Fund Performance Analysis

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Fund Information (Oct 2011 - Oct 2020)

Fund information
NameFidelity 500 Index (FXAIX)
Asset ClassU.S. Equity
CategoryLarge Blend
Fund BenchmarkS&P 500 TR USD
Selected BenchmarkFidelity Total Market Index (FSKAX)
Price/Earnings (TTM)25.90
Yield (TTM)1.98%
Assets245.61 B
Expense Ratio0.01%
Inception Date05/04/2011

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Fidelity 500 Index$10,000$34,853 14.73% 13.21%32.37%-4.40%-19.59% 1.061.721.00
Fidelity Total Market Index$10,000$34,308 14.54% 13.69%33.42%-5.28%-20.97% 1.021.631.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Fidelity 500 Index0.38%2.77%9.70%10.41%11.70%14.73%
Fidelity Total Market Index1.04%3.01%9.99%9.96%11.43%14.54%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 11/25/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Fidelity 500 Index vs. Fidelity Total Market Index

Up vs. Down Market Performance - Fidelity 500 Index vs. Fidelity Total Market Index
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market39407949%0.22%-0.27%-0.03%
Down Market16143053%0.41%-0.22%0.11%
Total555410950%0.27%-0.26%0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryFidelity 500 IndexFidelity Total Market Index
Large-cap Value44.82%32.52%
Large-cap Growth55.02%50.47%
Mid-cap Value0.00%4.84%
Mid-cap Growth0.00%4.87%
Small-cap Value0.16%4.10%
Small-cap Growth0.00%2.94%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.26%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.93%99.83%
Style analysis is based on monthly returns from Oct 2011 to Oct 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Fidelity 500 Index

Holdings Based Style Analysis for Fidelity 500 Index
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
FXAIXFidelity 500 IndexLarge Blend100.00%0.01%25.90$24,853100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Fidelity Total Market Index

Holdings Based Style Analysis for Fidelity Total Market Index
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
FSKAXFidelity Total Market IndexLarge Blend100.00%0.01%25.60$24,308100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricFidelity 500 IndexFidelity Total Market Index
Arithmetic Mean (monthly)1.22%1.22%
Arithmetic Mean (annualized)15.72%15.60%
Geometric Mean (monthly)1.15%1.14%
Geometric Mean (annualized)14.73%14.54%
Volatility (monthly)3.81%3.95%
Volatility (annualized)13.21%13.69%
Downside Deviation (monthly)2.32%2.44%
Max. Drawdown-19.59%-20.97%
US Market Correlation1.001.00
Beta(*)0.961.00
Alpha (annualized)0.67%0.00%
R299.31%100.00%
Sharpe Ratio1.061.02
Sortino Ratio1.721.63
Treynor Ratio (%)14.6113.94
Calmar Ratio0.530.47
Active Return0.20%N/A
Tracking Error1.22%N/A
Information Ratio0.16N/A
Skewness-0.46-0.52
Excess Kurtosis1.972.36
Historical Value-at-Risk (5%)-6.20%-6.34%
Analytical Value-at-Risk (5%)-5.05%-5.28%
Conditional Value-at-Risk (5%)-8.56%-9.04%
Upside Capture Ratio (%)98.91100.00
Downside Capture Ratio (%)96.65100.00
Safe Withdrawal Rate20.11%20.11%
Perpetual Withdrawal Rate11.62%11.46%
Positive Periods79 out of 109 (72.48%)79 out of 109 (72.48%)
Gain/Loss Ratio0.890.87
* Fidelity Total Market Index is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Fidelity 500 Index Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
201110.94%-0.23%1.03%11.82%
20124.47%4.32%3.30%-0.63%-6.03%4.12%1.41%2.25%2.58%-1.85%0.58%0.91%15.99%
20135.17%1.37%3.73%1.93%2.33%-1.35%5.09%-2.89%3.13%4.59%3.05%2.54%32.37%
2014-3.47%4.57%0.85%0.74%2.33%2.08%-1.38%4.00%-1.40%2.45%2.68%-0.25%13.66%
2015-2.99%5.75%-1.59%0.97%1.28%-1.92%2.10%-6.03%-2.48%8.44%0.30%-1.59%1.38%
2016-4.96%-0.13%6.78%0.39%1.80%0.26%3.69%0.13%0.03%-1.82%3.70%1.98%11.97%
20171.89%3.97%0.11%1.04%1.40%0.63%2.05%0.30%2.06%2.33%3.06%1.12%21.81%
20185.72%-3.69%-2.54%0.39%2.41%0.61%3.72%3.26%0.57%-6.84%2.03%-9.03%-4.40%
20198.01%3.21%1.95%4.05%-6.36%7.05%1.44%-1.58%1.86%2.17%3.62%3.01%31.47%
2020-0.04%-8.23%-12.35%12.82%4.76%1.98%5.64%7.19%-3.80%-2.66%2.77%

Fidelity Total Market Index Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
201111.52%-0.27%0.82%12.12%
20125.07%4.22%3.11%-0.64%-6.21%3.96%1.02%2.49%2.58%-1.77%0.75%1.22%16.36%
20135.51%1.29%3.93%1.67%2.43%-1.28%5.41%-2.87%3.66%4.26%2.89%2.64%33.42%
2014-3.14%4.75%0.53%0.08%2.18%2.52%-1.99%4.19%-2.14%2.77%2.43%-0.03%12.47%
2015-2.79%5.83%-1.02%0.46%1.39%-1.70%1.66%-6.01%-2.94%7.87%0.56%-2.03%0.47%
2016-5.68%-0.04%7.03%0.61%1.81%0.18%4.00%0.25%0.19%-2.20%4.47%1.94%12.68%
20171.94%3.70%0.07%1.05%1.02%0.92%1.90%0.18%2.44%2.17%3.04%1.01%21.18%
20185.30%-3.71%-1.98%0.36%2.82%0.67%3.35%3.47%0.15%-7.42%2.00%-9.30%-5.28%
20198.61%3.51%1.44%3.98%-6.46%7.00%1.47%-2.01%1.72%2.12%3.80%2.88%30.92%
2020-0.13%-8.19%-13.81%13.26%5.37%2.30%5.66%7.18%-3.68%-2.13%3.01%

Fidelity 500 Index Factor Regression

Fidelity 500 Index Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.98-0.13-0.00-0.09%99.69%
Carhart 4-factor model0.98-0.130.000.00-0.11%99.69%
Fama-French 5-factor model0.98-0.120.010.030.04-0.19%99.72%
Factor regression from Oct 2011 to Oct 2020. Statistically significant values in bold.

Fidelity Total Market Index Factor Regression

Fidelity Total Market Index Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.99-0.000.01-0.27%99.83%
Carhart 4-factor model0.99-0.000.010.01-0.32%99.83%
Fama-French 5-factor model0.99-0.000.010.010.00-0.27%99.83%
Factor regression from Oct 2011 to Oct 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodFidelity 500 IndexFidelity Total Market Index
AverageHighLowAverageHighLow
1 year15.53%32.37%-4.40%15.28%33.42%-5.28%
3 years13.38%20.39%8.87%13.01%20.42%8.39%
5 years12.65%15.78%8.48%12.31%15.54%7.88%
7 years13.70%14.72%12.68%13.37%14.33%12.42%
Result statistics are based on annualized rolling returns over full calendar year periods