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FDEM vs. DFEMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDEM and DFEMX is 0.88, 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

FDEM vs. DFEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Emerging Markets Multifactor ETF (FDEM) and DFA Emerging Markets Portfolio (DFEMX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.80%
0.76%
FDEM
DFEMX

Key characteristics

Sharpe Ratio

FDEM:

0.98

DFEMX:

0.83

Sortino Ratio

FDEM:

1.44

DFEMX:

1.21

Omega Ratio

FDEM:

1.18

DFEMX:

1.15

Calmar Ratio

FDEM:

1.10

DFEMX:

0.49

Martin Ratio

FDEM:

4.19

DFEMX:

3.05

Ulcer Index

FDEM:

3.18%

DFEMX:

3.53%

Daily Std Dev

FDEM:

13.59%

DFEMX:

13.07%

Max Drawdown

FDEM:

-33.65%

DFEMX:

-63.93%

Current Drawdown

FDEM:

-5.25%

DFEMX:

-9.81%

Returns By Period

In the year-to-date period, FDEM achieves a 11.61% return, which is significantly higher than DFEMX's 8.43% return.


FDEM

YTD

11.61%

1M

1.50%

6M

2.80%

1Y

13.82%

5Y*

3.62%

10Y*

N/A

DFEMX

YTD

8.43%

1M

-0.02%

6M

0.75%

1Y

11.01%

5Y*

2.86%

10Y*

3.99%

Compare stocks, funds, or ETFs

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


FDEM vs. DFEMX - Expense Ratio Comparison

FDEM has a 0.45% expense ratio, which is higher than DFEMX's 0.36% expense ratio.


FDEM
Fidelity Emerging Markets Multifactor ETF
Expense ratio chart for FDEM: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for DFEMX: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Risk-Adjusted Performance

FDEM vs. DFEMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Emerging Markets Multifactor ETF (FDEM) and DFA Emerging Markets Portfolio (DFEMX). 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 FDEM, currently valued at 0.98, compared to the broader market0.002.004.000.980.83
The chart of Sortino ratio for FDEM, currently valued at 1.44, compared to the broader market-2.000.002.004.006.008.0010.001.441.21
The chart of Omega ratio for FDEM, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.15
The chart of Calmar ratio for FDEM, currently valued at 1.10, compared to the broader market0.005.0010.0015.001.100.49
The chart of Martin ratio for FDEM, currently valued at 4.19, compared to the broader market0.0020.0040.0060.0080.00100.004.193.05
FDEM
DFEMX

The current FDEM Sharpe Ratio is 0.98, which is comparable to the DFEMX Sharpe Ratio of 0.83. The chart below compares the historical Sharpe Ratios of FDEM and DFEMX, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.98
0.83
FDEM
DFEMX

Dividends

FDEM vs. DFEMX - Dividend Comparison

FDEM's dividend yield for the trailing twelve months is around 4.03%, more than DFEMX's 3.09% yield.


TTM20232022202120202019201820172016201520142013
FDEM
Fidelity Emerging Markets Multifactor ETF
4.03%4.41%3.95%2.71%1.84%2.39%0.00%0.00%0.00%0.00%0.00%0.00%
DFEMX
DFA Emerging Markets Portfolio
3.09%3.34%3.65%2.42%1.45%2.33%2.14%1.74%1.92%2.09%2.02%2.12%

Drawdowns

FDEM vs. DFEMX - Drawdown Comparison

The maximum FDEM drawdown since its inception was -33.65%, smaller than the maximum DFEMX drawdown of -63.93%. Use the drawdown chart below to compare losses from any high point for FDEM and DFEMX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.25%
-9.81%
FDEM
DFEMX

Volatility

FDEM vs. DFEMX - Volatility Comparison

Fidelity Emerging Markets Multifactor ETF (FDEM) has a higher volatility of 3.93% compared to DFA Emerging Markets Portfolio (DFEMX) at 2.64%. This indicates that FDEM's price experiences larger fluctuations and is considered to be riskier than DFEMX 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%JulyAugustSeptemberOctoberNovemberDecember
3.93%
2.64%
FDEM
DFEMX
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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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