Fund Performance Analysis

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Fund Information (Oct 2011 - Apr 2021)

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)28.87
Price/Book (TTM)4.13
Yield (TTM)1.35%
Assets328.00 B
Equity Holdings505
Bond Holdings0
Total Holdings508
Turnover7%
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$44,905 16.97% 13.39%32.37%-4.40%-19.59% 1.202.021.00
Fidelity Total Market Index$10,000$45,018 17.00% 13.92%33.42%-5.28%-20.97% 1.161.941.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Fidelity 500 Index12.98%11.84%45.97%18.66%17.41%16.97%18.52%14.99%
Fidelity Total Market Index12.28%11.91%51.01%18.88%17.65%17.00%19.45%15.67%
Trailing annualized return and volatility are for full months ending in April 2021 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 05/11/2021. (c) 2021 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 Market41438449%0.23%-0.31%-0.04%
Down Market16153152%0.41%-0.25%0.09%
Total575811550%0.28%-0.29%-0.01%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryFidelity 500 IndexFidelity Total Market Index
Large-cap Value44.91%31.84%
Large-cap Growth54.89%49.95%
Mid-cap Value0.00%4.97%
Mid-cap Growth0.00%4.31%
Small-cap Value0.19%3.45%
Small-cap Growth0.00%4.52%
Global ex-US Developed Markets0.00%0.74%
Emerging Markets0.00%0.21%
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%99.80%
Style analysis is based on monthly returns from October 2011 to April 2021 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
FXAIXFidelity 500 IndexLarge Blend100.00%1.35%0.01%28.87$34,905100.00%

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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
FSKAXFidelity Total Market IndexLarge Blend100.00%1.21%0.01%28.30$35,018100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricFidelity 500 IndexFidelity Total Market Index
Arithmetic Mean (monthly)1.39%1.40%
Arithmetic Mean (annualized)18.00%18.11%
Geometric Mean (monthly)1.31%1.32%
Geometric Mean (annualized)16.97%17.00%
Volatility (monthly)3.86%4.02%
Volatility (annualized)13.39%13.92%
Downside Deviation (monthly)2.26%2.38%
Max. Drawdown-19.59%-20.97%
US Market Correlation1.001.00
Beta(*)0.961.00
Alpha (annualized)0.61%0.00%
R299.20%100.00%
Sharpe Ratio1.201.16
Sortino Ratio2.021.94
Treynor Ratio (%)16.7616.15
Calmar Ratio0.950.90
Active Return-0.03%N/A
Tracking Error1.33%N/A
Information Ratio-0.02N/A
Skewness-0.39-0.41
Excess Kurtosis1.892.33
Historical Value-at-Risk (5%)-6.03%-6.07%
Analytical Value-at-Risk (5%)-4.97%-5.21%
Conditional Value-at-Risk (5%)-8.14%-8.56%
Upside Capture Ratio (%)98.52100.00
Downside Capture Ratio (%)97.26100.00
Safe Withdrawal Rate19.02%19.02%
Perpetual Withdrawal Rate12.67%12.69%
Positive Periods84 out of 115 (73.04%)84 out of 115 (73.04%)
Gain/Loss Ratio0.950.94
* 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%10.94%3.84%18.40%
2021-1.01%2.76%4.38%5.33%11.84%

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%12.23%4.48%20.78%
2021-0.33%3.20%3.48%5.13%11.91%

Fidelity 500 Index Factor Regression

Fidelity 500 Index Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.98-0.140.010.07%99.64%
Carhart 4-factor model0.98-0.140.010.010.04%99.64%
Fama-French 5-factor model0.98-0.120.020.060.02-0.02%99.67%
Factor regression from Oct 2011 to Mar 2021. Statistically significant values in bold.

Fidelity Total Market Index Factor Regression

Fidelity Total Market Index Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.99-0.010.01-0.22%99.82%
Carhart 4-factor model0.99-0.010.020.00-0.25%99.82%
Fama-French 5-factor model0.99-0.000.020.02-0.01-0.20%99.83%
Factor regression from Oct 2011 to Mar 2021. Statistically significant values in bold.
Rolling returns summary
Roll PeriodFidelity 500 IndexFidelity Total Market Index
AverageHighLowAverageHighLow
1 year14.81%56.34%-6.99%14.74%62.68%-9.28%
3 years13.13%22.98%5.09%12.81%22.98%3.93%
5 years12.96%17.41%6.72%12.65%17.65%5.72%
7 years13.20%16.90%9.61%12.87%16.83%8.90%