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

Correlation

The correlation between SNPG and FITLX is 0.93, 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

SNPG vs. FITLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers S&P 500 Growth ESG ETF (SNPG) and Fidelity US Sustainability Index Fund (FITLX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SNPG:

0.67

FITLX:

0.62

Sortino Ratio

SNPG:

0.97

FITLX:

0.87

Omega Ratio

SNPG:

1.13

FITLX:

1.12

Calmar Ratio

SNPG:

0.63

FITLX:

0.54

Martin Ratio

SNPG:

2.15

FITLX:

1.87

Ulcer Index

SNPG:

6.32%

FITLX:

5.74%

Daily Std Dev

SNPG:

23.39%

FITLX:

20.66%

Max Drawdown

SNPG:

-21.69%

FITLX:

-34.35%

Current Drawdown

SNPG:

-4.36%

FITLX:

-3.53%

Returns By Period

In the year-to-date period, SNPG achieves a 0.15% return, which is significantly lower than FITLX's 1.00% return.


SNPG

YTD

0.15%

1M

7.30%

6M

-0.73%

1Y

15.48%

3Y*

N/A

5Y*

N/A

10Y*

N/A

FITLX

YTD

1.00%

1M

7.95%

6M

-1.97%

1Y

12.64%

3Y*

14.55%

5Y*

15.71%

10Y*

N/A

*Annualized

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Xtrackers S&P 500 Growth ESG ETF

SNPG vs. FITLX - Expense Ratio Comparison

SNPG has a 0.15% expense ratio, which is higher than FITLX's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

SNPG vs. FITLX — Risk-Adjusted Performance Rank

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

SNPG
The Risk-Adjusted Performance Rank of SNPG is 5757
Overall Rank
The Sharpe Ratio Rank of SNPG is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of SNPG is 5656
Sortino Ratio Rank
The Omega Ratio Rank of SNPG is 5555
Omega Ratio Rank
The Calmar Ratio Rank of SNPG is 6262
Calmar Ratio Rank
The Martin Ratio Rank of SNPG is 5656
Martin Ratio Rank

FITLX
The Risk-Adjusted Performance Rank of FITLX is 4444
Overall Rank
The Sharpe Ratio Rank of FITLX is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of FITLX is 4343
Sortino Ratio Rank
The Omega Ratio Rank of FITLX is 4242
Omega Ratio Rank
The Calmar Ratio Rank of FITLX is 5050
Calmar Ratio Rank
The Martin Ratio Rank of FITLX is 4343
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SNPG vs. FITLX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers S&P 500 Growth ESG ETF (SNPG) 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.


The current SNPG Sharpe Ratio is 0.67, which is comparable to the FITLX Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of SNPG 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.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

SNPG vs. FITLX - Dividend Comparison

SNPG's dividend yield for the trailing twelve months is around 0.53%, less than FITLX's 1.28% yield.


TTM20242023202220212020201920182017
SNPG
Xtrackers S&P 500 Growth ESG ETF
0.53%0.57%0.95%0.20%0.00%0.00%0.00%0.00%0.00%
FITLX
Fidelity US Sustainability Index Fund
1.28%1.29%1.12%1.49%0.99%1.01%1.41%1.58%0.76%

Drawdowns

SNPG vs. FITLX - Drawdown Comparison

The maximum SNPG drawdown since its inception was -21.69%, smaller than the maximum FITLX drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for SNPG and FITLX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

SNPG vs. FITLX - Volatility Comparison

Xtrackers S&P 500 Growth ESG ETF (SNPG) and Fidelity US Sustainability Index Fund (FITLX) have volatilities of 5.11% and 4.96%, 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.


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