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ONEQ vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ONEQ and ^GSPC is 0.91, 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.


-0.50.00.51.00.9

Performance

ONEQ vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
12.41%
10.16%
ONEQ
^GSPC

Key characteristics

Sharpe Ratio

ONEQ:

1.93

^GSPC:

2.16

Sortino Ratio

ONEQ:

2.51

^GSPC:

2.87

Omega Ratio

ONEQ:

1.35

^GSPC:

1.40

Calmar Ratio

ONEQ:

2.59

^GSPC:

3.19

Martin Ratio

ONEQ:

9.75

^GSPC:

13.87

Ulcer Index

ONEQ:

3.52%

^GSPC:

1.95%

Daily Std Dev

ONEQ:

17.76%

^GSPC:

12.54%

Max Drawdown

ONEQ:

-55.09%

^GSPC:

-56.78%

Current Drawdown

ONEQ:

-0.75%

^GSPC:

-0.82%

Returns By Period

In the year-to-date period, ONEQ achieves a 34.03% return, which is significantly higher than ^GSPC's 26.63% return. Over the past 10 years, ONEQ has outperformed ^GSPC with an annualized return of 16.55%, while ^GSPC has yielded a comparatively lower 11.23% annualized return.


ONEQ

YTD

34.03%

1M

5.42%

6M

13.33%

1Y

34.29%

5Y*

18.52%

10Y*

16.55%

^GSPC

YTD

26.63%

1M

1.18%

6M

10.44%

1Y

27.03%

5Y*

13.30%

10Y*

11.23%

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Risk-Adjusted Performance

ONEQ vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) and S&P 500 (^GSPC). 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.


Sharpe ratio
The chart of Sharpe ratio for ONEQ, currently valued at 1.93, compared to the broader market0.002.004.001.932.16
The chart of Sortino ratio for ONEQ, currently valued at 2.51, compared to the broader market-2.000.002.004.006.008.0010.002.512.87
The chart of Omega ratio for ONEQ, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.40
The chart of Calmar ratio for ONEQ, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.593.19
The chart of Martin ratio for ONEQ, currently valued at 9.75, compared to the broader market0.0020.0040.0060.0080.00100.009.7513.87
ONEQ
^GSPC

The current ONEQ Sharpe Ratio is 1.93, which is comparable to the ^GSPC Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of ONEQ and ^GSPC, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.93
2.16
ONEQ
^GSPC

Drawdowns

ONEQ vs. ^GSPC - Drawdown Comparison

The maximum ONEQ drawdown since its inception was -55.09%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ONEQ and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.75%
-0.82%
ONEQ
^GSPC

Volatility

ONEQ vs. ^GSPC - Volatility Comparison

Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) has a higher volatility of 5.21% compared to S&P 500 (^GSPC) at 3.96%. This indicates that ONEQ's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.21%
3.96%
ONEQ
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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