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OEF vs. FDVLX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

OEF vs. FDVLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares S&P 100 ETF (OEF) and Fidelity Value Fund (FDVLX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, OEF achieves a 9.51% return, which is significantly lower than FDVLX's 16.84% return. Over the past 10 years, OEF has outperformed FDVLX with an annualized return of 16.71%, while FDVLX has yielded a comparatively lower 13.86% annualized return.


OEF

1D
-0.87%
1M
5.44%
YTD
9.51%
6M
9.34%
1Y
29.54%
3Y*
24.53%
5Y*
15.70%
10Y*
16.71%

FDVLX

1D
0.31%
1M
3.40%
YTD
16.84%
6M
18.08%
1Y
34.61%
3Y*
25.65%
5Y*
13.91%
10Y*
13.86%
*Multi-year figures are annualized to reflect compound growth (CAGR)

OEF vs. FDVLX - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
OEF
iShares S&P 100 ETF
9.51%19.80%30.74%32.71%-21.03%29.18%21.21%31.87%-4.16%21.82%
FDVLX
Fidelity Value Fund
16.84%11.32%30.11%19.57%-9.07%35.30%9.33%31.68%-17.58%14.11%

Correlation

The correlation between OEF and FDVLX is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.58

Correlation (3Y)
Calculated over the trailing 3-year period

0.60

Correlation (5Y)
Calculated over the trailing 5-year period

0.70

Correlation (10Y)
Calculated over the trailing 10-year period

0.72

Correlation (All Time)
Calculated using the full available price history since Oct 30, 2000

0.82

Over the past year, the correlation between OEF and FDVLX has dropped to 0.58 - well below their long-term average of 0.82, suggesting their price drivers have been diverging.

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Return for Risk

OEF vs. FDVLX — Risk / Return Rank

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

OEF
OEF Risk / Return Rank: 6464
Overall Rank
OEF Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
OEF Sortino Ratio Rank: 6767
Sortino Ratio Rank
OEF Omega Ratio Rank: 6868
Omega Ratio Rank
OEF Calmar Ratio Rank: 5353
Calmar Ratio Rank
OEF Martin Ratio Rank: 6262
Martin Ratio Rank

FDVLX
FDVLX Risk / Return Rank: 6565
Overall Rank
FDVLX Sharpe Ratio Rank: 6161
Sharpe Ratio Rank
FDVLX Sortino Ratio Rank: 6161
Sortino Ratio Rank
FDVLX Omega Ratio Rank: 5252
Omega Ratio Rank
FDVLX Calmar Ratio Rank: 8181
Calmar Ratio Rank
FDVLX Martin Ratio Rank: 7272
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

OEF vs. FDVLX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P 100 ETF (OEF) and Fidelity Value Fund (FDVLX). 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.


OEFFDVLXDifference
Sharpe ratioReturn per unit of total volatility

+0.05

Sortino ratioReturn per unit of downside risk

-0.13

Omega ratioGain probability vs. loss probability

1.42

1.40

+0.02

Calmar ratioReturn relative to maximum drawdown

2.68

3.72

-1.04

Martin ratioReturn relative to average drawdown

11.29

13.69

-2.39

OEF vs. FDVLX - Sharpe Ratio Comparison

The current OEF Sharpe Ratio is 2.33, which is comparable to the FDVLX Sharpe Ratio of 2.29. The chart below compares the historical Sharpe Ratios of OEF and FDVLX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


OEFFDVLXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.33

2.29

+0.05

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.89

0.53

+0.37

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.91

0.55

+0.36

Sharpe Ratio (All Time)

Calculated using the full available price history

0.45

0.57

-0.13

Drawdowns

OEF vs. FDVLX - Drawdown Comparison

The maximum OEF drawdown since its inception was -54.11%, smaller than the maximum FDVLX drawdown of -66.91%. Use the drawdown chart below to compare losses from any high point for OEF and FDVLX.


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Drawdown Indicators


OEFFDVLXDifference

Max Drawdown

Largest peak-to-trough decline

-54.11%

-66.91%

+12.80%

Max Drawdown (1Y)

Largest decline over 1 year

-11.06%

-9.90%

-1.16%

Max Drawdown (3Y)

Largest decline over 3 years

-19.80%

-31.45%

+11.65%

Max Drawdown (5Y)

Largest decline over 5 years

-26.47%

-31.45%

+4.98%

Max Drawdown (10Y)

Largest decline over 10 years

-31.44%

-48.66%

+17.22%

Current Drawdown

Current decline from peak

-0.94%

0.00%

-0.94%

Average Drawdown

Average peak-to-trough decline

-11.76%

-9.02%

-2.74%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.62%

2.69%

-0.07%

Volatility

OEF vs. FDVLX - Volatility Comparison

The current volatility for iShares S&P 100 ETF (OEF) is 3.14%, while Fidelity Value Fund (FDVLX) has a volatility of 4.19%. This indicates that OEF experiences smaller price fluctuations and is considered to be less risky than FDVLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


OEFFDVLXDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.14%

4.19%

-1.05%

Volatility (6M)

Calculated over the trailing 6-month period

9.48%

11.46%

-1.98%

Volatility (1Y)

Calculated over the trailing 1-year period

12.73%

16.11%

-3.38%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.69%

26.55%

-8.86%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.44%

25.19%

-6.75%

OEF vs. FDVLX - Expense Ratio Comparison

OEF has a 0.20% expense ratio, which is lower than FDVLX's 0.79% expense ratio.


Dividends

OEF vs. FDVLX - Dividend Comparison

OEF's dividend yield for the trailing twelve months is around 0.83%, less than FDVLX's 8.60% yield.


PositionTTM20252024202320222021202020192018201720162015
FDVLX
Fidelity Value Fund
8.60%10.05%33.05%3.71%7.08%9.79%0.98%3.34%16.25%3.38%1.26%10.97%
OEF
iShares S&P 100 ETF
0.83%0.81%1.03%1.19%1.55%1.06%1.43%1.87%2.09%1.81%2.07%2.11%

Frequently Asked Questions


OEF and FDVLX have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FDVLX has higher volatility (4.19%) compared to OEF (3.14%). In terms of maximum drawdown, OEF dropped -54.11% vs FDVLX's -66.91%.

OEF currently has the higher Sharpe Ratio (2.33 vs 2.29), 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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