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^DWGROT vs. FZROX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWGROT and FZROX is 0.94, 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.


-0.50.00.51.00.9

Performance

^DWGROT vs. FZROX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Growth Total Stock Market Index (^DWGROT) and Fidelity ZERO Total Market Index Fund (FZROX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
11.44%
8.61%
^DWGROT
FZROX

Key characteristics

Sharpe Ratio

^DWGROT:

1.96

FZROX:

1.83

Sortino Ratio

^DWGROT:

2.57

FZROX:

2.46

Omega Ratio

^DWGROT:

1.36

FZROX:

1.34

Calmar Ratio

^DWGROT:

2.86

FZROX:

2.76

Martin Ratio

^DWGROT:

11.48

FZROX:

11.80

Ulcer Index

^DWGROT:

2.97%

FZROX:

2.01%

Daily Std Dev

^DWGROT:

17.42%

FZROX:

12.93%

Max Drawdown

^DWGROT:

-34.14%

FZROX:

-34.96%

Current Drawdown

^DWGROT:

-3.74%

FZROX:

-4.16%

Returns By Period

In the year-to-date period, ^DWGROT achieves a 34.17% return, which is significantly higher than FZROX's 23.57% return.


^DWGROT

YTD

34.17%

1M

2.22%

6M

11.43%

1Y

36.05%

5Y*

18.91%

10Y*

N/A

FZROX

YTD

23.57%

1M

-1.02%

6M

8.61%

1Y

25.57%

5Y*

13.93%

10Y*

N/A

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^DWGROT vs. FZROX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Growth Total Stock Market Index (^DWGROT) and Fidelity ZERO Total Market Index Fund (FZROX). 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 ^DWGROT, currently valued at 1.96, compared to the broader market-1.000.001.002.001.961.83
The chart of Sortino ratio for ^DWGROT, currently valued at 2.57, compared to the broader market-1.000.001.002.003.002.572.46
The chart of Omega ratio for ^DWGROT, currently valued at 1.36, compared to the broader market0.800.901.001.101.201.301.401.361.34
The chart of Calmar ratio for ^DWGROT, currently valued at 2.86, compared to the broader market0.001.002.003.004.002.862.76
The chart of Martin ratio for ^DWGROT, currently valued at 11.48, compared to the broader market0.005.0010.0015.0011.4811.80
^DWGROT
FZROX

The current ^DWGROT Sharpe Ratio is 1.96, which is comparable to the FZROX Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of ^DWGROT and FZROX, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.96
1.83
^DWGROT
FZROX

Drawdowns

^DWGROT vs. FZROX - Drawdown Comparison

The maximum ^DWGROT drawdown since its inception was -34.14%, roughly equal to the maximum FZROX drawdown of -34.96%. Use the drawdown chart below to compare losses from any high point for ^DWGROT and FZROX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.74%
-4.16%
^DWGROT
FZROX

Volatility

^DWGROT vs. FZROX - Volatility Comparison

Dow Jones U.S. Growth Total Stock Market Index (^DWGROT) has a higher volatility of 4.92% compared to Fidelity ZERO Total Market Index Fund (FZROX) at 3.85%. This indicates that ^DWGROT's price experiences larger fluctuations and is considered to be riskier than FZROX 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.92%
3.85%
^DWGROT
FZROX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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