NCBIX vs. FSRRX
NCBIX (New Covenant Balanced Income Fund) and FSRRX (Fidelity Strategic Real Return Fund) are both Diversified Portfolio funds. Over the past 10 years, NCBIX returned 5.53%/yr vs 5.49%/yr for FSRRX. Their 0.58 correlation means they have sometimes moved together and sometimes differently. NCBIX charges 0.15%/yr vs 0.70%/yr for FSRRX.
Performance
NCBIX vs. FSRRX - Performance Comparison
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Returns By Period
In the year-to-date period, NCBIX achieves a 3.05% return, which is significantly lower than FSRRX's 8.37% return. Both investments have delivered pretty close results over the past 10 years, with NCBIX having a 5.53% annualized return and FSRRX not far behind at 5.49%.
NCBIX
- 1D
- 0.64%
- 1M
- -0.71%
- 6M
- 2.35%
- YTD
- 3.05%
- 1Y
- 8.35%
- 3Y*
- 8.55%
- 5Y*
- 3.82%
- 10Y*
- 5.53%
- ALL TIME*
- 4.34%
FSRRX
- 1D
- 0.00%
- 1M
- 2.05%
- 6M
- 4.71%
- YTD
- 8.37%
- 1Y
- 14.75%
- 3Y*
- 8.64%
- 5Y*
- 5.82%
- 10Y*
- 5.49%
- ALL TIME*
- 4.03%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
NCBIX vs. FSRRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NCBIX New Covenant Balanced Income Fund | 3.05% | 10.38% | 8.77% | 11.71% | -13.79% | 6.85% | 11.65% | 14.60% | -2.01% | 8.69% |
FSRRX Fidelity Strategic Real Return Fund | 8.37% | 10.45% | 5.84% | 4.59% | -3.34% | 15.84% | 3.74% | 10.48% | -3.99% | 3.00% |
Correlation
The correlation between NCBIX and FSRRX is 0.31, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.31 |
Correlation (3Y) Balances recent behavior with more history. | 0.52 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.57 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.57 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2005 | 0.58 |
Over the past year, the correlation between NCBIX and FSRRX has dropped to 0.31 - well below their long-term average of 0.58, suggesting their price drivers have been diverging.
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Return for Risk
NCBIX vs. FSRRX — Risk / Return Rank
NCBIX
FSRRX
NCBIX vs. FSRRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for New Covenant Balanced Income Fund (NCBIX) and Fidelity Strategic Real Return Fund (FSRRX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| NCBIX | FSRRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.48 | ||
| Sortino ratioReturn per unit of downside risk | -1.93 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.57 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | 2.00 | 4.14 | -2.14 |
| Martin ratioReturn relative to average drawdown | 8.60 | 14.82 | -6.21 |
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Drawdowns
NCBIX vs. FSRRX - Drawdown Comparison
The maximum NCBIX drawdown since its inception was -32.19%, roughly equal to the maximum FSRRX drawdown of -33.42%. Use the drawdown chart below to compare losses from any high point for NCBIX and FSRRX.
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Drawdown Indicators
| NCBIX | FSRRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.19% | -33.42% | +1.23% |
Max Drawdown (1Y)Largest decline over 1 year | -4.05% | -3.42% | -0.63% |
Max Drawdown (3Y)Largest decline over 3 years | -6.29% | -5.80% | -0.49% |
Max Drawdown (5Y)Largest decline over 5 years | -17.67% | -12.78% | -4.89% |
Max Drawdown (10Y)Largest decline over 10 years | -17.67% | -19.93% | +2.26% |
Current DrawdownCurrent decline from peak | -1.00% | -1.01% | +0.01% |
Average DrawdownAverage peak-to-trough decline | -3.46% | -4.20% | +0.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 0.95% | -0.01% |
Volatility
NCBIX vs. FSRRX - Volatility Comparison
New Covenant Balanced Income Fund (NCBIX) has a higher volatility of 1.56% compared to Fidelity Strategic Real Return Fund (FSRRX) at 1.25%. This indicates that NCBIX's price experiences larger fluctuations and is considered to be riskier than FSRRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NCBIX | FSRRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.56% | 1.25% | +0.31% |
Volatility (6M)Calculated over the trailing 6-month period | 4.61% | 3.77% | +0.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.65% | 4.90% | +0.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.23% | 6.87% | +0.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.08% | 6.72% | +0.36% |
NCBIX vs. FSRRX - Expense Ratio Comparison
NCBIX has a 0.15% expense ratio, which is lower than FSRRX's 0.70% expense ratio.
Dividends
NCBIX vs. FSRRX - Dividend Comparison
NCBIX's dividend yield for the trailing twelve months is around 5.99%, more than FSRRX's 4.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSRRX Fidelity Strategic Real Return Fund | 4.58% | 4.68% | 4.82% | 5.29% | 7.31% | 5.35% | 2.25% | 3.05% | 9.39% | 1.57% | 2.34% | 1.75% |
NCBIX New Covenant Balanced Income Fund | 5.99% | 6.15% | 5.21% | 1.97% | 2.72% | 4.22% | 5.49% | 4.14% | 5.85% | 2.05% | 1.23% | 7.37% |
Frequently Asked Questions
NCBIX and FSRRX have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NCBIX has higher volatility (1.56%) compared to FSRRX (1.25%). In terms of maximum drawdown, NCBIX dropped -32.19% vs FSRRX's -33.42%.
FSRRX currently has the higher Sharpe Ratio (2.92 vs 1.44), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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