PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPIP vs. FIPDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPIP and FIPDX is 0.94, 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

SPIP vs. FIPDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio TIPS ETF (SPIP) and Fidelity Inflation-Protected Bond Index Fund (FIPDX). The values are adjusted to include any dividend payments, if applicable.

10.00%12.00%14.00%16.00%18.00%20.00%22.00%24.00%JulyAugustSeptemberOctoberNovemberDecember
19.29%
10.35%
SPIP
FIPDX

Key characteristics

Sharpe Ratio

SPIP:

0.32

FIPDX:

0.01

Sortino Ratio

SPIP:

0.47

FIPDX:

0.05

Omega Ratio

SPIP:

1.06

FIPDX:

1.01

Calmar Ratio

SPIP:

0.14

FIPDX:

0.01

Martin Ratio

SPIP:

1.18

FIPDX:

0.05

Ulcer Index

SPIP:

1.42%

FIPDX:

1.38%

Daily Std Dev

SPIP:

5.28%

FIPDX:

4.91%

Max Drawdown

SPIP:

-15.38%

FIPDX:

-14.29%

Current Drawdown

SPIP:

-8.63%

FIPDX:

-8.99%

Returns By Period

In the year-to-date period, SPIP achieves a 2.39% return, which is significantly higher than FIPDX's 0.29% return. Over the past 10 years, SPIP has outperformed FIPDX with an annualized return of 2.12%, while FIPDX has yielded a comparatively lower 1.28% annualized return.


SPIP

YTD

2.39%

1M

-0.71%

6M

0.67%

1Y

1.75%

5Y*

1.69%

10Y*

2.12%

FIPDX

YTD

0.29%

1M

-2.42%

6M

-0.89%

1Y

0.07%

5Y*

0.94%

10Y*

1.28%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPIP vs. FIPDX - Expense Ratio Comparison

SPIP has a 0.12% expense ratio, which is higher than FIPDX's 0.05% 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%.


SPIP
SPDR Portfolio TIPS ETF
Expense ratio chart for SPIP: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for FIPDX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

SPIP vs. FIPDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio TIPS ETF (SPIP) and Fidelity Inflation-Protected Bond Index Fund (FIPDX). 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 SPIP, currently valued at 0.23, compared to the broader market0.002.004.000.230.01
The chart of Sortino ratio for SPIP, currently valued at 0.35, compared to the broader market-2.000.002.004.006.008.0010.000.350.05
The chart of Omega ratio for SPIP, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.01
The chart of Calmar ratio for SPIP, currently valued at 0.10, compared to the broader market0.005.0010.0015.000.100.01
The chart of Martin ratio for SPIP, currently valued at 0.84, compared to the broader market0.0020.0040.0060.0080.00100.000.840.05
SPIP
FIPDX

The current SPIP Sharpe Ratio is 0.32, which is higher than the FIPDX Sharpe Ratio of 0.01. The chart below compares the historical Sharpe Ratios of SPIP and FIPDX, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.23
0.01
SPIP
FIPDX

Dividends

SPIP vs. FIPDX - Dividend Comparison

SPIP's dividend yield for the trailing twelve months is around 3.35%, more than FIPDX's 2.15% yield.


TTM20232022202120202019201820172016201520142013
SPIP
SPDR Portfolio TIPS ETF
3.35%3.70%7.06%4.53%1.97%2.60%2.80%3.02%1.88%0.14%1.66%1.11%
FIPDX
Fidelity Inflation-Protected Bond Index Fund
2.15%3.59%8.87%4.76%0.24%0.41%0.39%0.09%0.08%0.11%1.10%0.66%

Drawdowns

SPIP vs. FIPDX - Drawdown Comparison

The maximum SPIP drawdown since its inception was -15.38%, which is greater than FIPDX's maximum drawdown of -14.29%. Use the drawdown chart below to compare losses from any high point for SPIP and FIPDX. For additional features, visit the drawdowns tool.


-10.00%-9.00%-8.00%-7.00%-6.00%-5.00%-4.00%JulyAugustSeptemberOctoberNovemberDecember
-8.63%
-8.99%
SPIP
FIPDX

Volatility

SPIP vs. FIPDX - Volatility Comparison

The current volatility for SPDR Portfolio TIPS ETF (SPIP) is 1.44%, while Fidelity Inflation-Protected Bond Index Fund (FIPDX) has a volatility of 2.50%. This indicates that SPIP experiences smaller price fluctuations and is considered to be less risky than FIPDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%JulyAugustSeptemberOctoberNovemberDecember
1.44%
2.50%
SPIP
FIPDX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab