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SVSPX vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SVSPX and FXAIX is 0.99, 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

SVSPX vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street S&P 500 Index Fund Class N (SVSPX) and Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SVSPX:

0.59

FXAIX:

0.61

Sortino Ratio

SVSPX:

0.87

FXAIX:

0.90

Omega Ratio

SVSPX:

1.13

FXAIX:

1.13

Calmar Ratio

SVSPX:

0.55

FXAIX:

0.59

Martin Ratio

SVSPX:

2.11

FXAIX:

2.24

Ulcer Index

SVSPX:

4.92%

FXAIX:

4.84%

Daily Std Dev

SVSPX:

19.73%

FXAIX:

19.71%

Max Drawdown

SVSPX:

-86.30%

FXAIX:

-33.79%

Current Drawdown

SVSPX:

-5.27%

FXAIX:

-4.94%

Returns By Period

In the year-to-date period, SVSPX achieves a -0.90% return, which is significantly lower than FXAIX's -0.54% return. Both investments have delivered pretty close results over the past 10 years, with SVSPX having a 13.11% annualized return and FXAIX not far behind at 12.50%.


SVSPX

YTD

-0.90%

1M

5.93%

6M

-2.17%

1Y

10.72%

3Y*

15.36%

5Y*

16.02%

10Y*

13.11%

FXAIX

YTD

-0.54%

1M

5.93%

6M

-1.86%

1Y

11.17%

3Y*

15.62%

5Y*

16.26%

10Y*

12.50%

*Annualized

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Fidelity 500 Index Fund

SVSPX vs. FXAIX - Expense Ratio Comparison

SVSPX has a 0.16% expense ratio, which is higher than FXAIX's 0.02% 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

SVSPX vs. FXAIX — Risk-Adjusted Performance Rank

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

SVSPX
The Risk-Adjusted Performance Rank of SVSPX is 5858
Overall Rank
The Sharpe Ratio Rank of SVSPX is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of SVSPX is 5757
Sortino Ratio Rank
The Omega Ratio Rank of SVSPX is 6060
Omega Ratio Rank
The Calmar Ratio Rank of SVSPX is 6464
Calmar Ratio Rank
The Martin Ratio Rank of SVSPX is 5959
Martin Ratio Rank

FXAIX
The Risk-Adjusted Performance Rank of FXAIX is 6161
Overall Rank
The Sharpe Ratio Rank of FXAIX is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of FXAIX is 5959
Sortino Ratio Rank
The Omega Ratio Rank of FXAIX is 6363
Omega Ratio Rank
The Calmar Ratio Rank of FXAIX is 6767
Calmar Ratio Rank
The Martin Ratio Rank of FXAIX is 6262
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.

SVSPX vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street S&P 500 Index Fund Class N (SVSPX) and Fidelity 500 Index Fund (FXAIX). 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 SVSPX Sharpe Ratio is 0.59, which is comparable to the FXAIX Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of SVSPX and FXAIX, 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

SVSPX vs. FXAIX - Dividend Comparison

SVSPX's dividend yield for the trailing twelve months is around 9.52%, more than FXAIX's 1.58% yield.


TTM20242023202220212020201920182017201620152014
SVSPX
State Street S&P 500 Index Fund Class N
9.52%9.39%12.38%10.53%11.65%19.79%6.40%13.29%4.94%8.63%4.05%2.92%
FXAIX
Fidelity 500 Index Fund
1.58%1.25%1.45%1.69%1.22%1.60%2.06%2.72%1.97%2.52%2.83%2.08%

Drawdowns

SVSPX vs. FXAIX - Drawdown Comparison

The maximum SVSPX drawdown since its inception was -86.30%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for SVSPX and FXAIX.


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

Volatility

SVSPX vs. FXAIX - Volatility Comparison

State Street S&P 500 Index Fund Class N (SVSPX) and Fidelity 500 Index Fund (FXAIX) have volatilities of 4.39% and 4.37%, 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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