Fund Performance Analysis

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Fund Information (Oct 2018 - Mar 2021)

Fund information
NameFidelity ZERO Extended Market Index (FZIPX)Fidelity Extended Market Index (FSMAX)
Asset ClassU.S. EquityU.S. Equity
CategoryMid-Cap BlendMid-Cap Blend
Fund BenchmarkFidelity US Extend Investable Mkt TR USDDJ US Completion Total Stock Mkt TR USD
Price/Earnings (TTM)21.5724.73
Price/Book (TTM)2.443.10
Yield (TTM)1.08%0.86%
Assets1.06 B37.53 B
Equity Holdings21213218
Bond Holdings00
Total Holdings21253237
Turnover26%15%
Expense Ratio0.00%0.05%
Inception Date09/13/201809/08/2011

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Fidelity Extended Market Index$10,000$14,916 17.34% 27.56%32.16%-18.17%-28.04% 0.671.020.97
Fidelity ZERO Extended Market Index$10,000$13,807 13.77% 27.44%26.51%-17.56%-31.68% 0.560.800.96
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Fidelity Extended Market Index7.75%7.75%97.89%17.34%
Fidelity ZERO Extended Market Index13.54%13.54%93.78%13.77%
Trailing annualized returns are for full months ending in March 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 04/14/2021. (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

Holdings Based Style Analysis for Fidelity Extended Market Index

Holdings Based Style Analysis for Fidelity Extended Market Index
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
FSMAXFidelity Extended Market IndexMid-Cap Blend100.00%0.86%0.05%24.73$4,916100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Fidelity ZERO Extended Market Index

Holdings Based Style Analysis for Fidelity ZERO Extended Market Index
TickerNameCategoryWeightYieldP/EReturn ContributionRisk Contribution
FZIPXFidelity ZERO Extended Market IndexMid-Cap Blend100.00%1.08%21.57$3,807100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricFidelity Extended Market IndexFidelity ZERO Extended Market Index
Arithmetic Mean (monthly)1.65%1.40%
Arithmetic Mean (annualized)21.77%18.13%
Geometric Mean (monthly)1.34%1.08%
Geometric Mean (annualized)17.34%13.77%
Volatility (monthly)7.96%7.92%
Volatility (annualized)27.56%27.44%
Downside Deviation (monthly)5.20%5.53%
Max. Drawdown-28.04%-31.68%
US Market Correlation0.970.96
Beta(*)1.271.25
Alpha (annualized)-1.47%-4.32%
R293.71%92.42%
Sharpe Ratio0.670.56
Sortino Ratio1.020.80
Treynor Ratio (%)14.7012.40
Active Return1.63%-1.95%
Tracking Error8.89%9.23%
Information Ratio0.18-0.21
Skewness-0.59-0.92
Excess Kurtosis1.652.30
Historical Value-at-Risk (5%)-10.40%-10.23%
Analytical Value-at-Risk (5%)-11.43%-11.63%
Conditional Value-at-Risk (5%)-16.02%-17.09%
Upside Capture Ratio (%)118.41112.46
Downside Capture Ratio (%)116.19121.30
Safe Withdrawal Rate34.09%32.98%
Perpetual Withdrawal Rate11.27%8.96%
Positive Periods20 out of 30 (66.67%)21 out of 30 (70.00%)
Gain/Loss Ratio0.880.68
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Fidelity Extended Market Index Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2018-10.07%1.86%-10.68%-18.17%
201911.60%4.96%-1.00%3.67%-6.95%6.80%1.63%-4.16%1.02%1.90%4.58%2.17%28.00%
2020-0.57%-7.97%-21.36%15.84%8.82%4.06%5.69%7.19%-3.02%0.47%18.27%7.23%32.16%
20212.83%5.20%-0.39%7.75%

Fidelity ZERO Extended Market Index Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2018-9.28%2.11%-11.01%-17.56%
201911.07%4.87%-1.06%3.52%-7.73%7.15%1.15%-4.43%2.16%2.01%4.14%2.24%26.51%
2020-2.18%-9.11%-23.16%15.22%6.92%2.94%4.46%4.49%-2.41%1.72%16.56%6.57%16.59%
20213.47%6.80%2.75%13.54%