer Index2.99%1.85%
Daily Std Dev15.92%12.18%
Max Drawdown-42.04%-55.19%
Current Drawdown-1.01%-0.31%

Correlation

-0.50.00.51.00.9

The correlation between FZFLX and SPY is 0.88, 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

FZFLX vs. SPY - Performance Comparison

In the year-to-date period, FZFLX achieves a 17.42% return, which is significantly lower than SPY's 26.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.05%
14.78%
FZFLX
SPY

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FZFLX vs. SPY - Expense Ratio Comparison

FZFLX has a 0.05% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for FZFLX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

FZFLX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity SAI Small-Mid Cap 500 Index Fund (FZFLX) and SPDR S&P 500 ETF (SPY). 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.


FZFLX
Sharpe ratio
The chart of Sharpe ratio for FZFLX, currently valued at 2.28, compared to the broader market0.002.004.002.28
Sortino ratio
The chart of Sortino ratio for FZFLX, currently valued at 3.16, compared to the broader market0.005.0010.003.16
Omega ratio
The chart of Omega ratio for FZFLX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for FZFLX, currently valued at 2.08, compared to the broader market0.005.0010.0015.0020.002.08
Martin ratio
The chart of Martin ratio for FZFLX, currently valued at 12.11, compared to the broader market0.0020.0040.0060.0080.00100.0012.11
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.0020.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.0020.11

FZFLX vs. SPY - Sharpe Ratio Comparison

The current FZFLX Sharpe Ratio is 2.28, which is comparable to the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of FZFLX and SPY, 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
2.28
3.06
FZFLX
SPY

Dividends

FZFLX vs. SPY - Dividend Comparison

FZFLX's dividend yield for the trailing twelve months is around 1.58%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
FZFLX
Fidelity SAI Small-Mid Cap 500 Index Fund
1.58%1.49%1.99%2.00%1.20%3.48%1.69%1.04%0.81%1.21%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FZFLX vs. SPY - Drawdown Comparison

The maximum FZFLX drawdown since its inception was -42.04%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FZFLX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.01%
-0.31%
FZFLX
SPY

Volatility

FZFLX vs. SPY - Volatility Comparison

Fidelity SAI Small-Mid Cap 500 Index Fund (FZFLX) has a higher volatility of 4.61% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that FZFLX's price experiences larger fluctuations and is considered to be riskier than SPY 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%JuneJulyAugustSeptemberOctoberNovember
4.61%
3.88%
FZFLX
SPY