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XSPX.L vs. FWCFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XSPX.LFWCFX
YTD Return26.40%29.84%
1Y Return32.24%38.33%
3Y Return (Ann)12.03%-1.24%
5Y Return (Ann)16.08%7.03%
10Y Return (Ann)15.60%5.92%
Sharpe Ratio2.852.37
Sortino Ratio4.053.21
Omega Ratio1.551.43
Calmar Ratio4.981.26
Martin Ratio20.0613.90
Ulcer Index1.59%2.79%
Daily Std Dev11.15%16.34%
Max Drawdown-25.50%-41.73%
Current Drawdown0.00%-4.15%

Correlation

-0.50.00.51.00.6

The correlation between XSPX.L and FWCFX is 0.59, 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.

Performance

XSPX.L vs. FWCFX - Performance Comparison

In the year-to-date period, XSPX.L achieves a 26.40% return, which is significantly lower than FWCFX's 29.84% return. Over the past 10 years, XSPX.L has outperformed FWCFX with an annualized return of 15.60%, while FWCFX has yielded a comparatively lower 5.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.70%
8.55%
XSPX.L
FWCFX

Compare stocks, funds, or ETFs

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


XSPX.L vs. FWCFX - Expense Ratio Comparison

XSPX.L has a 0.15% expense ratio, which is lower than FWCFX's 2.08% expense ratio.


FWCFX
Fidelity Advisor Worldwide Fund Class C
Expense ratio chart for FWCFX: current value at 2.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.08%
Expense ratio chart for XSPX.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

XSPX.L vs. FWCFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers S&P 500 Swap UCITS ETF 1C (XSPX.L) and Fidelity Advisor Worldwide Fund Class C (FWCFX). 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.


XSPX.L
Sharpe ratio
The chart of Sharpe ratio for XSPX.L, currently valued at 3.03, compared to the broader market-2.000.002.004.006.003.03
Sortino ratio
The chart of Sortino ratio for XSPX.L, currently valued at 4.18, compared to the broader market-2.000.002.004.006.008.0010.0012.004.18
Omega ratio
The chart of Omega ratio for XSPX.L, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for XSPX.L, currently valued at 4.33, compared to the broader market0.005.0010.0015.004.33
Martin ratio
The chart of Martin ratio for XSPX.L, currently valued at 18.68, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.68
FWCFX
Sharpe ratio
The chart of Sharpe ratio for FWCFX, currently valued at 2.13, compared to the broader market-2.000.002.004.006.002.13
Sortino ratio
The chart of Sortino ratio for FWCFX, currently valued at 2.92, compared to the broader market-2.000.002.004.006.008.0010.0012.002.92
Omega ratio
The chart of Omega ratio for FWCFX, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for FWCFX, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.17
Martin ratio
The chart of Martin ratio for FWCFX, currently valued at 12.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.41

XSPX.L vs. FWCFX - Sharpe Ratio Comparison

The current XSPX.L Sharpe Ratio is 2.85, which is comparable to the FWCFX Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of XSPX.L and FWCFX, 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 Ratio1.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.03
2.13
XSPX.L
FWCFX

Dividends

XSPX.L vs. FWCFX - Dividend Comparison

Neither XSPX.L nor FWCFX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
XSPX.L
Xtrackers S&P 500 Swap UCITS ETF 1C
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FWCFX
Fidelity Advisor Worldwide Fund Class C
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.47%9.54%8.11%

Drawdowns

XSPX.L vs. FWCFX - Drawdown Comparison

The maximum XSPX.L drawdown since its inception was -25.50%, smaller than the maximum FWCFX drawdown of -41.73%. Use the drawdown chart below to compare losses from any high point for XSPX.L and FWCFX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.24%
-4.15%
XSPX.L
FWCFX

Volatility

XSPX.L vs. FWCFX - Volatility Comparison

The current volatility for Xtrackers S&P 500 Swap UCITS ETF 1C (XSPX.L) is 3.34%, while Fidelity Advisor Worldwide Fund Class C (FWCFX) has a volatility of 4.33%. This indicates that XSPX.L experiences smaller price fluctuations and is considered to be less risky than FWCFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.34%
4.33%
XSPX.L
FWCFX