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TCLOX vs. FFFFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TCLOXFFFFX
YTD Return15.30%16.40%
1Y Return25.77%28.72%
3Y Return (Ann)3.83%-1.06%
5Y Return (Ann)9.29%4.92%
10Y Return (Ann)8.34%4.56%
Sharpe Ratio2.392.57
Sortino Ratio3.263.62
Omega Ratio1.461.47
Calmar Ratio2.231.13
Martin Ratio16.3116.65
Ulcer Index1.54%1.68%
Daily Std Dev10.49%10.88%
Max Drawdown-53.88%-53.24%
Current Drawdown0.00%-3.20%

Correlation

-0.50.00.51.01.0

The correlation between TCLOX and FFFFX 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

TCLOX vs. FFFFX - Performance Comparison

In the year-to-date period, TCLOX achieves a 15.30% return, which is significantly lower than FFFFX's 16.40% return. Over the past 10 years, TCLOX has outperformed FFFFX with an annualized return of 8.34%, while FFFFX has yielded a comparatively lower 4.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
8.02%
8.63%
TCLOX
FFFFX

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TCLOX vs. FFFFX - Expense Ratio Comparison

TCLOX has a 0.49% expense ratio, which is lower than FFFFX's 0.75% expense ratio.


FFFFX
Fidelity Freedom 2040 Fund
Expense ratio chart for FFFFX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for TCLOX: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

TCLOX vs. FFFFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Lifecycle 2040 Fund (TCLOX) and Fidelity Freedom 2040 Fund (FFFFX). 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.


TCLOX
Sharpe ratio
The chart of Sharpe ratio for TCLOX, currently valued at 2.39, compared to the broader market0.002.004.002.39
Sortino ratio
The chart of Sortino ratio for TCLOX, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for TCLOX, currently valued at 1.46, compared to the broader market1.002.003.004.001.46
Calmar ratio
The chart of Calmar ratio for TCLOX, currently valued at 2.23, compared to the broader market0.005.0010.0015.0020.0025.002.23
Martin ratio
The chart of Martin ratio for TCLOX, currently valued at 16.31, compared to the broader market0.0020.0040.0060.0080.00100.0016.31
FFFFX
Sharpe ratio
The chart of Sharpe ratio for FFFFX, currently valued at 2.57, compared to the broader market0.002.004.002.57
Sortino ratio
The chart of Sortino ratio for FFFFX, currently valued at 3.62, compared to the broader market0.005.0010.003.62
Omega ratio
The chart of Omega ratio for FFFFX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for FFFFX, currently valued at 1.13, compared to the broader market0.005.0010.0015.0020.0025.001.13
Martin ratio
The chart of Martin ratio for FFFFX, currently valued at 16.65, compared to the broader market0.0020.0040.0060.0080.00100.0016.65

TCLOX vs. FFFFX - Sharpe Ratio Comparison

The current TCLOX Sharpe Ratio is 2.39, which is comparable to the FFFFX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of TCLOX and FFFFX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.39
2.57
TCLOX
FFFFX

Dividends

TCLOX vs. FFFFX - Dividend Comparison

TCLOX's dividend yield for the trailing twelve months is around 1.19%, more than FFFFX's 1.13% yield.


TTM20232022202120202019201820172016201520142013
TCLOX
TIAA-CREF Lifecycle 2040 Fund
1.19%1.37%1.05%2.36%1.76%1.09%1.97%1.91%1.28%1.42%2.36%2.88%
FFFFX
Fidelity Freedom 2040 Fund
1.13%1.32%2.11%2.27%1.06%1.50%1.68%1.12%1.44%4.38%9.27%6.23%

Drawdowns

TCLOX vs. FFFFX - Drawdown Comparison

The maximum TCLOX drawdown since its inception was -53.88%, roughly equal to the maximum FFFFX drawdown of -53.24%. Use the drawdown chart below to compare losses from any high point for TCLOX and FFFFX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.20%
TCLOX
FFFFX

Volatility

TCLOX vs. FFFFX - Volatility Comparison

The current volatility for TIAA-CREF Lifecycle 2040 Fund (TCLOX) is 2.53%, while Fidelity Freedom 2040 Fund (FFFFX) has a volatility of 2.95%. This indicates that TCLOX experiences smaller price fluctuations and is considered to be less risky than FFFFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.53%
2.95%
TCLOX
FFFFX