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VRTPX vs. FFNOX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VRTPX vs. FFNOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Real Estate II Index Fund (VRTPX) and Fidelity Multi-Asset Index Fund (FFNOX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
20.13%
7.24%
VRTPX
FFNOX

Returns By Period

In the year-to-date period, VRTPX achieves a 12.31% return, which is significantly lower than FFNOX's 13.14% return.


VRTPX

YTD

12.31%

1M

-0.22%

6M

20.13%

1Y

26.24%

5Y (annualized)

4.94%

10Y (annualized)

N/A

FFNOX

YTD

13.14%

1M

1.15%

6M

7.23%

1Y

18.53%

5Y (annualized)

7.29%

10Y (annualized)

7.45%

Key characteristics


VRTPXFFNOX
Sharpe Ratio1.621.74
Sortino Ratio2.252.37
Omega Ratio1.281.32
Calmar Ratio1.001.36
Martin Ratio5.879.32
Ulcer Index4.47%1.99%
Daily Std Dev16.22%10.62%
Max Drawdown-42.33%-48.68%
Current Drawdown-7.26%-1.00%

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VRTPX vs. FFNOX - Expense Ratio Comparison

VRTPX has a 0.08% expense ratio, which is lower than FFNOX's 0.11% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FFNOX
Fidelity Multi-Asset Index Fund
Expense ratio chart for FFNOX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for VRTPX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.6

The correlation between VRTPX and FFNOX is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

VRTPX vs. FFNOX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Real Estate II Index Fund (VRTPX) and Fidelity Multi-Asset Index Fund (FFNOX). 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 VRTPX, currently valued at 1.62, compared to the broader market-1.000.001.002.003.004.005.001.621.74
The chart of Sortino ratio for VRTPX, currently valued at 2.25, compared to the broader market0.005.0010.002.252.37
The chart of Omega ratio for VRTPX, currently valued at 1.28, compared to the broader market1.002.003.004.001.281.32
The chart of Calmar ratio for VRTPX, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.001.36
The chart of Martin ratio for VRTPX, currently valued at 5.87, compared to the broader market0.0020.0040.0060.0080.00100.005.879.32
VRTPX
FFNOX

The current VRTPX Sharpe Ratio is 1.62, which is comparable to the FFNOX Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of VRTPX and FFNOX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.62
1.74
VRTPX
FFNOX

Dividends

VRTPX vs. FFNOX - Dividend Comparison

VRTPX's dividend yield for the trailing twelve months is around 3.76%, more than FFNOX's 1.85% yield.


TTM20232022202120202019201820172016201520142013
VRTPX
Vanguard Real Estate II Index Fund
3.76%3.98%3.99%2.58%3.92%3.49%4.77%1.32%0.00%0.00%0.00%0.00%
FFNOX
Fidelity Multi-Asset Index Fund
1.85%3.83%2.04%1.87%1.59%2.25%2.25%1.86%2.09%2.50%4.56%3.75%

Drawdowns

VRTPX vs. FFNOX - Drawdown Comparison

The maximum VRTPX drawdown since its inception was -42.33%, smaller than the maximum FFNOX drawdown of -48.68%. Use the drawdown chart below to compare losses from any high point for VRTPX and FFNOX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.26%
-1.00%
VRTPX
FFNOX

Volatility

VRTPX vs. FFNOX - Volatility Comparison

Vanguard Real Estate II Index Fund (VRTPX) has a higher volatility of 4.82% compared to Fidelity Multi-Asset Index Fund (FFNOX) at 2.77%. This indicates that VRTPX's price experiences larger fluctuations and is considered to be riskier than FFNOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.82%
2.77%
VRTPX
FFNOX