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XSLV vs. FTBFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XSLVFTBFX
YTD Return17.18%3.78%
1Y Return32.32%10.29%
3Y Return (Ann)1.98%-1.10%
5Y Return (Ann)2.79%0.71%
10Y Return (Ann)6.99%2.14%
Sharpe Ratio1.981.72
Sortino Ratio2.982.58
Omega Ratio1.361.32
Calmar Ratio1.530.74
Martin Ratio11.966.88
Ulcer Index2.76%1.39%
Daily Std Dev16.70%5.67%
Max Drawdown-44.34%-18.19%
Current Drawdown0.00%-4.97%

Correlation

-0.50.00.51.0-0.0

The correlation between XSLV and FTBFX is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

XSLV vs. FTBFX - Performance Comparison

In the year-to-date period, XSLV achieves a 17.18% return, which is significantly higher than FTBFX's 3.78% return. Over the past 10 years, XSLV has outperformed FTBFX with an annualized return of 6.99%, while FTBFX has yielded a comparatively lower 2.14% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.70%
4.18%
XSLV
FTBFX

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XSLV vs. FTBFX - Expense Ratio Comparison

XSLV has a 0.25% expense ratio, which is lower than FTBFX's 0.45% expense ratio.


FTBFX
Fidelity Total Bond Fund
Expense ratio chart for FTBFX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for XSLV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

XSLV vs. FTBFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap Low Volatility ETF (XSLV) and Fidelity Total Bond Fund (FTBFX). 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.


XSLV
Sharpe ratio
The chart of Sharpe ratio for XSLV, currently valued at 1.69, compared to the broader market-2.000.002.004.006.001.69
Sortino ratio
The chart of Sortino ratio for XSLV, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for XSLV, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for XSLV, currently valued at 1.39, compared to the broader market0.005.0010.0015.001.39
Martin ratio
The chart of Martin ratio for XSLV, currently valued at 9.89, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.89
FTBFX
Sharpe ratio
The chart of Sharpe ratio for FTBFX, currently valued at 1.72, compared to the broader market-2.000.002.004.006.001.72
Sortino ratio
The chart of Sortino ratio for FTBFX, currently valued at 2.58, compared to the broader market0.005.0010.002.58
Omega ratio
The chart of Omega ratio for FTBFX, currently valued at 1.32, compared to the broader market1.001.502.002.503.001.32
Calmar ratio
The chart of Calmar ratio for FTBFX, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for FTBFX, currently valued at 6.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.88

XSLV vs. FTBFX - Sharpe Ratio Comparison

The current XSLV Sharpe Ratio is 1.98, which is comparable to the FTBFX Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of XSLV and FTBFX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.69
1.72
XSLV
FTBFX

Dividends

XSLV vs. FTBFX - Dividend Comparison

XSLV's dividend yield for the trailing twelve months is around 1.88%, less than FTBFX's 4.59% yield.


TTM20232022202120202019201820172016201520142013
XSLV
Invesco S&P SmallCap Low Volatility ETF
1.88%2.35%2.79%1.05%2.48%2.43%2.75%1.87%1.96%2.20%2.38%1.58%
FTBFX
Fidelity Total Bond Fund
4.59%4.15%3.34%2.19%2.53%3.04%3.19%2.98%3.21%3.71%3.14%3.91%

Drawdowns

XSLV vs. FTBFX - Drawdown Comparison

The maximum XSLV drawdown since its inception was -44.34%, which is greater than FTBFX's maximum drawdown of -18.19%. Use the drawdown chart below to compare losses from any high point for XSLV and FTBFX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-4.97%
XSLV
FTBFX

Volatility

XSLV vs. FTBFX - Volatility Comparison

Invesco S&P SmallCap Low Volatility ETF (XSLV) has a higher volatility of 7.02% compared to Fidelity Total Bond Fund (FTBFX) at 1.57%. This indicates that XSLV's price experiences larger fluctuations and is considered to be riskier than FTBFX 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%7.00%JuneJulyAugustSeptemberOctoberNovember
7.02%
1.57%
XSLV
FTBFX