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SBLGX vs. FAEGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SBLGXFAEGX
YTD Return30.29%32.18%
1Y Return30.88%44.48%
3Y Return (Ann)-3.56%3.97%
5Y Return (Ann)6.50%11.86%
10Y Return (Ann)7.67%9.20%
Sharpe Ratio1.732.76
Sortino Ratio2.173.60
Omega Ratio1.341.49
Calmar Ratio0.900.57
Martin Ratio9.0015.51
Ulcer Index3.33%2.81%
Daily Std Dev17.38%15.79%
Max Drawdown-53.70%-95.89%
Current Drawdown-10.63%-66.26%

Correlation

-0.50.00.51.00.9

The correlation between SBLGX and FAEGX 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.

Performance

SBLGX vs. FAEGX - Performance Comparison

In the year-to-date period, SBLGX achieves a 30.29% return, which is significantly lower than FAEGX's 32.18% return. Over the past 10 years, SBLGX has underperformed FAEGX with an annualized return of 7.67%, while FAEGX has yielded a comparatively higher 9.20% annualized 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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.68%
15.16%
SBLGX
FAEGX

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SBLGX vs. FAEGX - Expense Ratio Comparison

SBLGX has a 0.99% expense ratio, which is lower than FAEGX's 1.21% expense ratio.


FAEGX
Fidelity Advisor Equity Growth Fund Class M
Expense ratio chart for FAEGX: current value at 1.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.21%
Expense ratio chart for SBLGX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Risk-Adjusted Performance

SBLGX vs. FAEGX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Large Cap Growth Fund (SBLGX) and Fidelity Advisor Equity Growth Fund Class M (FAEGX). 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.


SBLGX
Sharpe ratio
The chart of Sharpe ratio for SBLGX, currently valued at 1.73, compared to the broader market0.002.004.001.73
Sortino ratio
The chart of Sortino ratio for SBLGX, currently valued at 2.17, compared to the broader market0.005.0010.002.17
Omega ratio
The chart of Omega ratio for SBLGX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for SBLGX, currently valued at 0.90, compared to the broader market0.005.0010.0015.0020.0025.000.90
Martin ratio
The chart of Martin ratio for SBLGX, currently valued at 9.00, compared to the broader market0.0020.0040.0060.0080.00100.009.00
FAEGX
Sharpe ratio
The chart of Sharpe ratio for FAEGX, currently valued at 2.76, compared to the broader market0.002.004.002.76
Sortino ratio
The chart of Sortino ratio for FAEGX, currently valued at 3.60, compared to the broader market0.005.0010.003.60
Omega ratio
The chart of Omega ratio for FAEGX, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for FAEGX, currently valued at 0.57, compared to the broader market0.005.0010.0015.0020.0025.000.57
Martin ratio
The chart of Martin ratio for FAEGX, currently valued at 15.51, compared to the broader market0.0020.0040.0060.0080.00100.0015.51

SBLGX vs. FAEGX - Sharpe Ratio Comparison

The current SBLGX Sharpe Ratio is 1.73, which is lower than the FAEGX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of SBLGX and FAEGX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.73
2.76
SBLGX
FAEGX

Dividends

SBLGX vs. FAEGX - Dividend Comparison

Neither SBLGX nor FAEGX has paid dividends to shareholders.


TTM202320222021202020192018201720162015
SBLGX
ClearBridge Large Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.15%0.01%0.00%0.08%0.02%
FAEGX
Fidelity Advisor Equity Growth Fund Class M
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%2.40%

Drawdowns

SBLGX vs. FAEGX - Drawdown Comparison

The maximum SBLGX drawdown since its inception was -53.70%, smaller than the maximum FAEGX drawdown of -95.89%. Use the drawdown chart below to compare losses from any high point for SBLGX and FAEGX. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-10.63%
-66.26%
SBLGX
FAEGX

Volatility

SBLGX vs. FAEGX - Volatility Comparison

ClearBridge Large Cap Growth Fund (SBLGX) and Fidelity Advisor Equity Growth Fund Class M (FAEGX) have volatilities of 4.57% and 4.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.57%
4.46%
SBLGX
FAEGX