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PLDR vs. FITLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PLDRFITLX
YTD Return25.77%21.93%
1Y Return38.31%33.81%
3Y Return (Ann)7.00%8.02%
Sharpe Ratio2.992.59
Sortino Ratio3.963.42
Omega Ratio1.551.48
Calmar Ratio3.183.63
Martin Ratio16.7315.45
Ulcer Index2.33%2.24%
Daily Std Dev13.05%13.36%
Max Drawdown-29.57%-34.35%
Current Drawdown-0.76%-1.22%

Correlation

-0.50.00.51.01.0

The correlation between PLDR and FITLX is 0.96, 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

PLDR vs. FITLX - Performance Comparison

In the year-to-date period, PLDR achieves a 25.77% return, which is significantly higher than FITLX's 21.93% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
12.14%
11.35%
PLDR
FITLX

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PLDR vs. FITLX - Expense Ratio Comparison

PLDR has a 0.59% expense ratio, which is higher than FITLX's 0.11% expense ratio.


PLDR
Putnam Sustainable Leaders ETF
Expense ratio chart for PLDR: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for FITLX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

PLDR vs. FITLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Sustainable Leaders ETF (PLDR) and Fidelity US Sustainability Index Fund (FITLX). 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.


PLDR
Sharpe ratio
The chart of Sharpe ratio for PLDR, currently valued at 2.99, compared to the broader market-2.000.002.004.006.002.99
Sortino ratio
The chart of Sortino ratio for PLDR, currently valued at 3.96, compared to the broader market0.005.0010.003.96
Omega ratio
The chart of Omega ratio for PLDR, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for PLDR, currently valued at 3.18, compared to the broader market0.005.0010.0015.003.18
Martin ratio
The chart of Martin ratio for PLDR, currently valued at 16.73, compared to the broader market0.0020.0040.0060.0080.00100.0016.73
FITLX
Sharpe ratio
The chart of Sharpe ratio for FITLX, currently valued at 2.56, compared to the broader market-2.000.002.004.006.002.56
Sortino ratio
The chart of Sortino ratio for FITLX, currently valued at 3.39, compared to the broader market0.005.0010.003.39
Omega ratio
The chart of Omega ratio for FITLX, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for FITLX, currently valued at 3.60, compared to the broader market0.005.0010.0015.003.60
Martin ratio
The chart of Martin ratio for FITLX, currently valued at 15.29, compared to the broader market0.0020.0040.0060.0080.00100.0015.29

PLDR vs. FITLX - Sharpe Ratio Comparison

The current PLDR Sharpe Ratio is 2.99, which is comparable to the FITLX Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of PLDR and FITLX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.99
2.56
PLDR
FITLX

Dividends

PLDR vs. FITLX - Dividend Comparison

PLDR's dividend yield for the trailing twelve months is around 0.45%, less than FITLX's 0.92% yield.


TTM2023202220212020201920182017
PLDR
Putnam Sustainable Leaders ETF
0.45%0.56%0.63%0.39%0.00%0.00%0.00%0.00%
FITLX
Fidelity US Sustainability Index Fund
0.92%1.12%1.49%0.81%1.01%1.27%1.37%0.71%

Drawdowns

PLDR vs. FITLX - Drawdown Comparison

The maximum PLDR drawdown since its inception was -29.57%, smaller than the maximum FITLX drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for PLDR and FITLX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.76%
-1.22%
PLDR
FITLX

Volatility

PLDR vs. FITLX - Volatility Comparison

Putnam Sustainable Leaders ETF (PLDR) has a higher volatility of 3.82% compared to Fidelity US Sustainability Index Fund (FITLX) at 3.23%. This indicates that PLDR's price experiences larger fluctuations and is considered to be riskier than FITLX 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
3.82%
3.23%
PLDR
FITLX